近年來三大法人在台灣股市交易比重逐年增加，三大法人的交易也對股票市場有重要的影響。本文主旨在探討三大法人在我國股票市場，其買賣超對高價股報酬率的影響。 研究樣本期間選取2017 年至2019 年共36 個月資料，針對台灣股價前50 名高價股以追蹤資料(Panel Data)迴歸模型進行分析；並對50 檔高價股進行自回歸檢定是否有自我相關，並以Newey-West 修正異質變異及自我相關，選取三大法人買賣超變數驗證與股價報酬之關聯性。 實證結果顯示，三大法人買賣超對高價股報酬皆有正向顯著影響，其中外資與投信的交易對高價股報酬影響更為顯著。投資人在投資高價股時，可參考三大法人的交易以提高投資勝率。;In recent years, the proportion of institutional investor investment in Taiwan’s stock market has been gradually increasing, which also has an important impact on the stock market. This study aims at examining the impacts brought by stocks returns in terms of Investor investment net buy/sell. The study sample period started from 2017 to 2019; a total of 36 monthly data were collected. Then apply the panel data regression model to discuss the relationship between institutional investor net buy/sell and stocks returns. We observed the data through AR(q) examination from top 50 high-priced stocks. Then we modified the autocorrelation and heteroskedasticity through the method of Newey-West. Take institutional investornet buy/sell variables to verify the correlation with stock returns. The conclude, the institutional investor trading have a positive correlation impact on the returns of high-priced stocks. Among them, the foreign investors and investment trust has a more obvious impact on the returns of high-priced stocks.When investing in high-priced stocks, investors can refer to the transactions of the institutional investor to increase the win rate in trading.
