法人日內投資行為及跟隨法人投資策略

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姓名

林育屏(Yu-Ping Lin) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

法人日內投資行為及跟隨法人投資策略
(A Study on Intraday Trading Behavior of Institutional Investors and StrategyFollowing Intraday Institutional Information)

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摘要(中)

許多前人研究發現在台灣股市中跟隨法人投資是沒有獲利空間的。這篇論文檢視法人日內交易行為，並且跟隨法人日內交易。
我們利用cite{crvhier04}的方法，發現機構投資人喜歡在開盤跟收盤下積極定單交易且從沒有資訊的投資人那獲得報酬。
此外，機構投資人是趨勢交易者，且不喜歡在前期交易量大或是前期波動性大時交易。
我們也發現考慮法人日內資訊是有價值的。

摘要(英)

In Taiwan stock market, followiing daily institutional investors’’ net-buy (sell) information after close is found not to be profitable in previous literatures.
This paper examines the intraday trading behavior of institutional investors in Taiwan Stock Exchange and the investment strategy following intraday institutional investors.
Using the methodology employed by Campbell et al (2004),we find institutional investors fare more likely to submit aggressive orders at open and close than midday to gain from uninformed traders;besides, institutional investors are momentum traders and do not like to submit aggressive orders when previous traded volume and volatility is large.
We also find intarday institutional information is worth taking into consideration.

關鍵字(中)

★ 機構投資人
★ 限價單
★ 日內交易行為

關鍵字(英)

★ Limit Order
★ Aggressive Order
★ Intraday Trading Behavior
★ Institutional Investors

論文目次

Contents
1 Introduction ............................................................. 1
2 Data and Methodology ......................................................3
2.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.2 Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.2.1 Identification of Institutional Orders . . . . . . . . . . . . . . 4
2.2.2 The Investment Strategy . . . . . . . . . . . . . . . . . . . . . 9
2.2.3 Return Calculations . . . . . . . . . . . . . . . . . . . . . . . 11
3 Empirical Results 12
3.1 Analysis of Institutional Intraday Trading . . . . . . . . . . . . . . . 12
3.1.1 Trade Sizes Comparison . . . . . . . . . . . . . . . . . . . . . 12
3.1.2 Open, Close and Middle-of-the-day Comparison . . . . . . . . 13
3.1.3 Interaction Effect: Previous Trading Volume . . . . . . . . . . 13
3.1.4 Interaction Effect: Previous Return . . . . . . . . . . . . . . . 14
3.1.5 Interaction Effect: Previous Volatility . . . . . . . . . . . . . . 14
3.1.6 Explanatory Power . . . . . . . . . . . . . . . . . . . . . . . . 15
3.2 Abnormal Return Following Institutional Investors . . . . . . . . . . 15
4 Conclusion 17
Reference 33

參考文獻

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指導教授

賴弘能(Hung Neng Lai)

審核日期

2006-7-20

推文