當日沖銷與法人買賣超對股價波動之影響

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Title:	當日沖銷與法人買賣超對股價波動之影響 The Influence on Stock Volatility, Caused by Day Trading and Transaction of Institutional Investors
Authors:	李維鴻 LI, Wei-Hung
Contributors:	國際貿易學系
Keywords:	法人買賣超股價波動當日沖銷 institutional investors day trading stock volatility
Date:	2013-06
Issue Date:	2013-10-22 14:47:37 (UTC+8)
Abstract:	台灣股市自從1988年來呈現快速的成長，不論是投資人數、上市公司家數、市場成交量及股票總市值等均大幅的成長，而長期的股票市場的表現上卻是起伏不定，本研究主要探討當沖交易與法人買賣超股價波動的影響。在股票市場中多數散戶投資者認為投資機構擁有更多正確之未公開的消息，故投資機構的交易行為也有可能會造成股價波動；另外許多文獻提出當日沖銷交易制度開放後也會造成股價波動。當日沖銷當日沖銷交易雖然能使投資者規避長期市場價格波動風險卻也可能因為交易筆數過多的手續費減少獲利。本研究之研究期間為2011/1/1至2012/12/31，樣本資料來源取自於台灣經濟新報(Taiwan Economic Journal, TEJ) 之TEJ Equity籌碼分佈裡的台灣50 (0050)之外資、自營商、投信與三大法人之買賣超張數與成交比重與信用交易比重和當日沖銷比例各別共497筆資料，每日逐筆比較當沖交易與法人買賣超是否會造成股價的波動，並且比較三大法人之中的外資、自營商、投信的成交比重對於股價波動幅度是否存在差異與誰最為明顯。實證結果法人買賣超與法人成交比重並不會影響股價波動，當日沖銷會造成股價的波動。 Taiwan stock market has been rapidly growing since 1988, including the numbers of investors, listed companies, stock dealings and total values of stock. On the contrary, long-term stock market has shown ups and downs. This research majorly discuss the influence on Stock Volatility , caused by Day trading and Transaction of Institutional Investors. As the majority investors think that institution investor have more accurate un-released news, the deal behavior might have bigger chances to cause the Stock Volatility; moreover, there are references indicate that the availability of day trading standard will also made impacts on Stock Volatility. Although the day trading could avoid the risk of long-term stock volatility, there are still chances for reducing benefits by over-charged the handle-fees. The research is to discuss the influence on day trading and transaction of institu-tional investors, duration from 2011/1/1 to 2012/12/31. The research sample is based on TEJ (Taiwan Economic Journal). The research result has shown that the institutional investors won’t influence the stock volatility, however, the day trading will do.
Appears in Collections:	[Department of International Trade 7 Graduate Institute of International Trade ] Thesis

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