| dc.contributor.advisor | 胡偉民 | zh_TW |
| dc.contributor.advisor | Hu, Wei-Min | en_US |
| dc.contributor.author (Authors) | 邱寵祐 | zh_TW |
| dc.contributor.author (Authors) | Chiu, Chung-Yu | en_US |
| dc.creator (作者) | 邱寵祐 | zh_TW |
| dc.creator (作者) | Chiu, Chung-Yu | en_US |
| dc.date (日期) | 2025 | en_US |
| dc.date.accessioned | 4-Aug-2025 14:22:49 (UTC+8) | - |
| dc.date.available | 4-Aug-2025 14:22:49 (UTC+8) | - |
| dc.date.issued (上傳時間) | 4-Aug-2025 14:22:49 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0112255021 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/158556 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財政學系 | zh_TW |
| dc.description (描述) | 112255021 | zh_TW |
| dc.description.abstract (摘要) | 本研究旨在探討投信法人每日買賣超金額是否可作為具預測力之交易訊號，進而建構短期選股策略，應用於臺灣股票市場。相較於多數以月或季資料為基礎之既有文獻，本文採用2015年至2025年共十年之日資料，以深入檢視投信籌碼在短期市場中的預測能力。策略設計借鏡動能策略邏輯（Jegadeesh & Titman, 1993），以前一交易日投信買超金額為依據，進行個股排序，建立Top1~Top5等不同分組組合，並設定1~15日持有期間，評估各策略在不同情境下之報酬表現，同時納入手續費與延遲建倉等情況，以模擬真實投資情境。
實證結果顯示：第一，多數（1,1）策略在未計入交易成本前皆能產生顯著正報酬，顯示投信買超訊號本身具備良好的報酬預測能力。第二，在設定觀察期為一日（J=1）、並採用Top5分組條件下，若僅持有5日內，仍無法有效抵銷交易成本影響，但當持有期拉長至6至15日時，即可顯著抵銷交易成本，提升策略整體報酬表現。第三，在本研究設計之多組策略設計中，透過前一日投信買超金額進行排序，並採用Top5分組、持有期設定為11日之策略，在累積報酬與其他測試表現皆最為優異。該策略不僅在報酬上顯著優於市場基準，亦能有效吸收交易成本，展現高度穩定性，即使於不同進場時點下，績效仍維持一致，顯示其具備良好操作彈性與實務應用潛力。
綜合而言，投信法人的交易行為確實蘊含短期預測力，並可轉化為具操作性的投資策略。本文不僅提升籌碼面研究之資料頻率，亦強調策略設計與實務可行性之連結，並聚焦於過往較少受到重視之投信法人，為法人籌碼訊號於短線操作應用提供了新的實證依據與研究方向。 | zh_TW |
| dc.description.abstract (摘要) | This study investigates whether the daily net buying amounts of domestic mu-tual funds (referred to as “investment trust institutions” in Taiwan) can serve as pre-dictive trading signals for constructing short-term stock selection strategies in the Taiwanese stock market. In contrast to most existing literature that relies on monthly or quarterly data, this paper utilizes daily data spanning a ten-year period from 2015 to 2025 to more closely examine the short-term predictive power of institutional trading activity. Drawing upon the momentum strategy framework proposed by Jegadeesh and Titman (1993), stocks are ranked based on the previous trading day’s net buying amount by mutual funds, and portfolios such as Top1 to Top5 are con-structed. These portfolios are held for 1 to 15 trading days, with strategy perfor-mance evaluated under various conditions, including transaction costs and delayed entry, to better reflect real-world investment scenarios.
The empirical findings reveal the following: First, most (1,1) strategies (i.e., one-day observation and one-day holding) generate significantly positive returns before transaction costs, indicating that mutual fund net buying signals possess pre-dictive power. Second, under the condition of a one-day observation period (J=1) and a Top5 grouping, short holding periods of fewer than five days fail to offset transac-tion costs. However, when the holding period extends to 6–15 days, the strategies yield significantly improved performance net of costs. Third, among all tested strategies, the one based on Top5 selection and an 11-day holding period delivers the most favorable results in terms of cumulative return and robustness across different tests. This strategy not only outperforms the market benchmark but also effectively absorbs transaction costs and maintains consistent performance across different en-try points, demonstrating strong practical feasibility and operational flexibility.
In conclusion, the trading behavior of mutual funds in Taiwan exhibits short-term predictive power that can be transformed into actionable investment strategies. This study contributes to the literature by utilizing high-frequency (daily) data in institutional trading research, emphasizing the connection between strategy design and practical implementation, and focusing on the relatively underexplored role of domestic mutual funds. The findings provide new empirical evidence and re-search directions for applying institutional trading signals to short-term investment strategies. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1
第二章 文獻探討 3
第一節 市場效率假說 3
第二節 市場異象與動能策略 4
第三節 法人籌碼與投資策略 5
第三章 研究設計 9
第一節 研究架構 9
第二節 研究方法 10
第三節 樣本與資料來源 11
第四章 實證結果與分析 12
第一節 敘述性統計與樣本分佈 12
第二節 短期籌碼訊號策略之初步績效分析 14
第三節 含手續費下（1,k）Top5策略績效比較 15
第四節 穩健性檢驗：調整建倉時點 25
第五節 主策略與市場基準（0050 ETF）績效比較 29
第六節 結論與後續建議 30
參考文獻 32 | zh_TW |
| dc.format.extent | 2023944 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0112255021 | en_US |
| dc.subject (關鍵詞) | 投信法人 | zh_TW |
| dc.subject (關鍵詞) | 籌碼面 | zh_TW |
| dc.subject (關鍵詞) | 短期選股策略 | zh_TW |
| dc.subject (關鍵詞) | 延後建倉 | zh_TW |
| dc.subject (關鍵詞) | 台灣股市 | zh_TW |
| dc.subject (關鍵詞) | Investment Trusts | en_US |
| dc.subject (關鍵詞) | Institutional Holdings | en_US |
| dc.subject (關鍵詞) | Short-Term Stock Selection Strategy | en_US |
| dc.subject (關鍵詞) | Delayed Entry | en_US |
| dc.subject (關鍵詞) | Taiwan Stock Market | en_US |
| dc.title (題名) | 以投信法人買超排序建構短期選股策略──台股日資料之實證研究 | zh_TW |
| dc.title (題名) | Constructing Short-Term Stock Selection Strategies by Ranking Institutional Net Buying: Empirical Evidence from Taiwan Daily Data | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 英文部分
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