The Performance of Investment Strategy Based on The Change of Block Investors

• Main Author: 李松穎
• Other Authors: Chih-Hsien Lo
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/5tqwf9

碩士 === 國立高雄科技大學 === 金融資訊系 === 107 === The research was based on the Taiwan 50 index stocks, Taiwan Mid-Cap 100 index stocks, TPEx 50 index stocks and the listed company excluding 0050 0051 from May 104 to December 107. Examining whether the investment strategy of increasing the shareholding rate by large will be beat the benchmark index by simulated trading strategy. Using large shareholders’ ratio increase and minority shareholders’ ratio decreases compared with last week as a buy signal and the opposite as a sell signal as a research model. The performance of Taiwan Mid-Cap 100 index stocks and TPEx 50 index stocks will be better than benchmark index in this theory but not Taiwan 50 index stocks or the listed company excluding 0050 0051. In order to find out the appropriate parameters of the shareholding level and the rate of changes, the large shareholder defined into 2 variables: first, the holding stocks more than 1000 lot, 800 lot and 600 lot; second, the rate of change of large shareholders in 0.5%, 1%, 1.5%, 2%. Holding more than 800 lot shares will be regarded as large shareholders with a 1.5% rate of change as buying and selling references in Taiwan 50 index stocks. Holding more than 800 lot shareholders will be regarded as large shareholders with a 1.5% rate of change as buying and selling references in Taiwan Mid-Cap 100 ETF. Holding more than 600 lot shareholders will be regarded as large shareholders with a 1.5% rate of change as buying and selling references in TPEx 50 index stocks. Holding more than 1000 lot shareholders will be regarded as large traders with a 2% rate of change as buying and selling references in the listed company excluding 0050 0051. The conclusions that large shareholders with a certain number of shares would have information gap. Investors may speculate on the stock price of the rate of change in holding shares in a short period by large shareholders. Also would be reference for the follow up to research.