CAJ | 학술논문

文章以中国台湾股市为研究对象，主要研究机构投资者的交易行为。文章构建了机构投资者交易不平衡性指标——净交易，在此基础上研究机构投资者的交易行为。研究结果表明：台湾股票市场中以外资和投信基金为代表的金融机构投资者表现为正反馈的交易策略，并且交易的信息含量较高；一般法人的交易表现为负反馈的交易策略，并且交易的信息含量不足；而自营商由于交易动机复杂，交易的信息含量不明确。可见不同的机构投资者的交易行为并不相同。
문장이중국태만고시위연구대상，주요연구궤구투자자적교역행위。문장구건료궤구투자자교역불평형성지표——정교역，재차기출상연구궤구투자자적교역행위。연구결과표명：태만고표시장중이외자화투신기금위대표적금융궤구투자자표현위정반궤적교역책략，병차교역적신식함량교고；일반법인적교역표현위부반궤적교역책략，병차교역적신식함량불족；이자영상유우교역동궤복잡，교역적신식함량불명학。가견불동적궤구투자자적교역행위병불상동。
This paper mainly investigates the trading behavior of institutional investors by studying Taiwan stock market. First, we construct an indicator to measure institutional investors＇ trading imbalance -- investors＇ net trading. This index reflects the intensity of investors＇ trading imbalance. Then, we use the trading imbalance index to construct portfolios to study the trading behavior of institutional investors. The paper finds ： first, foreigners and mutual funds in Taiwan stock market on behalf of financial institutional investors adopt positive feedback trading strategies, and the information contents of their transactions are high. Second, corporations＇ trading performance shows the negative feedback trading strategies and their trading lacks information content. Third, due to dealers＇ complex trading motives, the information content of their transactions is unclear. In summary, the research shows that the trading behavior of different institutional investors is not the same.