本研究旨在探討台灣上市股票市場,券商與機構投資人間是否存在資訊洩漏 之關係,由於券商擁有各種投資人之交易資訊,故有可能將其重要客戶之交易資訊 洩漏給其他客戶進而創造雙贏之局面。故本研究利用台灣證交所之獨特帳戶等級 資料,以券商建立特徵向量中心性與總成交額之兩種網絡,尋找資訊較為富有之券 商,並依據該券商所經手之股票建構投資組合,捕捉券商中心性與機構投資人之交 易行為之關係。此外,本文亦將機構投資人進一步區分為外資機構投資人及投信機 構投資人,尋找與券商特徵向量中心性較為相關之機構投資人類別,進一步對過往 文獻做出貢獻。

本文利用因子模型檢驗投資組合是否存在顯著異常報酬,本文發現機構投資 人於高券商網路中心性之投資組合擁有顯著之正異常報酬,此結果隱含券商與機 構投資人間可能存在資訊洩漏之情況。進一步區分機構投資人類別發現,投信在高 券商網路中心性之投資組合亦有顯著正異常報酬,而外資則無顯著異常報酬。且於 高券商網路中心性下,投信之投資組合於不同績效指標中,如實際平均報酬、夏普 比率和最大回撤率等皆優於外資機構投資人,此結果隱含券商有較高的可能性將 資訊洩漏給投信而非外資。本文進一步採用不同頻率所形成之券商網路中心性及 採用總成交額較大之券商以建構投資組合皆發現相同之結果,顯示出券商網路中 心性之重要性及穩健性。

總體而言,本研究試圖驗證台灣股票市場之券商是否洩漏資訊予機構投資人, 何種類別之機構投資人,進而提供過往文獻一種新的見解。未來研究可往建構不同 網絡捕捉資訊,與定義更細微的資訊成交單,以利找尋更有豐富之資訊交易。

Our primary aim in the present study is to investigate the information leakage between institutional investors and brokers in the Taiwan stock market. The brokers might be more motivated to leak the client's information content of trading activities to other investors to create a win-win. Exploiting the advantage of unique account-level transaction data from the Taiwan Stock Exchange, and apply two methods which are centrality and dollar trading volume to attempt to find the brokers that have more information. In addition, we also divide institutional investors into investment trust and foreign institutional investors to find which investor is more related to centrality to further contribute to previous literature.

We use the factor model to examine the abnormal return. Our empirical evidence shows that at the high central brokers, the portfolios of the institutional investors have a positive abnormal return. The result is implicit that there is information leakage between institutional investors and brokers. Then institutional investor divided into investment trust and foreign investor. The result is implicit that the broker mainly leaks information to investment trust. Furthermore, when we adopt the different frequency broker networks to construct the portfolios, then the results remain the same as before. So broker network demonstrate how important and steady it is.

In conclusion, our study attempt to verify whether the information leakage exists between institutional investors and brokers in the Taiwan stock market and brokers leak to which type of institutional investor. In the future, the researchers can attempt to construct the different types of networks, and define the precise large- trade to find more information.

目 錄
論文審定書 i
致 謝 ii
摘 要 iii
ABSTRACT iv
目 錄 v
圖 目 錄 vi
表 目 錄 vii
第一章 緒論 1
第二章 文獻回顧 5
第一節 中心性網絡 5
第二節 投資人類別比較 5
第三節 投資組合理論 7
第三章 研究資料與方法 9
第一節 資料來源 9
第二節 特徵向量中心性 9
第三節 投資組合策略 11
第四節 事件分析法 15
第五節 穩定性檢測 16
第四章 實證分析 17
第一節 敘述統計 17
第二節 投資組合 18
第三節 事件分析 20
第四節 穩定性檢測 21
第五章 結論 25
參考文獻 27

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