外资连续买卖超行为对股价报酬率之影响.doc

外資連續買賣超行為對股價報酬率之影響 The Impacts on Stock Prices of QFII’s Continuous Buys and Sells 研究生：楊淑惠 Shu-Hui Yang 指導教授：洪仁杰 Rern-Jay Hung 【摘要】 在金融自由化與國際化的潮流之下，機構投資人挾其大量資金在證券市場中進行投資，希望謀取最大的投資利潤。隨著外國機構投資人在證券市場所佔比重的增加，且其具備較佳的專業知識及資訊蒐集分析能力，使得外資進出國內股市之動向及選股策略備受矚目，不僅一般投資大眾，甚至自營商、投信法人往往以外資交易資訊作為參考指標。 本研究主要是想探討分析外資連續買賣超對股票報酬率的影響程度，外資連續買進或賣出的股票報酬率是否有影響？外資連續買賣天數的長短與股票報酬率是否有關係? 本研究首先利用Z檢定，檢定外資連續短天期及長天期買超連續短天期及長天期買超外資買超股次股價報酬率最高；外資天期賣超股次股價報酬率最低。Professional institutional investors invested a large amount of fund in stock market in the hope of getting the maximum return under the trend of financial liberalization and internationalization. The investments strategy of institutional investors attracted a great deal of attention as the increasing number of QFII（Qualified Foreign Institutional Investors） who possess better professional knowledge and information analyzing capacity than the general public. Not only the general public but also dealers and securities investment trust companies take the information of QFII’s trade as an important reference of investment. The degree of influence of QFII’s continuous buys and/or sells on returns of stock were mainly discussed in this study. To investigate the relations between short or long-term buys sells by QFII and returns of stocks. Z test was used to examine the relations between long or short-term buys and sells and returns of stock indexes. Then, the regression equations of stock returns on market situations, continuously short and long-term buys sells was found by regression analysis. The results are shown as following: 1. Long term buys and sells would push the stock go up especially in Bull market. Short-term buys and sells would make the stock go down especially in Bear market. 2. Long-term buys by QFII would get the highest next-day returns. Short-term sells by QFII would get the lowest nest-day returns of stock. The price of long term buys by QFII would be higher than stock index when general investors follow QFII”s stock operation