What Kind of Trading Drives Return Autocorrelation?

什麼樣的交易導致報酬率自我相關？

10.6545/JFS.2010.18(2).3

謝俊魁(Chun-Kuei Hsieh)；胡星陽(Shing-Yang Hu)

機構投資人交易 ； 訊息交易 ； 報酬率自我相關性 ； 賣空限制 ； Institutional trading ； information trading ； return autocorrelation ； short-sale constraints

財務金融學刊

18卷2期（2010 / 06 / 30）

65 - 99

英文

Llorente, Michaely, Saar, and Wang（2002）使用橫斷面資料檢驗他們的理論預測：訊息交易會造成正向的報酬率自我相關性；本文則從時間序列的角度出發，以日資料探討台灣股市三大法人交易對於報酬率自我相關性的影響，重新檢驗Llorente, Michaely, Saar, andWang（2002）的理論預測。我們得到與該理論預測一致的實證發現：投信及外資的交易造成了正向的股票報酬率自我相關性；這個現象在市值較大的股票尤其顯著。而自營商的交易則沒有這種現象。在台灣，機構投資人的借券交易受到法律的限制；我們則發現：相對於賣出行為，投信的買入行為造成了較強的正向報酬率自我相關性。根據以上這些發現所建構的投資組合，在樣本期間獲得了顯著的正報酬。

This paper proposes new tests for the prediction of Llorente, Michaely, Saar, and Wang (2002) that information trading drives positive autocorrelation. Daily data from the Taiwan Stock Exchange is used to exploit the differences in the trading motivations of three groups of institutional investors. Consistent with the predictions, we find that heavy trading by foreigners and mutual funds will increase the autocorrelation particularly for large firms, and that heavy trading by dealers will not. We also find that the sell volume of mutual funds-short sales are disallowed by regulation-has significantly smaller effect on the autocorrelation of returns than buy volume. A portfolio strategy that exploits the observed autocorrelation pattern can generate a significantly positive daily return.

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