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題名 臺灣股市籌碼資料的資訊內涵-以籌碼指標建構投資組合之實證研究
The Information Contents of Taiwan Stock Market Trading Data - An Empirical Study on Portfolio Constructed Using Indicators of Institutional and Individual Investors’ Trading Data作者 劉百耀
Liu, Bai-Yao貢獻者 岳夢蘭
Yueh, Meng-Lan
劉百耀
Liu, Bai-Yao關鍵詞 法人買賣超
融資
融券
投資策略
institutional investors’ net buy/sell
margin purchase
short sale
investment strategy日期 2020 上傳時間 3-Aug-2020 17:33:32 (UTC+8) 摘要 本研究以2010至2019年共十年之上市公司為樣本，探討臺灣股市籌碼資料的資訊內涵。我們將歸屬於「機構法人」與「散戶」的籌碼資料計算成15種不同的籌碼指標，同時分成大、中、小三種市值股票池進行探討，依據每個籌碼指標由大至小排序，分別建立5個投資組合，並以日頻率動態調整投資組合之持股。透過考量交易成本後的投資組合績效，本研究分析哪些籌碼資料具有有效的資訊內涵，同時檢視籌碼資料與投資組合報酬的關係，期望能作為投資者於實務操作時的參考依據。 研究結果發現，首先，在屬於機構法人的籌碼資料中，投信買賣超張數指標最高的組別，於三種市值股票池中，不論是Sharpe ratio或是累積報酬率，皆有優於大盤的表現，意謂追隨投信買超較多的股票將能獲取較佳的報酬。而借券賣出張數指標最小的組別，皆具有Sharpe ratio優於大盤的表現，於大市值股票池中的累積報酬率更是優於大盤，代表借券賣出張數較少的股票具有較佳的股票報酬，為「消極看多」的操作邏輯。其次，在屬於散戶的籌碼資料中，融資使用率指標最低的組別，其Sharpe ratio於大、小市值股票池中具有優於大盤的表現，但累積報酬則未優於大盤。在大、小市值股票池中，融資使用率指標越高的組別，反而具有越差的績效表現，顯示融資使用率與股票報酬呈反向關係。
This research investigates the information contents of the trading data of listed companies in Taiwan stock market from year 2010 to 2019. We calculate two types of investing indicators from the trading data, the institutional and individual investors, respectively. We sort stocks into five portfolios according to each investing indicator, and rebalance the portfolios dynamically on a daily basis. Meanwhile, we also create three kinds of stock pools – large, medium, and small according to market size, and investigate whether there is any difference between market size. By measuring after-fee performance of these portfolios, we analyze which indicator contains informative contents, and check the relationship between trading data and portfolio returns, with the aim to create an investing guide for practical use.Empirical result indicates that according to the trading data of institutional investors, portfolios with the highest net bought by security investment trust companies (SITC) have better Sharpe ratio and cumulative return than market portfolio in three kinds of stock pools. It indicates that investors can get better returns if they buy the stocks which are most bought by SITC. Portfolios sold short the least by institutional investors have better Sharpe ratio than market portfolio in three kinds of stock pools, and the portfolio has better cumulative return in large-size stock pool. It implies that stocks sold short the least have better returns, indicating a “passive long signal”. In the trading data of individual investors, portfolios with the least margin purchase balance have better Sharpe ratio than market portfolio in large and small-size stock pools, but both of their cumulative returns can’t beat the market. We also find that these portfolios’ cumulative returns decrease while margin purchase balance increase, indicating a negative relationship between stock returns and margin purchase balance.參考文獻 一、中文部分李志宏, 徐政義, 馬瑞辰, & 魏慧珊，（2017）。借券賣出交易對股票報酬率之影響。證券市場發展季刊，29(2)，75-106。范聖培（2014）。三大法人之買賣超行為對股價短期報酬之研究。國立中央大學財務金融學系在職專班碩士論文，桃園縣。