台灣股票市場外資投資行為與績效表現之研究

• Main Author: 呂茵琦
• Other Authors: 梁 恕
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/82891681702537670018

碩士 === 東吳大學 === 國際貿易學系 === 90 === The major purpose of this paper is to analyze investment behavior and performance of foreign investors in Taiwan stock market. It tries to discuss the return and performance by using investment behavior following the momentum or contrarian strategy. This research use 36 common stocks of MSCI elements as sample. The sample period is August 2000 to April 2002. The empirical results of this study are as follows: (1)Using buy ratio difference, the foreign investors tend to be momentum behavior, buying winning stocks and sell losing stock. In the five past-return horizons, momentum oriented is significant in recent short past-return horizons. (2)The foreign investors will maintain the same investment strategy for a certain period. (3)Using buy ratio difference, the foreign investors can’t generate superior performance both in long term period and short term period. When using Jensen αindex, Jensen α value above zero, but do not significant. The foreign investors use momentum behavior can’t generate abnormal returns.