本文利用動能策略的選股方法篩選近年來台灣證券交易所於每日收盤過後公布之營業券商買賣超明細，買入(賣出)形成期為期一個月以及兩個月所篩選出來的主力買(賣)方個股，形成一個新的投資組合。試圖檢驗其新的投資組合是否可為投資人帶來豐厚的報酬。
資料期間為2011年7月1日至2013年12月31日，共661個交易日，頻率為日資料。研究結果顯示：不論買(賣)形成期一個月、兩個月之主力買(賣)方個股，持有一個月、兩個月、三個月、六個月以及一年皆有顯著的正向報酬。再者，將同時存在於追漲(殺跌)策略以及營業券商買(賣)超篩選出來的個股，買入(賣出)贏(輸)家個股，結果顯示此投資策略不但具有顯著正報酬，績效更勝於前面的交易策略。

This thesis used the daily net buying and the daily net selling data of broker branches from the TWSE (Taiwan Stock Exchange). Sum of the daily net buying (selling) of top 30 brokers trading dollars in one month to consider as formation period and ranked them by net buying (selling) at the formation period as a new investment portfolios, we were test the new investment portfolios may bring a huge profit.
	The sample covers the daily period from July 1, 2011 to December 31, 2013, including 661 trading days. First, to found the new investment portfolios may bring forward returns however holding winners and selling losers in one to twelve months. Second, adding to the momentum strategy, it is found that the returns of buying the new winners and selling the new losers also were bring forward returns however holding winners and selling losers in one to twelve months. More importantly the second trading strategy may bring profit more than the first one.

目錄

第一章	前言	1
第一節	研究背景與動機	1
第二節	研究目的	6
第三節	研究架構	8
第二章	文獻回顧	9
第一節	動能策略相關文獻探討	9
第二節	持股比例變動相關文獻探討	18
第三章	研究設計與方法	22
第一節	資料來源	22
第二節	動能投資組合之形成	23
第三節	動能研究法	24
第四節	個股營業券商買賣超對於股價之影響	27
第五節	國內外券商投資績效以及國內券商交易行為之差異	29
第四章	實證結果與分析	31
第一節	台灣股市的動能策略	31
第二節	營業券商買賣超資訊	35
第三節	利用追漲策略以及殺跌策略結合營業券商買賣超資訊	38
第四節	國內券商以及外資券商應用兩策略之績效評估	41
第五節	內資營業券商區域性績效評估	48
第五章	結論	52
參考文獻	54



 
圖目錄

圖 1台灣股票市場有價證券交易比重	3
圖 2動能策略形成期、持有期示意圖	24
圖 3台灣縣市分區示意圖	30
圖 4大盤指數走勢圖	33

 
表目錄

表 1我國開放外資投資國內股市歷程	3
表 2台灣證券市場投資人類別交易比重統計表	4
表 3營業券商每日買賣超明細	5
表 4台灣股票市場主要外資券商	7
表 5營業券商依所在地區分家數統計表	7
表 6台灣50成分股及中小100成分股動能策略績效表	34
表 7利用營業券商買賣超篩選投資組合報酬表	37
表 8 主力券商買賣超與動能策略篩選投資組合報酬績效表	40
表 9 國內外主力券商買賣超報酬績效表	43
表 10 國內外主力券商買賣超與動能策略篩選投資組合報酬績效表	47
表 11各區券商依買賣超篩選投資績效表	50
表 12分區券商依買賣超及動能篩選投資績效表	51

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