Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23587
標題: The Information Content of China-Concept Stocks Traded by Institutional Investors
三大法人交易中國概念股資訊內涵之探討
作者: 王敏鐘
Wang, Ming-Jhong
關鍵字: China-Concept Stocks
中國概念股
Institutional Investors
Net-Buy Volume
Vector Autoregression
Home Bias
Lead-Lag
機構投資人
買賣超
向量自我迴歸
投資偏誤
領先落後
出版社: 財務金融系所
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摘要: In this paper, we treat whether individual investors take the public information regarding net-buy (sell) volumes of institutional investors into considerations for trading since the China-concept stocks are blooming recently in Taiwan's stock markets. China-concept stocks are the firms whose book value of mainland's investment accounting for the total firm's book value more than 10%. When investing by following institutional investors, we find that the return of portfolio composed of “all net-buy (sell) China-concept stocks” surpass that of “all net-buy (sell) listed stocks”. We further focus on the “top 5” China-concept stocks which are net-bought and net-sold by institutional investors, and then combine these two with contrarian strategy and momentum strategy to form a long-short investment. When investing by following foreign institutional investors, we show that the return of long-short investment composed of “top 5 net-buy (sell) China-concept stocks” is most outstanding among three major institutional investors in Taiwan. Besides, after reducing the trading costs, it exists a significant abnormal return and outperforms the contemporaneous Taiwan's 50 index return. The empirical results demonstrate that the top 5 China-concept stocks traded by institutional investors are exactly the profitable informed contents. This result is the diversity of other literature. Moreover, this paper detects that it exists open price surpassing close price on the next trading day when the stock was net-bought by foreign institutional investors (F.I.) and security investment trust companies (S.I.T.C.). Both open price and close price are higher than the prior net-bought day's close price. It also exists open price surpassing close price on the next trading day when the stock was net-sold by F.I. and S.I.T.C. However, close price is lower than the prior net-sold day's close price. Finally, We adopt VAR model to demonstrate that both F.I. and S.I.T.C. follow each other's preceding behaviors on trading the China-concept stocks, and F.I. dominates negatively the China-concept stocks' index and Taiwan's 50 index return by the dollar-volume proportion of China-concept stocks on prior day.
本研究主要目的欲探討在台灣近年來中國概念股於股票市場崛起下,投資人能否從法人買賣超個股數量的公開交易資訊作為投資實務上之一項參考資訊。研究資料採用國內所有上市公司作為研究標的,而中概股定義則採用以公司投資大陸帳面價值佔公司總帳面價值之10%以上作為篩選指標。 研究結果發現跟隨法人「所有買賣超中概股」的投資組合績效較跟隨法人「所有買賣超上市個股」的投資組合為佳。進一步鎖定法人「前五大」買超與賣超之中概股名單,接著將買超投資組合與賣超投資組合結合反向策略(Contrarian Strategy)與動能策略(Momentum Strategy)形成一買一賣投資模式,發現三大法人之中以外資所建構之「前五大買賣超中概股」投資策略的績效最為優異,於考慮交易成本後仍有顯著超額報酬,並且擊敗同期間台灣50指數報酬率。實證顯示法人進出前五名之中概股是散戶更具跟隨的獲利資訊,此為本研究與過去文獻不同之處。 除此之外,本研究發現外資與投信「買超」之個股於下一交易日產生開盤價高於收盤價的現象,且兩者價格皆大於買超當日之收盤價。外資與投信「賣超」之個股於下一交易日同樣存在開盤價高於收盤價的現象,然而收盤價卻是低於賣超當日之收盤價。最後,利用向量自我迴歸(VAR)模型發現外資與投信兩大機構投資人於買賣中國概念股時,兩者存在互相跟隨對方前日交易行為之現象,而外資前日投資中概股之金額比例亦為中概股指數報酬率的領先指標。
URI: http://hdl.handle.net/11455/23587
其他識別: U0005-0807200911240300
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0807200911240300
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