葉怡芬（2004）。信用交易之資訊內涵及其投資策略獲利性之研究。國立成功大學財務金融研究所碩士論文，台南市。陳旻暄（2013）。賣空交易對股價報酬率影響之實證研究。國立中央大學財務金融學系碩士論文，桃園縣。陳建宏（2011）。借券交易對股價變化影響研究。國立臺灣大學經濟學研究所碩士論文，台北市。葉怡芬（2004）。信用交易之資訊內涵及其投資策略獲利性之研究。國立成功大學財務金融研究所碩士論文，台南市。林珊妏（2005）。台灣股票市場信用交易之投資策略。國立東華大學國際經濟研究所碩士論文，花蓮縣。蔡佩珊（2005）。台灣股票市場融券交易行為與股票報酬關係之研究。國立中正大學財務金融所碩士論文，嘉義縣。二、英文部分Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2008). Just How Much Do Individual Investors Lose by Trading? The Review of Financial Studies, 22(2), 609-632.Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82.Chiao, C., & Lin, K.-I. (2004). The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market. Review of Pacific Basin Financial Markets and Policies, 07(02), 259-288.Fama, E. F., & French, K. R. (1993). Common Risk-Factors in The Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56.Fang, H., Lu, Y. C., Yau, H. Y., & Lee, Y. H. (2013). Stock Characteristics Herded by Foreign Investors With Higher Abnormal Returns in The Taiwan Stock Market. Romanian Journal of Economic Forecasting, 16(4), 232-245.Hong, G., & Lee, B. S. (2011). The trading behavior and price impact of foreign, institutional, individual investors and government: Evidence from Korean equity market. Japan and the World Economy, 23(4), 273-287.Huang, R. D., & Shiu, C. Y. (2009). Local Effects of Foreign Ownership in an Emerging Financial Market: Evidence from Qualified Foreign Institutional Investors in Taiwan. Financial Management, 38(3), 567-602.Ko, K., Kim, K., & Cho, S. H. (2007). Characteristics and performance of institutional and foreign investors in Japanese and Korean stock markets. Journal of the Japanese and International Economies, 21(2), 195-213.Lai, C.-J., Lou, K.-R., & Shiu, C.-Y. (2008). Does foreign investors trade predict stock return? evidence from taiwan. International Journal of Information and Management Sciences, 19(3), 477-494.Lin, A., & Chen, C.-Y. (2006). The impact of qualified foreign institutional investors on Taiwan`s stock market. Web Journal of Chinese Management Review, 9.Zou, L. P., Tang, T. T., & Li, X. M. (2016). The stock preferences of domestic versus foreign investors: Evidence from Qualified Foreign Institutional Investors (QFIIs) in China. Journal of Multinational Financial Management, 37-38, 12-28.三、網站部分臺灣證券交易所，借券系統介紹，上網日期2012年6月，檢自：https://www.twse.com.tw/ch/products/SBL/download/edu-info.pdf 描述 碩士
國立政治大學
財務管理學系
107357010資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357010 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.advisor Yueh, Meng-Lan en_US dc.contributor.author (Authors) 劉百耀 zh_TW dc.contributor.author (Authors) Liu, Bai-Yao en_US dc.creator (作者) 劉百耀 zh_TW dc.creator (作者) Liu, Bai-Yao en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:33:32 (UTC+8) - dc.date.available 3-Aug-2020 17:33:32 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:33:32 (UTC+8) - dc.identifier (Other Identifiers) G0107357010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130967 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 107357010 zh_TW dc.description.abstract (摘要) 本研究以2010至2019年共十年之上市公司為樣本，探討臺灣股市籌碼資料的資訊內涵。