家族企業集團股票投資策略——以台塑企業為例

The Stock Investment Strategy of Family Business Group—An Empirical Study of Formosa Plastic Group

在台灣有很多上市公司與家族有關，因此，如何改善對家族企業股票市場的投資策略對投資者至關重要。本研究根據近年台塑家族企業資料，採取EGARCH 模型對台塑家族股票市場收益率之波動性進行分析，探討領頭羊公司對家族企業相關公司股票的影響。實證結果顯示：比較加入領頭羊公司變數後之槓桿效應與未包含領頭羊公司之關係看來，在1%顯著水準下顯著，故加入變數後之槓桿效應對家族企業集團之金融操作確有某種程度的影響，換句話說，在投資組合中納入領頭羊公司之槓桿效應對台塑集團股票市場操作之穩定性是有助益的。本研究進一步利用 Granger 因果關係，選出領頭羊的個股，運用追隨領頭羊股價的程式交易，淨利增幅為20.52%，說明此一技術分析背後所代表的操作策略是有利可圖的，投資人可以運用追隨領頭羊公司的特性，增進操作家族企業股票之績效。

There are many listed companies connected with the family in Taiwan. Therefore, howto improve the strategy of investment on the stock market of family business is essential toinvestor. Using the data of Formosa Plastic Group, this article adopts generalizedautoregressive conditional heteroscedasticity model (EGARCH) to investigate the volatility ofstock prices of Formosa Plastic family group. The results show that the relationship betweenthe leverage effect after including the leading company variable and the absence of theleading company appears to be significant at the 1% level. Hence, the leverage effect afterincluding the leading company has a certain effect on the financial operation of the familybusiness group. It is helpful to include the leverage effect of the leading company in theportfolio, which can stabilize the trading performance of the Formosa Plastic family group.Furthermore, this study adopts Granger causality and symmetric trading to test thestrategy of following the leader of Formosa Plastic family group. The net trading profit duringthis period is 20.52%. The results show that the technical analysis tested in this study can leadto trading profits and investors can increase their trading profits by following the leader in thefamily owned business.