大戶籌碼與股價之分析探討 – 以網通設備類股為例

Abstract

本研究以台灣股票市場之網通設備類股為研究對象，以民國99年到民國100年間台灣集中保管結算所於每月第1個交易日公布的股權分散資料與台灣經濟新報社資料庫之個股調整後股價日資料數據，依事件研究法檢驗大戶籌碼的異動是否會影響股價？進而產生異常報酬的情況。運用符號檢定法及相關性分析檢定股票異常報酬是否顯著？大戶籌碼持股異動的幅度與累計異常報酬是否相關？期望找出大戶籌碼持股異動與股價波動的規則，作為投資大眾擬定買賣策略時的參考。 實證結果發現：（1）大戶籌碼每月持股比率的異動，確實會產生異常報酬。（2）第3級（持股800~1000張）與第5級(大戶合計)之大戶籌碼每月持股比率異動的幅度，與日後的累計異常報酬呈正相關，投資大眾可藉此尋求更高的利潤。

This research studied the stocks of networking product companies in Taiwan stock market and analyzed historical data provided by Taiwan Depository & Clearing Corporation and Taiwan Economic Journal from 2010 to 2011. We used the event study method to investigate if a change in stock chip of major shareholders will result in abnormal returns and examine the relationship between them. We tried to find out the rules regarding abnormal returns that provide investors for reference. The results of this research are shown as below: 1. A significant change in stock chip of major shareholders will result in abnormal returns. 2. Among the five different classes of major shareholder, only the third and the fifth classes' share movement have positive relationship with cumulative abnormal returns. Investors may earn more profits by using this finding.