隨台灣逐步開放外資，外資持股比例佔台灣股市已由1994 年初的6.89%上升至2004年底的22.32%，目前2008 年2 月為33.28%。然而，Hameed and Kusnadi（2002）等學者發現亞太地區國家（台灣、新加坡、韓國、香港、馬來西亞、泰國）並無顯著的動能策略存在。本文嘗試用Cooper（1999）的篩選法則（filter rules）、George and Hwang（2004）投資組合成對比較（portfolio-pairwise comparisons）分析以及Fama and MacBeth（1973）橫斷面迴歸探討外資持股水準、外資持股水準變動率及Jegadeesh and Titman（1993）的價格動能投資策略這三個策略的關係，最後再用Fama and French（1993）的三因子模型來看這三個策略下是否會產生異常報酬的現象。結果發現，第一、投資國內股市的外資部分為動能交易者。第二、具有外資投資的台灣上市公司中存在些微的動能效應。第三、台灣股票投資人以可獲得的外資資訊（外資持股水準變動率、外資持股水準）做為指標投資，可帶給投資人正的異常報酬。

As the Taiwan government gradually opened the stock market for foreign investors, the aggregate holdings of Taiwanese stocks by foreign investors were from 6.89% in 1994 to 33.28% in 2008. However, Hameed and Kusnadi (2002) found that there was no significant momentum effect among Asia countries including Taiwan, Singapore, Korea, Hong Kong, Malaysia, and
Thailand. In this paper, we apply the filter rules proposed by Cooper (1999), the pairwise comparisons proposed by George and Hwang (2004), and the cross sectional regression by Fama and MacBeth (1973) to analyze the relationship among the strategies based on the level of foreign investors’ stock holdings, the change rate of foreign investors’ stock holdings, and the price momentum. Then, we use the three-factor model to examine if there are abnormal returns for these three strategies. First, the evidence supports that some foreign investors in the Taiwan stock market are momentum traders. Second, there exist the momentum effects on Taiwanese
companies held by foreign investors. Third, investors, following foreign investors’ information such as the change rate and the level of foreign investors’ holdings, can earn positive abnormal returns.