本文探討台灣股市在2012 年至2017 年間，三大法人進出與台灣股票短期報酬關係之研究。在本文依0050追蹤的是台灣證券交易所與FTSE合作編製的台灣50指數。該指數由台股市場市值最大的50家公司所組成。 台灣50指數每三個月進行成份股審核(於每年的三、六、九、十二月)。審核時，假如非成份股的市值上升到第40名以上，則納入成份股。原先成份股的市值假如跌到61名以下，則自指數中刪除。這是簡單明確的選股規則，目的就是要囊括台股中市值最大的五十家公司。本文以2017年六月台灣0050指數前十大持股為標的，觀察三大法人進出行為是否與報酬率有關係並可以作為一般投資人投資之參考依據。實證結果發現，三大法人連續買(賣)超之股票呈現顯著之正(負)報酬。因此，三大法人進出行為確實與報酬率有顯著關係，投資人可以依三大法人進出行為的變化作為參考，讓資產穩健增長。;This paper investigates the relation between the three legal entities net buy-and-sell and the short-term performance of Taiwan Stocks from 2012 and 2017. Taiwan Top 50 ETF used in this article is developed by Taiwan Stock Exchange and FTSE. This index consists of the top 50 companies based on their market value. The constituents of Taiwan Top 50 ETF will be audited on March, June, September, and December every year. If a rank of a non-constituent stock’s market value rises to top 40, this stock will be included in Taiwan Top 50 ETF. In constrast, the constituent will be removed from Taiwan Top 50 ETF if the rank of its market value drops below sixty-first. This selection rule is simple and the purpose is to contain the top 50 companies based on market value.
This article uses top ten constistuents of Taiwan Top 50 ETF as samples and observes the relation between three legal entities’ behavior of buying and selling and stocks’ performance. The purpose is to test whether retail investors can take the behavior of three legal entities as reference. Empirical results show that the stock which is continuously bought (sold) by three legal entities has significantly positive (negative) return. In other words, three legal entities’ behavior have significant relation with stock return. Therefore, investors can take the change of three legal entities’ behavior as a reference to make assets grow stably