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| 題名: | 以投信法人買超排序建構短期選股策略──台股日資料之實證研究
Constructing Short-Term Stock Selection Strategies by Ranking Institutional Net Buying: Empirical Evidence from Taiwan Daily Data |
| 作者: | 邱寵祐
Chiu, Chung-Yu |
| 貢獻者: | 胡偉民
Hu, Wei-Min
邱寵祐
Chiu, Chung-Yu |
| 關鍵詞: | 投信法人
籌碼面
短期選股策略
延後建倉
台灣股市
Investment Trusts
Institutional Holdings
Short-Term Stock Selection Strategy
Delayed Entry
Taiwan Stock Market |
| 日期: | 2025 |
| 上傳時間: | 2025-08-04 14:22:49 (UTC+8) |
| 摘要: | 本研究旨在探討投信法人每日買賣超金額是否可作為具預測力之交易訊號，進而建構短期選股策略，應用於臺灣股票市場。相較於多數以月或季資料為基礎之既有文獻，本文採用2015年至2025年共十年之日資料，以深入檢視投信籌碼在短期市場中的預測能力。策略設計借鏡動能策略邏輯（Jegadeesh & Titman, 1993），以前一交易日投信買超金額為依據，進行個股排序，建立Top1~Top5等不同分組組合，並設定1~15日持有期間，評估各策略在不同情境下之報酬表現，同時納入手續費與延遲建倉等情況，以模擬真實投資情境。
實證結果顯示：第一，多數（1,1）策略在未計入交易成本前皆能產生顯著正報酬，顯示投信買超訊號本身具備良好的報酬預測能力。第二，在設定觀察期為一日（J=1）、並採用Top5分組條件下，若僅持有5日內，仍無法有效抵銷交易成本影響，但當持有期拉長至6至15日時，即可顯著抵銷交易成本，提升策略整體報酬表現。第三，在本研究設計之多組策略設計中，透過前一日投信買超金額進行排序，並採用Top5分組、持有期設定為11日之策略，在累積報酬與其他測試表現皆最為優異。該策略不僅在報酬上顯著優於市場基準，亦能有效吸收交易成本，展現高度穩定性，即使於不同進場時點下，績效仍維持一致，顯示其具備良好操作彈性與實務應用潛力。
綜合而言，投信法人的交易行為確實蘊含短期預測力，並可轉化為具操作性的投資策略。本文不僅提升籌碼面研究之資料頻率，亦強調策略設計與實務可行性之連結，並聚焦於過往較少受到重視之投信法人，為法人籌碼訊號於短線操作應用提供了新的實證依據與研究方向。
This study investigates whether the daily net buying amounts of domestic mu-tual funds (referred to as “investment trust institutions” in Taiwan) can serve as pre-dictive trading signals for constructing short-term stock selection strategies in the Taiwanese stock market. In contrast to most existing literature that relies on monthly or quarterly data, this paper utilizes daily data spanning a ten-year period from 2015 to 2025 to more closely examine the short-term predictive power of institutional trading activity. Drawing upon the momentum strategy framework proposed by Jegadeesh and Titman (1993), stocks are ranked based on the previous trading day’s net buying amount by mutual funds, and portfolios such as Top1 to Top5 are con-structed. These portfolios are held for 1 to 15 trading days, with strategy perfor-mance evaluated under various conditions, including transaction costs and delayed entry, to better reflect real-world investment scenarios.
The empirical findings reveal the following: First, most (1,1) strategies (i.e., one-day observation and one-day holding) generate significantly positive returns before transaction costs, indicating that mutual fund net buying signals possess pre-dictive power. Second, under the condition of a one-day observation period (J=1) and a Top5 grouping, short holding periods of fewer than five days fail to offset transac-tion costs. However, when the holding period extends to 6–15 days, the strategies yield significantly improved performance net of costs. Third, among all tested strategies, the one based on Top5 selection and an 11-day holding period delivers the most favorable results in terms of cumulative return and robustness across different tests. This strategy not only outperforms the market benchmark but also effectively absorbs transaction costs and maintains consistent performance across different en-try points, demonstrating strong practical feasibility and operational flexibility.
In conclusion, the trading behavior of mutual funds in Taiwan exhibits short-term predictive power that can be transformed into actionable investment strategies. This study contributes to the literature by utilizing high-frequency (daily) data in institutional trading research, emphasizing the connection between strategy design and practical implementation, and focusing on the relatively underexplored role of domestic mutual funds. The findings provide new empirical evidence and re-search directions for applying institutional trading signals to short-term investment strategies. |
| 參考文獻: | 英文部分
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中文部分
王子湄、蕭朝興（2008）。台灣股市三大法人委託型態與價格行為之實證分析。管理與系統，15(1)，55–92。
石桂鳳（2009）。外資買賣超行為與臺灣股價變動之研究。國立政治大學行政管理碩士學程，碩士論文。
林軒白（2016）。外資與投信之買超行為及資訊價值。國立臺灣大學財務金融學系，碩士論文。
洪碧霞、李顯儀（2013）。國內股票型共同基金之投資集中度效果分析。財務金融學刊, 21(1)，83–122。
羅蔣浩（2021）。法人持股對股價資訊含量、股價崩盤風險及崩盤後報酬率之影響。國立臺灣師範大學管理研究所，碩士論文。
陳宥豪（2021）。台灣股市三大法人持股比例變動對股價報酬率之影響。國立中正大學財務金融系研究所，碩士論文。
陳秀慧（2022）。法人買賣超與股價報酬率關聯性之研究。輔仁大學金融與國際企業學系金融碩士在職專班，碩士論文。
譚曾瑄（2023）。機構投資人與股票報酬：台灣市場之證據。中原大學財務金融學系，碩士論文。 |
| 描述: | 碩士
國立政治大學
財政學系
112255021 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0112255021 |
| 資料類型: | thesis |
| 顯示於類別: | [財政學系] 學位論文
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