機構投資人買賣行為對股市報酬率之影響

Abstract

本研究主要探討機構投資人買賣行為對股市報酬率之影響。機構投資人較一般投資人具有更多蒐集與分析資訊的能力。依據動能假說（Momentum hypothesis）的推論，機構投資人扮演訊息觀察者的角色，能根據其所獲得有關公司資訊進行交易；而一般投資大眾則扮演動能交易者的角色，可以參酌專業機構投資人的投資策略，決定投資方向。因此，專業機構投資人的投資行為會影響一般投資人的投資策略，專業機構投資人買（賣）超時，其他一般投資人會參考其投資策略買進（賣出）台灣股票，對台灣股票需求會增加（減少），股票報酬率亦隨之提高（下降）。 研究結果發現：（1）機構投資人買（賣）超行為對股市報酬率存在正向關聯性；（2）政府開放外資投資限制可降低外資買賣行為對股市報酬率的影響；（3）政府開放外資投資限制可降低外資買賣行為對股市波動性的影響。

This study attempts to exam the effect on the rate of return of the trading behavior about the institutional investors. The institutional investors have the ability to collect and analysis information. According to Momentum hypothesis, the institutional investors act as the role of News Watchers. Based on the information collected and analyzed, the News Watchers invest the stock market. The general investors do not have the ability to collect and analyze information. General investors act as the role of Momentum Traders. They observe the trading behaviors of News Watchers, and then invest the stock market. The investing behavior of the institutional investors will affect the investing behavior of the general investors. When there is buy-sell difference from institutional investors, the general investors will refer to the buy-sell behaviors and buy (sell) stocks. The demand of Taiwan stocks will increase (decrease) and the rate of return of Taiwan stocks will be raised (lowered). The results of this study show that the buy-sell behaviors of institutional investors have a significant positive contribution to the rate of return of the Taiwan stock market. The government permits foreign institutional investors to invest in the Taiwan stock market could reduce the influence of the buy-sell difference of institutional investors over the rate of return and volatility of the Taiwan stock market.