Comparison of the Opposite-Trading Performance between Mutual Funds and Foreign Investment Institutions

[[abstract]]本研究目的在檢定台灣股票市場中，本國投信基金與外資之交易買賣方向相反時，買入持股的未來投資績效有無差異。詳言之，針對買入持股在交易月後1、2、3、6、9及12個月的報酬率除以對應期間之Beta系統風險指標所得到的風險調整後報酬進行兩機構間的比較，以這些績效指標做應變數，估計迴歸式進行檢定。此外，分成三個期間做比較，以區別2008年金融風暴的可能影響：即2008年金融風暴前、2008至2009年金融風暴期間，及2010年起的金融風暴後。使用1998年10月至2020年1月的上市與上櫃股票符合投信與外資相反交易條件者為樣本，主要結果發現：投信在金融風暴後的投資報酬，3、9與12個月期均顯著為正，且是逐月增加；外資則是9個月與12個月期報酬都顯著為負，表示金融風暴後外資投資績效比投信差。金融風暴前，外資績效比投信好，但是只有1個月期，且迴歸分析之證據顯示這可能是其投資策略掌握了市場趨勢、小公司效應和公司成長性所致。再者，金融風暴期間，兩機構的1、9與12個月期績效沒有顯著差異，但外資若無前述操作策略，則績效會比投信差。最後，外資在金融風暴後投資績效比投信差，即使有前述操作策略仍不變。[[abstract]]The purpose of this study is to verify whether there is any difference in the future investment performance of buying and holding stocks in the Taiwan stock market where the trading for both the domestic investment trust funds (ITF) and the foreign institutional investors (FII) is in the opposite direction. In detail, the adjusted rate of returns between the two institutions are compared for the holding periods being 1, 2, 3, 6, 9 and 12 months after the opposite trading month, where the adjusted rate of returns are the returns divided by the system risk index, Beta, which is computed for the corresponding period to returns. For comparison job, the study respectively uses the performance indicators as the dependent variables and estimates the regression equations. In addition, the comparison is performed for three periods to distinguish the possible impact of the 2008 financial crisis. That is, before, during, and after the 2008 financial crisis. Using the listed and over-the-counter stocks that meet the opposite trading conditions by the ITF and FII from October 1998 to January 2020 as the sample, the main results are that the ITF’s investment returns after the financial crisis are significantly positive and increase month by month in 3, 9 and 12 months; FII’s returns are significantly negative for 9-month and 12-month ones, indicating that FII’s investment performance after the financial crisis is worse than ITF. Before the financial crisis, FII’s investment performance is better than ITF, but only 1 month, and the evidence of regression analysis shows that this may be due to its investment strategy mastering market trends, small company effects and company growth. In addition, during the financial crisis, there is no significant difference in the performance between the two institutions for 1, 9 and 12 months. However, if the FII does not have the aforementioned investment strategies, the performance will be worse than the ITF. Finally, the investment performance of FII after the financial crisis is worse than that of ITF, even if with the aforementioned investment strategies