外資在股市的交易比重並不是很高，但外資專業的分析能力及投資團隊，已造成市場投資人瘋狂地的追隨。在外資開放後經濟日報及工商時報只有揭露每日買賣超成交量的前二十名。在民國八十九年後，證交所在網路上公佈所有的交易明細，這項資訊的開放可以為投資人帶來更大的利潤嗎?還是多餘的資訊透露呢?
    本研究利用事件研究法，從經濟新報中選取民國八十九年八月七日至民國九十三年八月六日的資料，以異常報酬率判斷跟隨外資買賣超是否可獲利?而證交所資訊完全公佈下，所帶來的獲利多少?由於外資買賣超交易明細過多，只取當日外資買賣超個股成交量占當日該個股成交量20%以上為研究樣本。
實證結果發現：
1、就整體而言，外資的買超在事件日發生過後立即出現反轉的現象，而在賣超方面則是在第五日出現反轉，所以投資人可以跟隨賣超的股票賣出。
2、在分為買賣超前二十名及非前二十名的異常報酬率而言，買超非前二十名的反轉現象最為明顯，買超前二十名是在第二日反轉。但在賣超而言，前二十名在第五日反轉，而非前二十名在第四日反轉。整體而言，還是跟隨外資賣超的個股賣出最為有利可圖。

The proportion of foreign investment transactions in Taiwan stock market is not very large. Because of the professional analysis ability and the investment teams, the foreign institutions have made the small investors follow crazily. Since the foreign investments opening, the Economic Daily and the Commercial Times have announced only the top 20 daily. After 2000, the Stock Exchange announces all transactions detailed in the network. May this information opening bring more profits for the investor? Or it just explores unnecessary information?
This study uses Event-Study and selects data from August-7 2000 to August-6 2004 in TEJ. Can investors following the foreign investment transactions to get profits by judging from average abnormal returns? What is the profit from information fully exposed by Exchange Stock? Because the details of overbuy and oversell of the foreign investment are tremendous, this study just selects the volume of the foreign investment overbuy and oversell whose amount is up to at least 20% of the volume of the individual stock on those days.
1.In light of the whole, after the event date , the foreign investment overbuy has shown the phenomenon of reversion immediately , but in the aspect of oversell, it has shown the reversion on the fifth date . Therefore , the investors could possibly follow the stocks of oversell to sell .
2.Dividing into the abnormal returns of overbuy and oversell the top 20 and non-top 20 , the reversal phenomenon of the non-top 20 of overbuy is the most obvious , and the top 20 of overbuy reverse at the second date. Instead, the top 20 of oversell reverses at the fifth date, and the non- top 20 reverses at the fourth date . In the whole, following oversell of the foreign investments to sell stocks is the most profitable .

目錄
第一章	 緒論
第一節	 研究背景----------------------------------------1
第二節	 研究動機----------------------------------------3
第三節	 研究目的----------------------------------------5
第四節	 論文架構----------------------------------------6
第二章	 外資介紹及文獻探討
第一節	 外資介紹----------------------------------------8
第二節	 钜額交易不影響股價的理論-----------------------11
第三節	 钜額交易影響股價的理論-------------------------13
第三章	 研究方法
第一節	 資料來源與樣本選取-----------------------------16
第二節	 變數之衡量及檢定-------------------------------18
第四章	 實證分析
第一節	 外資買賣超實證結果-----------------------------25
第二節	 只公佈買賣超前20名是否有所不足-----------------32
第五章	 結論與建議
第一節	 結論-------------------------------------------45
第二節	 建議-------------------------------------------47
表次
表1.1 各類股上市家數表-------------------------------------2
表1.2 集中交易市場機構法人與一般投資人成交金額占我國股市比重4
表2.1 我國開放外資投資國內上市證券市場之相關措施-----------9
表4.1 樣本結構比較表--------------------------------------24
表4.2 外資買賣超上市各類股筆數比較------------------------25
表4.3 整體買賣超平均異常報酬率及t檢定表-------------------28
表4.4 整體買賣超累積異常報酬率及t檢定表-------------------29
表4.5 外資買超上市各類股筆數比較表------------------------32
表4.6 買超平均異常報酬率及t檢定表-------------------------35
表4.7 買超累積異常報酬率及t檢定表-------------------------36
表4.8 外資賣超上市各類股筆數比較表------------------------38
表4.9 賣超平均異常報酬率及t檢定表-------------------------41
表4.10賣超累積異常報酬率及t檢定表-------------------------42



圖次
圖1.1 各類股占市場比重圖-----------------------------------2
圖1.2 研究流程圖-------------------------------------------7
圖3.1 事件研究法時間選取圖--------------------------------18
圖4.1 外資買超上市各類股筆數比重圖------------------------26
圖4.2 外資賣超上市各類股筆數比重圖------------------------27
圖4.3 整體外資買超樣本AAR、CAAR趨勢圖---------------------30
圖4.4 整體外資賣超樣本AAR、CAAR趨勢圖---------------------30
圖4.5 外資買超前20名上市各類股筆數比重圖------------------33
圖4.6 外資買超非前20名上市各類股筆數比重圖----------------34
圖4.7 外資買超前20名樣本AAR、CAAR趨勢圖-------------------36
圖4.8 外資買超非前20名樣本AAR、CAAR趨勢圖-----------------37
圖4.9外資賣超前20名上市各類股筆數比重圖-------------------39
圖4.10外資賣超非前20名上市各類股筆數比重圖----------------40
圖4.11外資賣超前20名樣本AAR、CAAR趨勢圖-------------------43
圖4.12外資賣超非前20名樣本AAR、CAAR趨勢圖-----------------43

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