The Abnormal Returns of Institutional Investors'' Block Transactions During the Bear Market

• Main Authors: Chiang Hsiu Chien, 蔣秀乾
• Other Authors: 陳家彬
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/53521376448665147349

碩士 === 國立中興大學 === 企業管理學系研究所 === 90 === This study attempts to explore the relationship between the rate of return of block transactions for the institutional investors and that of Taiwan Stock Exchange Index(TAIEX) during the bear market from April 2000 to September 2001. The traders include qualified foreign institutional investors(QFII), securities dealers(SD) and investment trust corporations(ITC), and the samples consist of institutional investors’ block transactions which are greater than 0.3% of the outstanding shares of a company. Furthermore, I divide the samples by the size of block transactions and outstanding shares and the electronic versus non-electronic industries, and compare the empirical results. The major conclusions are as follows: 1.During the bear market, the average rate of return on the stock which institutional investors overbuy is lower than that of TAIEX for most of the days after the purchases. The average rate of return on the stock which SD’s oversell is higher than that of TAIEX for a short period after the sales. Although the average rate of return on the stock which QFII’s and ITC’s oversell is lower than that of TAIEX, it doesn’t collapse for a short period after the sale. 2.During the bear market, the average rate of return on the stock which institutional investors overbuy more, or small-scale, or electronic stocks is lower than that of TAIEX and the stock which institutional investors overbuy less, or big-scale, or non-electronic stock for most of the days after the purchase. 3.During the bear market, for short periods after the sales, the average rate of return on the stock which SD’s and ITC’s oversell more is higher than that of TAIEX and the stock which institutional investors oversell less. The average rate of return on the small-scale stocks is not obviously higher or lower than that of TAIEX and the big-scale stocks. But the average rate of return on the electronic stocks which institutional investors oversell is not higher than that of TAIEX and the non-electronic stock.