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研究生： 許昱斌
Hsu, Yu-Ping
論文名稱： 投資策略研究-追蹤大股東交易行為，以台灣市場為例
Investment strategy research – Following major shareholders transactions in Taiwan
指導教授： 謝惠璟
Hsieh, Hui-Ching
學位類別： 碩士
Master
系所名稱： 管理學院 - 國際經營管理研究所碩士在職專班
Institute of International Management (IIMBA--Master)(on the job class)
論文出版年： 2017
畢業學年度： 105
語文別： 英文
論文頁數： 85
中文關鍵詞： 交易策略 、大股東交易行為 、異常報酬 、內線交易 、台灣證券市場
外文關鍵詞： Investment strategy, Major shareholders behavior, Abnormal return, Insider trading, Taiwan stock market.
相關次數： 點閱：162  下載：1 
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    • 雖然我國法規對於內線交易的規則較其他國家來的嚴格，但實際上內線交易往往難以被發現，在過去的文獻中，內部人可透由內線交易獲取異常報酬，在本研究中，我們利用台灣集保中心所製作的股權分散表，追蹤持股超過1,000,000股大股東的股權變動情形，以880家上市公司為研究目標，設計一個交易策略，研究我們是否可利用追蹤大股東的交易策略獲得超額報酬。

    Insider trading scandals happened frequently in Taiwan stock market. In fact, most of insider scandals are not easy to be found. Although Taiwan government has some regulations and laws to prohibit these illegal activities, it’s hard to put into practice. Previous research brought up that abnormal return existed in insider trading scandals. Retail investors obviously get hurt by these scandals. In this research, we try to trace major shareholders’ path by monitoring the changes of shareholders who hold more than 1,000,000 stocks to build our investment strategy.
    This study discusses targets selected, time to sell stocks and cover all 880 listed companies in Taiwan stock market. We get 2.03% abnormal return in one month and 13.3% abnormal return in six months based on TDCC’s report. It means that we may acquire positive abnormal return by following major shareholders’ transactions. We also find that there may be a positive correlation between holding periods and abnormal return. If major shareholders continuously acquire or hold stocks for a longer period, we can expect more abnormal returns in these cases. In this research, we also find that setting a period of time or taking profit point may be superior to selling stocks based on this research.

    ABSTRACT I ACKNOWLEDGEMENTS II TABLE OF CONTENTS III LIST OF TABLES V LIST OF FIGURES VI CHAPTER ONE INTRODUCTION 1 1.1 Research Background and Motivations. 1 1.2 Information. 7 1.3 Taiwan Stock Market. 12 1.4 Research Objectives and Expected Contribution. 14 1.5 Research Procedures and Research Structure. 16 CHAPTER TWO LITERATURE REVIEW 17 2.1 Theoretical Background. 17 2.2 Hypothesis Development. 22 CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 26 3.1 Samples and Data Collection. 26 3.1.1 Investment Strategy-Buying Point. 27 3.1.2 Investment Strategy-Selling Point. 27 3.2 Short-Term (1 Month) Performance. 30 3.3 Six Months Performance. 31 3.4 Holding Selling Point Performance. 31 3.5 Holding until the End (2016.07.12) Performance. 32 CHAPTER FOUR RESEARCH RESULTS 33 4.1 Hypothesis1: Short-Term (1 Month). 33 4.2 Hypothesis2: (6 Months). 35 4.3 Hypothesis3: (Hold until Sell Point). 38 4.4 Hypothesis4: Hold until the End (07.12.2016). 40 CHAPTER FIVE CONCLUSION AND SUGGESTIONS 44 5.1 Major Shareholders Behavior. 44 5.2 Factors Affect Abnormal Return. 45 5.3 The Definition of Stock Index. 46 5.4 Recommendations and Future Research. 48 REFERENCES 50 APPENDICES 54 Appendix 1: Touching Hypothesis1 Requirements in All Listed Companies Table. 54

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