外資評等報告對股票市場的影響力研究

Abstract

政府開放外國專業機構投資台股始於1990年12月28日，外資掌握充倍的資金資源，且擁有龐大的專業投資團隊，投資動態向來倍受社會大眾關注，針對個股所發行的評等報告更是凌瑯滿目。本研究主要探討之議題為外資評等報告對股票市場的影響力，將市場中外資報告分為偏多、偏空、中立等三種消息，利用事件研究法進行實證分析，最後得到以下六項結果：(一)外資評等報告選股上不會明顯區分強勢股或弱勢股。(二)外資評等報告具有資訊內涵，其中偏多消息為正面，偏空消息和中立消息為負面。(三)外資評等報告偏多消息和偏空消息有資訊洩漏之情況，中立消息則無。(四)偏多消息會對外資和投信投資行為產生正面反應，對散戶產生負面反應；而偏空消息會對外資和投信產生負面反應，對散戶產生正面反應；中立消息則會對外資產生負面反應，對散戶產生正面反應。(五)以股價高低區分時，外資在偏空消息中會偏好賣出低價股。(六)以流動性高低區分時，外資在偏多消息中會偏好買進高流動性股，偏空消息中偏好賣出高流動性股，自營商在偏多消息中會偏好賣出高流動性股。

The Government allowed foreign professional organizations to invest Taiwan stock began on December 28, 1990. Foreign agencies hold enough capital and own huge professional investment teams. Their investment behaviors always catch everyone's eyes, and thousands of stock recommendations have been issued. The purpose of this research is to discuss the effect of the recommendations of foreign agencies on the stock market. The reports in the market are classified into three categories: good news, bad news and neutral news. We used event study method to conduct relevant studies. Finally, six conclusions of this research are as followed: (1) Foreign agencies don’t distinguish which one is strong stock or weak stock when they pick out it. (2) The recommendations of foreign agencies are proved that they have the information content. Good news is positive, and bad news and neutral news are negative. (3) Good news and bad news have the condition of information leakage, but neutral news doesn’t.(4) Good news has positive reactions to foreign agencies and investment trusts, and has negative reactions to small cap investors. Bad news has negative reactions to foreign agencies and investment trusts, and has positive reactions to small cap investors. Neutral news has negative reactions to foreign agencies, and has positive reactions to small cap investors. (5) When we use the price to distinguish stock recommendations. The foreign agencies prefer to sell stocks which have lower price when the news is bad. (6) When we use the liquidity to distinguish stock recommendations. The foreign agencies prefer to buy stocks which have higher liquidity when the news is good, and they prefer to sell them when the news is bad. Security dealers prefer to sell stocks which have higher liquidity when the news is good.