外資鉅額買賣超資訊的充分揭露對於投資人參考價值的實證研究

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Title:	外資鉅額買賣超資訊的充分揭露對於投資人參考價值的實證研究
Other Titles:	The reference value to investors from full exposition of foreign investments overbuy and oversell information
Authors:	蔡雅慧;Tsai, Ya-huei
Contributors:	淡江大學財務金融學系碩士班陳達新;Chen, Dar-hsin
Date:	2005
Issue Date:	2010-01-11 01:11:37 (UTC+8)
Abstract:	外資在股市的交易比重並不是很高，但外資專業的分析能力及投資團隊，已造成市場投資人瘋狂地的追隨。在外資開放後經濟日報及工商時報只有揭露每日買賣超成交量的前二十名。在民國八十九年後，證交所在網路上公佈所有的交易明細，這項資訊的開放可以為投資人帶來更大的利潤嗎?還是多餘的資訊透露呢? 本研究利用事件研究法，從經濟新報中選取民國八十九年八月七日至民國九十三年八月六日的資料，以異常報酬率判斷跟隨外資買賣超是否可獲利?而證交所資訊完全公佈下，所帶來的獲利多少?由於外資買賣超交易明細過多，只取當日外資買賣超個股成交量占當日該個股成交量20%以上為研究樣本。實證結果發現： 1、就整體而言，外資的買超在事件日發生過後立即出現反轉的現象，而在賣超方面則是在第五日出現反轉，所以投資人可以跟隨賣超的股票賣出。 2、在分為買賣超前二十名及非前二十名的異常報酬率而言，買超非前二十名的反轉現象最為明顯，買超前二十名是在第二日反轉。但在賣超而言，前二十名在第五日反轉，而非前二十名在第四日反轉。整體而言，還是跟隨外資賣超的個股賣出最為有利可圖。 The proportion of foreign investment transactions in Taiwan stock market is not very large. Because of the professional analysis ability and the investment teams, the foreign institutions have made the small investors follow crazily. Since the foreign investments opening, the Economic Daily and the Commercial Times have announced only the top 20 daily. After 2000, the Stock Exchange announces all transactions detailed in the network. May this information opening bring more profits for the investor? Or it just explores unnecessary information? This study uses Event-Study and selects data from August-7 2000 to August-6 2004 in TEJ. Can investors following the foreign investment transactions to get profits by judging from average abnormal returns? What is the profit from information fully exposed by Exchange Stock? Because the details of overbuy and oversell of the foreign investment are tremendous, this study just selects the volume of the foreign investment overbuy and oversell whose amount is up to at least 20% of the volume of the individual stock on those days. 1.In light of the whole, after the event date , the foreign investment overbuy has shown the phenomenon of reversion immediately , but in the aspect of oversell, it has shown the reversion on the fifth date . Therefore , the investors could possibly follow the stocks of oversell to sell . 2.Dividing into the abnormal returns of overbuy and oversell the top 20 and non-top 20 , the reversal phenomenon of the non-top 20 of overbuy is the most obvious , and the top 20 of overbuy reverse at the second date. Instead, the top 20 of oversell reverses at the fifth date, and the non- top 20 reverses at the fourth date . In the whole, following oversell of the foreign investments to sell stocks is the most profitable .
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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