臺灣股市投資人競價策略與價格優劣之比較

Trading Price Strategies and Advantages of Institutional and Individual Investors in the Taiwan Stock Market

本文沿用類似Choe et al.（2005）方法，以台灣50成份股為主要分析對象，目的在於分析台灣股市之投資人在市場上競價優劣的情況，進而探討其優劣勢之原因。使用日內委託、成交與揭示資料，本文研究發現，第一、外資在大型交易時不論買進的價格或是賣出收入皆處於最劣勢的情況。第二、交易愈頻繁，外資的成交價格愈差。第三、以事件分析法，得知外資為追求日內動能策略之投資人。

Using Taiwanese intraday order-level and execution data and following the methodology, proposed by (Choe et al., 2005), we investigate whether domestic investors have an edge over foreign investors in trading domestic stocks in the Taiwan stock market. Firstly, we find that foreign investors pay more than domestic investors when they buy and receive less when they sell for large trades. Secondly, foreign investors are more at a disadvantage when they trade more. Thirdly, adopting an event-study approach, we show that foreign investors trade more on intra-day momentum than domestic investors.