The relationship between the net buy/sell differences of institutional investors and stock returns during the financial crisis

[[abstract]]2007年7月美國發生次級房貸風暴，引發2008年金融海嘯席捲全球，造成全球股價指數重挫、債市信用風險攀升、投資人信心崩潰、經濟衰退等。本文主要探討金融海嘯期間三大法人買賣超與股價指數之互動關係。結果發現三大法人買賣超與股價指數為一恆定數列。由因果檢定得知，三大法人買賣超與股價指數關係密切，其中，自營商買賣超對於外資買賣超、投信買賣超具有領先關係，而外資買賣超、投信買賣超各與其他變數間為獨立關係。股價指數對於外資買賣超、投信買賣超具有領先關係。在衝擊反應分析中發現，股價指數受到自身與三大法人買賣超時，除了對本身衝擊較具反應外，對三大法人買賣超的衝擊反應較不明顯，且隨著時間增加產生效果遞減並呈現收斂的現象。[[abstract]]The 2008 global financial crisis which was triggered by the United States subprime mortgage crisis during July 2007 resulted in global stock index fell bond credit risk increased the collapse of investor confidence and the economic downturn The intention of this report is to probe on the professional intitutional investors net buy/sell behavior during the financial crisis and the stock index influenced by such behavior The results showed that the trend of stationary series was observed between professional intitutional investors net buy/sell net buy/sell and stock index With the data from the granger causality test it is found that professional intitutional investors net buy/sell and stock index relates closely in which security dealers net buy/sell takes leading position over foreign investors net buy/sell and security investment trust companies net buy/sell while foreign investors net buy/sell security investment trust companies net buy/sell and other variables remained independent Stock index takes leading position over foreign investors net buy/sell and security investment trust companies net buy/sell In the impules response functing we found that stock index under the influence of stock index and professional intitutional investors net buy/sell show impact on the stock index itself but not to the professional intitutional investors net buy/sell Moreover decreasing effect and the stock index convergence were detecte