The Empirical Study on the elationship between the Investment Behavior of Three Major Institutional Investors in Taiwan Stock Market and the Quarterly Earnings Announcement

[[abstract]]本論文的研究重點在探討國內市場上三大法人（外資、投信、自營商）買 賣超投資行為與會計盈餘資訊之關係。 隨著法人在證券市場所佔比重的增加，證券市場法人化（Institutionalization） 趨勢已然形成。機構投資人挾其大量資金在證券市場中進行投資，目的是為謀取 最大利潤，也因此成為一般散戶關注焦點，並作為投資的參考指標之一。 本文選取民國94 年第1 季至第4 季電子類股之盈餘宣告，針對三大法人（外 資、投信及自營商）買賣超電子類股投資行為與季盈宣告關係進行分析。實證方 法則運用事件研究法概念，有關實證結果如下： （1）「當盈餘宣告為好消息時，三大法人會提早在盈餘宣告日之前買超」的 假設均無法獲得支持。 （2）當盈餘宣告為壞消息時，外資與投信會提早在盈餘宣告日之前賣超的 假設，獲得支持。但自營商會提早在盈餘宣告日之前賣超的假設，則不成立。[[abstract]]The paper attempts to investigate the relationship between the investment behavior of three major institutional investors(foreign investors 、securities investment trust and security dealers) and the quarterly earnings announcement. For the recent years, the government opens policy, such as release some investment restrictions and enhances the percentage of stock holding by institutional investors indeed stabilize the stock market in Taiwan. Based on economics of information, institutional investors can be considered as professional investors in the market. With their professional knowledge and experiences, they usually provide more valuable conclusions than individual investors do. As a result, the final decisions of institutional investors often become leading indices to individual investors even they represent 90% of stock market participants in Taiwan. In this study, the author explores event study and t-test to examine related issues. Study samples period is selected from the first quarter 2005 through the fourth quarter 2005 and the search object is the electronic industry. The major conclusions of this study are summarized as follows : First, the positive growth of quarterly earnings will not cause the buy-sell-differences increase for all institutional investors. Second, the negative growth of quarterly earnings will cause the buy-sell-differences increase for the foreign investors and securities investment trust, but not for the security dealers