本研究主要目的在於比較國內外機構投資人透過操作短期搖擺交易(Swing Trade)之獲利表現，並探討影響報酬表現的因素以及機構投資人操作搖擺交易之動機。研究對象為台灣股票市場之上市、上櫃公司，樣本期間為2005年至2011年，並將機構投資人分為國外機構投資人、國內投資信託基金以及國內自營商。研究結果顯示國外機構投資人是唯一能從搖擺交易上獲利，並具備資訊交易者之特徵，同時股票的波動度、流動性、公司特徵以及股價的動能特徵皆為國外機構投資人進行擇股及擇時的依據。

This study compares the swing trade returns of different types of different types of institutional investors, and examines the factor affecting returns to capture the motivations of doing swing trade. Our sample spans from 2005 to 2011 and comprises trading activities of foreign investors, securities investment trust, and dealers. Our findings indicate that foreign investor is the only institutional investors who is able to make profit by short-term swing trade, and also plays important role as informed traders in Taiwan stock market. We also find that stock volatility, liquidity, features of company, and momentum are important factors to stock and timing selection.

論文審定書 i
摘要 ii
Abstract iii
目錄 iv
表次 vi
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的及發現 3
1.3 研究架構 4
第二章 文獻回顧與探討 5
第三章 研究方法 8
3.1 資料說明 8
3.2 實證研究方法 8
第四章 實證結果 14
4.1 敘述統計 14
4.2 篩選搖擺交易型態 14
4.3 各機構投資人操作搖擺交易之報酬 15
4.4 各機構投資人搖擺交易對股價波動之影響 16
4.5 影響外資搖擺交易報酬之因素 17
4.6 外資操作搖擺交易之動機 19
第五章 結論與建議 22
參考文獻 24
附錄1 26

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