五.三大法人買賣超之星期效果部份，顯示外資、投信在星期一的買賣超行為，明顯不活躍，具有星期效果，有可能是因為負面消息在休市的兩天中發布的可能性更高，其投資風險相對平常日大，因此在星期一也許對於股市，先採取觀望的態度，隔日後再積極進入股市作投資。 Three primary professional institutional investors in Taiwan are categorized as Foreign Investor, Investment Trust and Security Dealer, according to their sources of funds. Their investment decisions are important for the public in the Taiwan stock market. In addition, net buy-and-sell information of institutional investors is also a major focus for the public. However, there are very few academic studies document observations regarding the issue of the Monday effect. The main purpose in this study is to investigate the stock holding preferences of the three primary professional institutional investors and the Monday effect of net buy-and-sell.
This study employs two regression models and the Panel Data to examine the two major objectives of the three primary professional institutional investors. Using a sample of firms listed in Underlying Stocks of Taiwan 50 Index from Taiwan Economic Journal(TEJ) over the period of 2002 to 2005, this study explores five empirical results:
1.Foreign investors show a preference for large firms, firms with high sales growth ratio、low book-to-market ratio and low dividend yield.
2.Investment trusts prefer firms with high current ratio、high margin buying ratio、low book-to-market ratio、high turnover ratio and large companys.
3.Security dealers are inclined to adopt the high risk strategy and prefer firms with high debt ratio.
4.The three primary professional institutional investors have different stock holding strategies. Foreign investors are concerned with the financial characteristics of firms. Investment trusts show a preference for firms with high current ratio. Security dealers pay attention to the technical analysis while selecting stocks.
5.Only foreign investors and investment trusts show the Monday effect with significant negative returns.
