本文使用Hamilton (l994)所提出區塊外生性檢定(block exogeneitytest)，並運用脈衝反應(impulseresponse)及預測誤差變數分解(decomposition of forecast error variance)加以輔助解釋之用，對三大法人(外資、投信、自營商)之買賣超金額及台灣加權股價指數報酬率作實證研究，主要探討台灣加權股價數報酬與三大法人之日買賣超金額是否具資訊傳遞效果，機構投資人除了投資策略可能與股市報酬率有關外，機構投資人的交易策略是否存在跟進(herding)行為情形，藉此瞭解何者的交易策略較具獨立性。。樣本期間之起訖日期為八十四年八月五日至九十一年十月三日止，資料型態以日表示，共372筆。實證結果為三大法人中之自營商日買賣超金額及外資日買賣超金額對股市報酬有影響，尤其以自營商日買賣超金額為甚。此外，三大法人之間的關聯性，是外資的交易行為會影響自營商的操作策略，而自營商叉會影響投信之績效，故外資的交易策略較具獨立性。 This paper examines the interrelationships among stock returns, institutional investors' buy-sell difference and trading strategy in TSE (Taiwan Stock Exchange) market. The three institutional investors are: foreign institutional investors, domestic mutual funds, security dealers. Using the data available from August 1,1995 to October 3,2002, we find that stock returns are influenced by institutional investors' buy-sell difference. It appears that foreign institutional investors' trading enjoys a leading position in influencing security dealers, which subsequently affect domestic mutual funds. In essence, the trading strategy adopted by foreign institutional investors is found to be more independent than others.
