本研究探討外國機構投資人交易行為及其對股票市場的衝擊，參考 Chan and Lokonishok(1995)的交易期間(trading package)觀念，分析外國機構投資人的持股內容及易行為，以了解其選股決策，並驗證其交易行為是否存在正向回應現象；及研究外國機構投資人的交易行為所產生的市場衝擊，以了解外資進出對國內股票市場穩定性的影響，並進一步研究交易完成後的股價回復現象及短期績效表現。

本研究的樣本期間為包括民國 84 年至民國 86 年底，樣本資料包含每日股價資料、每日外國機構投資人的持股明細、以及所有上市個股的財務資料。經實驗後發現，可能是基於風險控管和模擬臺灣股價指數的考量，外國機構投資人傾向買賣大型績優個股；在相同交易行為上，通常有持續十日的現象，且每一次交易的張數並不大。此外，明顯存在著正向回應情形、顯著的市場衝擊和短暫的股價回復現象，如同國外相同的研究結果，本研究亦發現外國機構投資人在買和賣不同的交易行為上，存在著不對稱的影響。

The study is to Investigate the trading behavior of foreign institutional investors and its market impact on stock prices. The purposes of the study are as follows:

First, to analyze the holding characteristics and trading behavior of foreign institutional investors in order to understand their stocks selection decisions and test if positive feedback behavior exists. Second, to analyze the market impacts on Taiwan stock market stability. Finally, after finishing each trading behavior, to observe the trend of stock prices in order to test if price reversion exists and how their short-term performance are.

Form empirical studies, foreign institutional investors tend to hold stocks of large-size firms probably because of controlling investment risk and simulation Taiwan stock index. Besides, analyzing their trading activities, positive feedback bahavior, market impacts and price reversion really exist and are significant. According to our study, we found that buying and selling activities have asymmetric impact on stock prices. The conclusion is the same as foreign studies.