我們將歸屬於「機構法人」與「散戶」的籌碼資料計算成15種不同的籌碼指標，同時分成大、中、小三種市值股票池進行探討，依據每個籌碼指標由大至小排序，分別建立5個投資組合，並以日頻率動態調整投資組合之持股。透過考量交易成本後的投資組合績效，本研究分析哪些籌碼資料具有有效的資訊內涵，同時檢視籌碼資料與投資組合報酬的關係，期望能作為投資者於實務操作時的參考依據。 研究結果發現，首先，在屬於機構法人的籌碼資料中，投信買賣超張數指標最高的組別，於三種市值股票池中，不論是Sharpe ratio或是累積報酬率，皆有優於大盤的表現，意謂追隨投信買超較多的股票將能獲取較佳的報酬。而借券賣出張數指標最小的組別，皆具有Sharpe ratio優於大盤的表現，於大市值股票池中的累積報酬率更是優於大盤，代表借券賣出張數較少的股票具有較佳的股票報酬，為「消極看多」的操作邏輯。其次，在屬於散戶的籌碼資料中，融資使用率指標最低的組別，其Sharpe ratio於大、小市值股票池中具有優於大盤的表現，但累積報酬則未優於大盤。在大、小市值股票池中，融資使用率指標越高的組別，反而具有越差的績效表現，顯示融資使用率與股票報酬呈反向關係。 zh_TW dc.description.abstract (摘要) This research investigates the information contents of the trading data of listed companies in Taiwan stock market from year 2010 to 2019. We calculate two types of investing indicators from the trading data, the institutional and individual investors, respectively. We sort stocks into five portfolios according to each investing indicator, and rebalance the portfolios dynamically on a daily basis. Meanwhile, we also create three kinds of stock pools – large, medium, and small according to market size, and investigate whether there is any difference between market size. By measuring after-fee performance of these portfolios, we analyze which indicator contains informative contents, and check the relationship between trading data and portfolio returns, with the aim to create an investing guide for practical use.Empirical result indicates that according to the trading data of institutional investors, portfolios with the highest net bought by security investment trust companies (SITC) have better Sharpe ratio and cumulative return than market portfolio in three kinds of stock pools. It indicates that investors can get better returns if they buy the stocks which are most bought by SITC. Portfolios sold short the least by institutional investors have better Sharpe ratio than market portfolio in three kinds of stock pools, and the portfolio has better cumulative return in large-size stock pool. It implies that stocks sold short the least have better returns, indicating a “passive long signal”. In the trading data of individual investors, portfolios with the least margin purchase balance have better Sharpe ratio than market portfolio in large and small-size stock pools, but both of their cumulative returns can’t beat the market. We also find that these portfolios’ cumulative returns decrease while margin purchase balance increase, indicating a negative relationship between stock returns and margin purchase balance. en_US dc.description.tableofcontents 摘要 iAbstract ii目次 iii表次 v圖次 vii第壹章 緒論 1第一節 研究背景與動機 1第二節 研究目的 4第貳章 籌碼資料介紹與文獻探討 6第一節 籌碼資料介紹 6第二節 機構法人投資績效與操作特性相關文獻 8第三節 融資融券與股價報酬相關文獻 10第參章 研究設計與方法 12第一節 資料來源 12第二節 依據市值劃分三組股票池 13第三節 籌碼指標計算 14第四節 投資組合建立 21第五節 投資組合績效衡量 23第六節 四因子模型 28第肆章 實證結果與分析 30第一節 籌碼指標產生之投資組合於各市值的表現 31第二節 投資組合經風險因子調整後的報酬 39第伍章 結論與建議 43第一節 研究結論 43第二節 後續研究建議 44參考文獻 45附錄 47 zh_TW dc.format.extent 3623937 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357010 en_US dc.subject (關鍵詞) 法人買賣超 zh_TW dc.subject (關鍵詞) 融資 zh_TW dc.subject (關鍵詞) 融券 zh_TW dc.subject (關鍵詞) 投資策略 