外資於危機事件期間之交易策略與投資績效

Foreigner's Trading Strategy and Investment Performance During Crisis Events

10.6545/JFS.2005.13(1).3

林盈課(Anchor Y. Lin)；林佳興(Jai-Shing Lin)；林丙輝(Bing-Huei Lin)

外資 ； 交易策略 ； 危機事件 ； 投資績效 ； foreign investors ； trading strategies ； crisis event ； investment performance.

財務金融學刊

13卷1期（2005 / 04 / 30）

61 - 98

繁體中文

本文探討過去十年台灣發生重大危機事件前後，外國投資者持股偏好、交易行為、反投資績效。實證結果顯示，外資在危機起事件期間偏好市值大、市值帳面比低、有發行ADR/GDR、與槓桿程度低的公司。外資在平常期間傾向採用動能策略，亦即買進過去股票上漲贏家組合、賣出過去下跌輸家組合。而在危機事件期間，加強短天期（1~4天）動能操作，在較長天期（10-20天），則對贏家組合依然採行動能操作，但對輸家組合採行反向操作，亦即買入前期大漲或大跌的股票。危機事件發生前，外資在短天期（1~5天）各項投資組合的績效表現均相當優異；危機事件發生後，外實在贏家投資組合的表現更為優異，但輸家組合的優異表現則減弱消失。外資在短天期的表現較佳，在調整風險因素過後表現反而更佳，但是，在調整動能效果之後績效顯得較差。實證結果表示外資短天期優異績效表現，主要來自買進未來上漲贏家組合、而非賣出未來下跌輸家組合。而且，優異績效部分來自短期價格的動能推動，而非來自於冒險高的投資風險。

This study examines the firm preferences, trading strategies, and investment performances of foreign investors in Taiwan's stock markets before and after twelve major crisis events. The empirical results show that foreign investors prefer large-size, low-market-to-book ratio, high-earning-to-price ratio, and low-debt-ratio stocks. Prior to major crisis events, foreign invetors tend to employ winners-losers momentum trading strategies by buying past winner stocks and selling past loser stocks. After crisis events, foreign investors strengthen their winner-loser momentum trading strageties in the one-to-four-day horizon, while they employ loser contrarian trading strategies by buying past losers in the ten-to-twenty-day horizon. Prior to crisis events, foreign investors perform well on both winner portfolios and loser portfolios in the one-to-five-day horizon. After crisis events, foreign investors perform event better in winner portfolios while they perform poorly in loser portfolios. The empirical findings also show that the short-term superior performance for foreign investors mainly result from buying past winners rather than selling past losers. And their superior performances are partly driven by price momentum of winners portfolios rather than by risk taking.

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