The Impacts of Net Buy/Sell of Institutional Investors, Margin Trading and Short Selling on Stock Returns

• Main Authors: SHIH.CHUNG-LING, 石仲伶
• Other Authors: CHENG,YEN-SHIN
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/8fz2up

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士在職專班 === 106 === The purpose of the research is to discuss the impact on the rate return of stock prices caused by net buy/sell of three major institutional investors and changes of margin balance. The research takes the data of 2000 trading days from January 2006 to December 2017 of listed companies in Taiwan as samples, divide samples into the electronic industry and the non-electronic industry, and use regression analysis as the method to carry on the analysis and the discussion. The outcome of the research implies that no matter we consider marketing factors or not, the average rate return of stock prices within electronic industry and non-electronic industry appear to be positive and significant. When margin balance, foreign investors, investment trust, margin trading and short selling increase simultaneously, the change in average rate return of stock prices present to be positive and significant. In other hand, When margin balance, foreign investors, investment trust, margin trading and short selling decrease simultaneously, the change in average rate return of stock prices present to be negative and significant. Only when the balances of dealers net buy/sell change, without considering marketing factors, average rate return of stock prices in electronic industry present to be negative, while being positive in non-electronic industry, which shows that the balances of dealers net buy/sell have different degrees of impact within different industries. In considering marketing factors, the balances of dealer net buy/sell appear to be negative and significant.