zh_TW dc.subject (關鍵詞) institutional investors’ net buy/sell en_US dc.subject (關鍵詞) margin purchase en_US dc.subject (關鍵詞) short sale en_US dc.subject (關鍵詞) investment strategy en_US dc.title (題名) 臺灣股市籌碼資料的資訊內涵-以籌碼指標建構投資組合之實證研究 zh_TW dc.title (題名) The Information Contents of Taiwan Stock Market Trading Data - An Empirical Study on Portfolio Constructed Using Indicators of Institutional and Individual Investors’ Trading Data en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文部分李志宏, 徐政義, 馬瑞辰, & 魏慧珊，（2017）。借券賣出交易對股票報酬率之影響。證券市場發展季刊，29(2)，75-106。范聖培（2014）。三大法人之買賣超行為對股價短期報酬之研究。國立中央大學財務金融學系在職專班碩士論文，桃園縣。葉怡芬（2004）。信用交易之資訊內涵及其投資策略獲利性之研究。國立成功大學財務金融研究所碩士論文，台南市。陳旻暄（2013）。賣空交易對股價報酬率影響之實證研究。國立中央大學財務金融學系碩士論文，桃園縣。陳建宏（2011）。借券交易對股價變化影響研究。國立臺灣大學經濟學研究所碩士論文，台北市。葉怡芬（2004）。信用交易之資訊內涵及其投資策略獲利性之研究。國立成功大學財務金融研究所碩士論文，台南市。林珊妏（2005）。台灣股票市場信用交易之投資策略。國立東華大學國際經濟研究所碩士論文，花蓮縣。蔡佩珊（2005）。台灣股票市場融券交易行為與股票報酬關係之研究。國立中正大學財務金融所碩士論文，嘉義縣。二、英文部分Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2008). Just How Much Do Individual Investors Lose by Trading? The Review of Financial Studies, 22(2), 609-632.Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82.Chiao, C., & Lin, K.-I. (2004). The Informative Content of the Net-Buy Information of Institutional Investors: Evidence from the Taiwan Stock Market. Review of Pacific Basin Financial Markets and Policies, 07(02), 259-288.Fama, E. F., & French, K. R. (1993). Common Risk-Factors in The Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56.Fang, H., Lu, Y. C., Yau, H. Y., & Lee, Y. H. (2013). Stock Characteristics Herded by Foreign Investors With Higher Abnormal Returns in The Taiwan Stock Market. Romanian Journal of Economic Forecasting, 16(4), 232-245.Hong, G., & Lee, B. S. (2011). The trading behavior and price impact of foreign, institutional, individual investors and government: Evidence from Korean equity market. Japan and the World Economy, 23(4), 273-287.Huang, R. D., & Shiu, C. Y. (2009). Local Effects of Foreign Ownership in an Emerging Financial Market: Evidence from Qualified Foreign Institutional Investors in Taiwan. Financial Management, 38(3), 567-602.Ko, K., Kim, K., & Cho, S. H. (2007). Characteristics and performance of institutional and foreign investors in Japanese and Korean stock markets. Journal of the Japanese and International Economies, 21(2), 195-213.Lai, C.-J., Lou, K.-R., & Shiu, C.-Y. (2008). Does foreign investors trade predict stock return? evidence from taiwan. International Journal of Information and Management Sciences, 19(3), 477-494.Lin, A., & Chen, C.-Y. (2006). The impact of qualified foreign institutional investors on Taiwan`s stock market. Web Journal of Chinese Management Review, 9.Zou, L. P., Tang, T. T., & Li, X. M. (2016). The stock preferences of domestic versus foreign investors: Evidence from Qualified Foreign Institutional Investors (QFIIs) in China. Journal of Multinational Financial Management, 37-38, 12-28.三、網站部分臺灣證券交易所，借券系統介紹，上網日期2012年6月，檢自：https://www.twse.com.tw/ch/products/SBL/download/edu-info.pdf zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000784 en_US
