臺灣股市三大法人持股調整、群聚效應、回饋交易、串流行為與群聚之動量持續性

Abstract

本研究探討臺灣股市中三大法人持股調整行爲，是否產生群聚效應(herding effect)、回饋交易(feedback trading)、串流(cascading)及群聚影響價格(herding impacting price)等行爲。本研究的實證結果發現，臺灣股市中外資及投信持股之調整將伴隨群聚效應，而自營商持股改變則不具群聚效應。外資及投信的持股改變與證券超常報酬率間的群聚效應，主要係導源於”外資及投信持股改變影響股票超常報酬率之現象”。外資及投信持股調整會伴隨正向回饋交易及串流行爲；而自營商持股之改變則會伴隨負向的回饋交易且未具串流行爲。外資及投信法人之串流行爲相較其正向回饋交易之影響爲大。就臺灣股市整體而言，外資持股調整所引起的超常報酬的動量或反向效應，相對小於以本土法人持股調整爲依據的動量或反向效應，而其正超常報酬的持續性則較長。由三大法人持股改變顯著驅動超常報酬率之現象，隱含了臺灣股市並不具有完全效率性，投資人可以正向或反向地追隨三大法人持股改變的訊號調整投資組合，創造出顯著的平均報酬。

This study explores whether share ownership adjustments by the three major types of institutional investors in the Taiwan stock market would produce herding effect, feedback trading, cascading and herding impacting price. Empirical results of this study find that share ownership adjustments by foreign investors and securities investment trusts would accompany with herding effect, whereas changes in share ownership by dealers would not produce any herding effect. The herding effect between changes in share ownership by foreign investors and securities investment trusts and abnormal returns primarily stems from ”abnormal returns driven by changes in share ownership by foreign investors and securities investment trusts”. Further, share ownership adjustments by foreign investors and securities investment trusts would accompany positive feedback trading and cascading, whereas changes in share ownership by dealers would accompany negative feedback trading and no cascading. Cascading by foreign investors and securities investment trusts has a greater impact than its positive feedback trading. In the Taiwan stock market, the momentum or contrarian effect in abnormal returns derived from share ownership adjustments by foreign investors is smaller than that derived from share ownership adjustments by local institutional investors; however, the persistence in positive abnormal returns of foreign investors lasts longer. Changes in three major institutional investors' share ownership clearly drive abnormal returns, implying the market inefficiency existing in the Taiwan stock market. Investors are able to follow the signals derived from changes in three major institutional investors' share ownership or operate in the reverse to create portfolios and generate significant abnormal returns.