外資買賣超對個股之影響; The Influence of QFII Net Buy/Sells of Stock Prices

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/48894

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/48894

Title:	外資買賣超對個股之影響;The Influence of QFII Net Buy/Sells of Stock Prices
Authors:	翁玉真;Yu-Chen Weng
Contributors:	財務金融學系碩士在職專班
Keywords:	空頭;靜態模型;外資;多頭;報酬;short;long;return;static model;Qualified foreign institutional investor (QFII)
Date:	2011-07-22
Issue Date:	2012-01-05 15:09:16 (UTC+8)
Abstract:	本文以台積電、鴻海、中華電信及國泰金控為樣本。主要研究外資買賣超對個股報酬的影響。進而得知外資買賣超大的投資組合在進行交易後，是否具產生影響國內自然人(散戶)、機構投資人(法人)的買賣行為? 本文的研究資料選取台股市值較大之前四支個股，研究期間自2006/1/1至2008/12/31，包含了全球金融海嘯前風暴後。研究方法採靜態模型，以不同的外資買賣超投資組合，在組合日前後五日的股價報酬檢視是否對個股股價產生變異。實證結果發現，在研究的四支個股中，外資買超時股價呈現愈買愈漲，外資賣超則反之愈跌。在買賣方向則與國內自然人及法人呈現反向行為，不論是在空頭或多頭市場亦同。 This paper invistigates the price impact of the listed stocks from the foreign investors' over bought/over sold activities in the stock market. In this reserch, TSMC, Hon Hai, Chunhwa Telecom, and Cathay Financial Holding are adopted as the sample. We try to figure out how much is the impact on the domestic individual investors and institional investors effected by the sizable trading/holding behavior of the foreign investors. During the study period from 2006/1/1 to 2008/12/31, this study aims at four stocks with the bigest market value in Taiwan, adopting a static analysis model to observe different foreign investors' trading/holding five days before and after the specific target date to see the impact of the related changes in stock price. The empirical result shows that all four stocks prices were influenced by the forgign investors: overbought-up, and oversold-down. But the domestic individual and institional investors perform reversly, either in short or long market.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	869	View/Open

社群 sharing

Loading...