台灣市場機構投資人注意力分散對股價同步性的影響

Abstract

本研究以臺灣上市櫃公司為對象，旨在探討機構投資人注意力分散（Distraction）對股價同步性（Synchronicity）的影響，並先行驗證自建分心指標的外部效度。依據 Kempf et al. （2017） 架構，利用2006年第1季至2024年第4季國內股票型共同基金季報持股資料，結合產業極端報酬衝擊設計，建構公司層級的注意力分散指標，最終樣本涵蓋1,217家公司、23,365筆公司－季觀測值。 於外部效度檢驗階段，我們先以基金持股變動幅度驗證分心指標對投資人研究與交易行為變化的捕捉能力，結果顯示注意力分散期間基金持股調整幅度顯著上升，反映市場短期追漲殺跌特性；繼而以基金買盤資訊性（Mutual Fund Demand, MFD）檢驗指標與研究品質之關聯，發現分心程度愈高時，基金買盤對未來報酬的預測能力顯著減弱。 在核心實證分析中，本研究採用公司與年份固定效果之縱橫面回歸模型，並控制盈餘能力、財務槓桿、公司規模、GDP 成長率、報酬偏態與峰態及分析師覆蓋等變數，證實注意力分散與股價同步性呈顯著正向關係（p < 0.01）。經濟意涵方面，當分心程度提高一個標準差時，同步性平均提高 0.086，約占樣本同步性絕對平均值 1.92 的 4.5 %，顯示價格中公司特定資訊的權重明顯下降。 研究貢獻包括：提供一套適用於臺灣市場之機構投資人注意力分散衡量工具，證實注意力配置為影響資訊效率之關鍵機制，並對資產管理機構與監理單位提出應平衡投資組合多樣性與研究資源配置，以確保研究深度與投資績效兼顧的政策建議。

This study investigates how institutional investor attention distraction affects stock price synchronicity in Taiwan and first validates the external validity of our self-constructed Distraction index. Drawing on Kempf et al. (2017), we combine quarterly mutual fund holdings data from Q1 2006 to Q4 2024 with industry-level extreme return shocks to build a firm-level Distraction measure; the final sample comprises 1,217 firms and 23,365 firm-quarter observations. In the external validity stage, we first test whether the Distraction index captures changes in investors’ research and trading behavior by examining mutual fund holding adjustments, finding that during high-distraction periods funds adjust their positions by significantly larger magnitudes—consistent with short-term momentum trading. We then examine Mutual Fund Demand (MFD) as a proxy for research quality and show that higher Distraction levels significantly weaken MFD’s ability to predict future returns. In the core empirical analysis, we estimate firm- and year-fixed-effects panel regressions controlling for profitability, financial leverage, firm size, GDP growth, return skewness and kurtosis, and analyst coverage. Results reveal a positive and significant effect of Distraction on stock price synchronicity: a one-standard-deviation increase in Distraction raises average synchronicity by approximately 0.086, indicating a substantial decline in the proportion of firm-specific information incorporated into prices. This study contributes by (1) providing an operational measure of institutional investor distraction for the Taiwanese market, (2) demonstrating attention allocation as a key mechanism driving information efficiency, and (3) offering policy recommendations for asset managers and regulators to balance portfolio diversification with research resource allocation, thereby ensuring both analytical depth and investment performance.