An Empirical Study of Stock Holding Preference of Three Primary Professional Investment Institutions and the Monday Effect of Net Buy-and-Sell

• Main Authors: Lin-Yu Jiang, 蔣玲鈺
• Other Authors: Yen-Sen Ni
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/68069284975142874482

碩士 === 淡江大學 === 管理科學研究所碩士班 === 95 === 　　Three primary professional institutional investors in Taiwan are categorized as Foreign Investor, Investment Trust and Security Dealer, according to their sources of funds. Their investment decisions are important for the public in the Taiwan stock market. In addition, net buy-and-sell information of institutional investors is also a major focus for the public. However, there are very few academic studies document observations regarding the issue of the Monday effect. The main purpose in this study is to investigate the stock holding preferences of the three primary professional institutional investors and the Monday effect of net buy-and-sell. 　　This study employs two regression models and the Panel Data to examine the two major objectives of the three primary professional institutional investors. Using a sample of firms listed in Underlying Stocks of Taiwan 50 Index from Taiwan Economic Journal(TEJ) over the period of 2002 to 2005, this study explores five empirical results: 1.Foreign investors show a preference for large firms, firms with high sales growth ratio、low book-to-market ratio and low dividend yield. 2.Investment trusts prefer firms with high current ratio、high margin buying ratio、low book-to-market ratio、high turnover ratio and large companys. 3.Security dealers are inclined to adopt the high risk strategy and prefer firms with high debt ratio. 4.The three primary professional institutional investors have different stock holding strategies. Foreign investors are concerned with the financial characteristics of firms. Investment trusts show a preference for firms with high current ratio. Security dealers pay attention to the technical analysis while selecting stocks. 5.Only foreign investors and investment trusts show the Monday effect with significant negative returns.