在股票市場中，｢價先行量｣與｢量先行價｣的議題，一直廣為實務界與學術界探討。股票價格的上漲或下跌，會受到成交量增加或減少所影響，而成交量來自於機構投資人與散戶的買賣行為。機構投資人買超或賣超與融資或融劵可視為全體法人與散戶投資行為的指標。本研究針對上述資訊連續發生，採用事件研究法(event study)與台灣50成份股作樣本探討之。研究結果如下：
(一)本研究探討的十四類連續事件，均有特定人士在連續事件前買賣股票，為資訊外溢。
(二)機構投資人方面，所有機構投資人連續三天買超，事件日(連續買超的第三天)當天，股價會有正的報酬。當機構投資人連續三天賣超，事件日(連續賣超的第三天)當天，股價會有負的報酬。
(三)成交量方面，成交量連續三天增加，事件日(成交量連續增加的第三天)當天，產生股價向上的趨勢，推動股價上漲。當成交量連續三天減少，事件日(成交量連續減少的第三天)當天，會有股價下跌的現象。
(四)融資與融劵方面，融資連續三天增加或融劵連續三天減少，事件日(連續事件的第三
天)當天，會有股價下跌的現象，而融資連續三天減少與融劵連續三天增加，事件日(連
續事件的第三天)當天，會有股價上漲的現象。
(五)在十四類事件中，在連續事件發生後，只有投信連續三天賣超與融劵連續三天減少兩事件，在事件發生時，不考慮交易成本的前提下買進股票，可以獲利，具有投資價值。

This study uses a sample of underlying stocks of Taiwan 50 ETFs over the period 2003-2005. The main purposes are to explore the relationship between market variables (Include of Institutional trade, Volumes, Margin buy and Short selling. ) and stock price. The statistical method is used Event study. The following conclusions are obtained in this study： 

1.There are information spillover in all events in this study and someone buy and sell before all event.

2. To influence of Institutional trade, Institutional investors continuously buy three days, stock price is up and sell three days, stock price is down.

3. To influence of Volumes, Volumes is continuously increasing three days, stock price is up and decreasing three days, stock price is down.

4. To influence of Credit trade, Margin buying is continuously increasing and Short selling decreasing three days, stock price is down, Margin buying is continuously decreasing and Short selling increasing three days, stock price is up.   

5. To influence of Investment value, there are only two events(Investment Trust institution sell three days and Short selling is decreasing three days) with profit.

目  次
第一章  緒論	
第一節  研究動機................................................................................................1
第二節  研究目的.............................................................................................. .2
第三節  研究流程與論文鋪陳........................................................................... 3
第二章  文獻探討
第一節  機構投資人相關文獻...........................................................................5
第二節  成交量與股價相關文獻..................................................................... 10
第三節  信用交易相關文獻..............................................................................13

第三章  研究方法
第一節  研究假說............................................................................................ 18
第二節  研究對象............................................................................................ 23
第三節  研究方法............................................................................................ 23

第四章  實證分析
第一節  敘述統計量......................................................................................... 27
第二節  實證列出..............................................................................................27
第三節  實證結果............................................................................................. 39

第伍章  結論與建議
第一節  研究結果............................................................................................ 41
第二節  研究應用............................................................................................ 43

參考文獻................................................................................................................. 44




表 目 錄

表 2-1  機構投資人文獻彙整表.................................................................................7
表 2-2  信用交易文獻彙整表...................................................................................11
表 2-3  成交量與股價文獻彙整表.......................................................................... 15
表 3-1  台灣50起始成份股...................................................................................... 23
表 4-1  台灣50成份股資訊連續3天發生之次數表...............................................27
表 4-2  融資連續3天增加........................................................................................ 28
表 4-3  融資連續3天減少.........................................................................................29
表 4-4  融劵連續3天增加........................................................................................30
表 4-5  融劵連續3天減少............................................. .......................................... 30
表 4-6  成交量連續3天增加................................................................................... 31
表 4-7  成交量連續3天減少................................................................................... 32
表 4-8  外資連續3天買超........................................................................................33
表 4-9  外資連續3天賣超....................................................................................... 33
表 4-10 投信連續3天買超....................................................................................... 34
表 4-11 投信連續3天賣超...................................................................................... 35
表 4-12 自營商連續3天買超.................................................................................. 36
表 4-13 自營商連續3天賣超................................................................................... 36
表 4-14 三大法人連續3天買超............................................................................... 37
表 4-15 三大法人連續3天賣超…........................................................................... 38
表 4-16 驗證結果與意涵….......................................................................................40





 
圖 目 錄

圖 1-1  研究流程圖.....................................................................................................3
圖 3-1  研究架構與關係圖...................................................................................... 18
圖 3-2  連續事件定義圖...........................................................................................24
圖 3-3  本研究估計期是事件期的界定圖...............................................................25

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