本研究以2018年中美貿易戰為背景，探討彭博終端機收集的異常機構關注度（AIA）數據與關稅政策對機構投資人持股變化及未來股價報酬的影響，並選取美國S&P 500指數、中國滬深300指數及香港恒生指數成分股為樣本。實證結果顯示，在美國市場，異常機構關注度與機構持股變化呈現顯著正相關，且機構持股變化具有預測未來股價報酬的能力，顯示美國企業的機構投資人能有效解讀資訊並調整投資組合；關稅政策亦對機構持股調整與市場反應產生顯著影響。相較之下，中國市場的機構投資人則對資訊變動與政策風險反應較不敏感。整體而言，本研究凸顯了市場制度與資訊環境差異對機構投資行為的影響，並為理解地緣政治事件下資本市場的運作提供實證基礎。

This study examines the impact of abnormal institutional attention (AIA) data collected from the Bloomberg Terminal and tariff policies on institutional ownership changes and future stock returns, using the 2018 U.S.-China trade war as the research context. The sample includes constituent stocks from the U.S. S&P 500 Index, China’s CSI 300 Index, and the Hong Kong Hang Seng Index. Empirical results show that in the U.S. market, AIA is significantly and positively associated with changes in institutional ownership, and such changes have predictive power for future stock returns. This indicates that institutional investors in U.S. firms are able to effectively interpret information and adjust their portfolios accordingly. Tariff policies also exert a significant influence on institutional ownership adjustments and market reactions. In contrast, institutional investors in the Chinese market appear less responsive to changes in information and policy risk. Overall, this study highlights the influence of market structures and information environments on institutional investment behavior and provides empirical evidence for understanding capital market dynamics under geopolitical events.

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