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題 名 | 法人交易對金控產業股價之動態分析=The Dynamic Analysis of Institutional Trading Impact on Stock Price of Financial Holding Industry |
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作 者 | 莊美娟; 鄭佩珍; 陳清翼; | 書刊名 | 臺灣土地金融季刊 |
卷 期 | 42:3=165 民94.09 |
頁 次 | 頁189-213 |
分類號 | 563.53 |
關鍵詞 | 多變量變異數分析; Granger causality因果關係; 脈衝反應; 預測誤差變異數分解; Multivariate statistical; Granger causality test; Impluse response; Forecast error variance decomposition; |
語 文 | 中文(Chinese) |
中文摘要 | 本文利用多度量變異數分析及向量自我迴歸(VAR)方法,探討國內法人機構參與金控產業股票的投資選擇互動關係,得到(1)全體法人針對不同資本規模與經營主體的金控公司間,在選擇股票無任何偏好差異存在。(2)所有個別法人的買賣超對富邦金、國泰金、兆豐金、台新金、建華金,中信金及第一金等公司股價的漲跌,具有資訊內涵的效果,可作為領先指標。(3)在5%的顯著水準下,金控產業的股價,皆受自身前一期股價的負向影響;然而三大法人進場買賣金控產業股票時,確實會影響股價的漲跌。(4)金控產業的股價受到自身股價衝擊最大,三大法人買賣衝擊則次之;且全數金控股價受到衝擊,最初皆呈正向反應,且上下跳動後收斂。(5)就金控股價來自自身股價解釋能力有達八成五以上者,分別為開發金、復華金及玉山金;其次受到三大法人的解釋能力皆達一~二成不等,並逐期微量遞增。 |
英文摘要 | This paper applied the methodologies of Multivariate statistic analysis and vector Autoregression model to the explanation of the interaction about institutional investors’ investment on the stocks of Financial Holding Industry (FHI) in Taiwan. Research has shown that (1) There is no preference difference, when institutional investors making investment on the FHI, neither the diverse capital scale nor the management entity. (2) Net buying and selling dollar amounts of individual institutional investor has an informative effect on the fluctuation of stock prices among Fubon(富邦金)、Cathay(國泰金)、Mega(兆豐金)、Taishin(臺新金)、Sinopac(建華金)、Chinatrust(中信金)and First(第一金) holding companies, it would be a great leading time index. (3) The stock prices of FHI have a negative relation with themselves of previous day under the 5% significance level. However, the fluctuation of stock prices of FHI was influenced by institutional investors. (4) The impulse response of stock prices of FHI was affected by themselves, which was relatively stronger than that by net buying and selling dollar amounts from institutional investors. The impulse response was positive initially, then jumped closing finally. (5) Forecast Error Variance Decomposition on stock price fluctuation of FHI, it is above 85% highly explanation on the stock prices of FHI themselves, such as China Development (開發金)、Fuhwa(復華金)and E.Sun(玉山金). It has 10%~20% explanation on institutional investors, and rising slightly after periods gradually. |
本系統中英文摘要資訊取自各篇刊載內容。