美國次級房貸金融危機期間台灣股票市場外資交易行為研究

The Foreign Institutional Trading in Taiwan Stock Market during US Sub Prime Mortgages Crisis

10.29698/FJMR.201205.0004

李顯儀(Hsien-Yi Lee)；陳信宏(Hsin-Hung Chen)；張志豪(Chih-Hao Chang)；莊英俊(Ing-Jiunn Juang)

次級房貸金融風暴 ； 外資 ； 正向回應交易 ； sub prime mortgages financial crises ； foreign institutional ； positive feedback trading

輔仁管理評論

19卷2期（2012 / 05 / 01）

91 - 116

繁體中文

本研究係以2007年7月所發生的美國次級房貸金融風暴為研究事件，探討外資交易行為是否在次級房貸金融風暴前後有所差異。其實證結果發現：外資在次級房貸金融風暴發生後之正向回應交易行為較發生前明顯；此外，外資在金融風暴發生期間的大量買（賣）超，只會導致股票異常報酬短暫改變，並不會影響股票市場的穩定。另外，本文最重要發現為此次金融風暴與以往比較得知，外資在以往金融危機期間追漲殺跌的標的股票集中在大型股，但此次金融危機期間卻集中在中小型股。

This paper examines whether the trading behaviors of foreign institutional investors are different before and after US sub prime mortgages crises in July, 2007. The results show the positive feedback behaviors are more significant after sub prime mortgages crisis. Moreover, the foreign institutional investors buy (sell) lots of stocks, but only result in abnormal return of the stocks in short term. The behaviors will not affect the stability of the stock market. Further, the crucial finding is that the foreign institutional investors usually focus on the stocks of large companies and buy the winners and sell the losers before US sub prime mortgages crises. However, they focus on the stocks of medium and small companies during sub prime mortgages crises.

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