本文使用MSCI Taiwan Index 的五大權重股為台積電、聯發科、鴻海、聯電、富邦金當作研究標的，並使用週期劃分方法依股價走勢劃分為數個週期，根據這些週期與金融保險指數的走勢，判斷出個股與總體經濟之間的變化關係。進而探討個股在各週期當中，不同投資人的交易行為模式，包含外資、投信、自營商、散戶、內部持股人，藉由他們的累積買超金額的規模及變化，找出對股價具有影響力的投資人並深入探討。
實證結果顯示，在交易規模上以外資及散戶最為主要原因，並根據此兩類投資人對於五檔股票的週期變化所做出的交易行為，將外資、散戶累積買超的資料利用泛函分析的方法，並根據其結果對應股價的泛函分析找出各自最高點的期數，並將其走勢分為兩類，一是累積買超金額與股價同向變化，二是累積買超金額與股價反向變化。本文所得出結論為，除晶圓代工產業中的台積電、聯電，其外資累積買超金額與股價反向變動外，其餘皆為同向變動；而散戶則是在台積電、聯電有同向變動，值得注意的是，外資的累積買超金額與散戶的累積買超金額在所有公司及週期都是屬於反向變動。

In this article, we use the top 5 constituents of MSCI Taiwan Index, including TSMC, MediaTek, Hon Hai, UMC, and Fubon Finance Holdings, and use the cycle division method to divide the stock prices into several cycles. Based on the trend of the stock prices in these cycles and the financial and insurance index, we can know the relationship between the stocks and macro. Then we discuss the trading behavior of different investors in the stock market cycles, including foreign investors, fund managers, dealers, individual investors, and internal shareholders.
The empirical results show that the volume of foreign investors and individual investors are the high proportion of all, and based on the trading behaviors of the two types of investors for the cyclical changes of the five stocks. The cumulative net buy amounts of foreign investors and individual investors are analyzed using functional analysis. The stock prices of TSMC and UMC change in a different direction with the foreign investors’ accumulated net buy amounts, then other stock prices are all change in the same direction with the foreign investors’ accumulated net buy amounts. However, the trends of the accumulated net buy amounts of the individual investors and the stock prices change in the same direction in TSMC and UMC. The accumulated net buy amounts of foreign investors and the accumulated net buy amounts of individual investors are the opposite direction in all stocks and cycles.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
圖次 vi
表次 viii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻探討 4
第一節 交易人行為相關文獻 4
第二節 台灣市場之交易行為相關文獻 7
第三章 研究方法 9
第一節 研究流程 9
第二節 研究資料 9
第三節 股票週期劃分方法 11
第四節 股票週期與總體經濟之相關性 11
第五節 投資人在股票週期之籌碼變化 12
第六節 泛函分析之延伸模型 13
第四章 實證結果 15
第一節 股票週期劃分 15
第二節 股票週期與總體經濟之相關性 18
第三節 投資人在各週期之籌碼變化 24
第四節 泛函分析之延伸模型 30
第五節 股價與外資累積買超之泛函分析 34
第六節 股價與散戶累積買超之泛函分析 38
第七節 外資、散戶累積買超之比較 41
第五章 結論與建議 43
第一節 結論 43
第二節 研究建議 45
第三節 後續研究建議 47
參考文獻 48
附錄 50
個股各週期之投資人買賣情形 50
公司股價與外資、散戶累積買超之泛函分析圖 54

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