台灣股市三大法人委託型態與價格行為的實證分析

Abstract

本文利用逐筆委託資料來檢測台灣股市三大法人委託型態與價格行爲的關係。研究發現，無論是委託不均衡或是委託積極度，結果都顯示三大法人中外資最能推動價格，關鍵在於個別投資人與外資相反操作程度較高，進而抵銷掉外資交易產生的部分價格壓力，使得外資買（賣）超個股的漲（跌）幅不如投信買（賣）超組合。整體而言，投信較具短期資訊優勢。另外，法人交易影響價格能力來自於資訊效果，而且法人買進與賣出的資訊內涵並不對稱；法人的正向回饋交易行爲以及對同期股價產生的價格衝擊，是三大法人買賣超與當日股價有正向關係的主要原因。

Applying order-level data, this paper examines the relation between the order submission patterns of professional institutional investors and stock price behaviors in the Taiwan Stock Market. We find that the trades of foreign investors (FIs) move the stock prices the most among the professional institutional investors in terms of order imbalance and order aggressiveness. The trading behavior of individual investors tends to conflict with that of FIs and offsets part of the price impacts from FIs' trades. The daily top net-buy (net-sell) stocks of securities investment trust companies (SITCs) have significantly higher (lower) return than those of FIs. Overall, SITCs are found more informed in the short term. Additionally, the price impact of institutional trades is related to information effect and there is a marked asymmetry between the permanent price changes of buys versus sells. The positive contemporaneous daily relation between return and institutional trading is largely driven by net institutional trading positively following past intraday price movements and the contemporaneous price pressures.