隨著台灣投資市場的開放，國內外機構法人及投資人投入國內股票市場使交易愈來愈活絡，而三大法人中以外資投入的資金佔比最高，外資買賣動向常常影響著大盤及個股漲跌，所以外資投資動態是許多投資人關注的焦點。而近年來ETF投資崛起，其中又以元大高股息受益人數成長最快速，因此本研究的目的在探討外資的買超或賣超資訊對元大高股息成分股報酬率的影響。本研究以2016年1月1日至2021年12月31日間，元大高股息成分股中的13檔個股為研究樣本，並以向量自我迴歸模型進行實證研究，探討外資買賣超比率與個股股價報酬率間的關聯性。由實證結果發現：(一)外資買賣超比率對於報酬率有6家是顯著的正向影響。由此可觀察到外資投資績效佳，投資方向值得投資人關注。(二) 外資買賣超比率中有1家為顯著的負向影響，顯示外資資投資策略，不具領先優勢。 With the opening of Taiwan's investment market, domestic and foreign institutional and investors have continued to increase flexibility in entering and exiting the domestic stock market, and transactions have become more and more active. Foreign investment accounted for the highest proportion among the three institutional investor. The buying and selling of foreign investment often affects the rise and fall of the stock market or individual stocks. Therefore, foreign investment trends are the focus of many investors. In recent years, ETF investment has risen sharply. The number of beneficiaries of Yuanta Taiwan Dividend Plus ETF Plus ETF grew the fastest. The purpose of this study is to explore the impact of foreign investment 's net buy and sell information on the returns of Yuanta Taiwan Dividend Plus ETF constituents.This study period was January 1, 2016 to December 31, 2021, and the 13 stocks of Yuanta Taiwan Dividend Plus ETF constituent stocks are the research samples, and the Vector Autoregressive(VAR) model is used to explore the correlation between the foreign investment net buy and sell rate and the stock return rate. From the empirical results there are 6 companies that have a significant positive impact on the rate of return when the foreign investment net buy and sell . As the empirical results shows, the performance of foreign investment is good, and the investors can pay attention to the direction of foreign investment.There are 1companies have a significant negative impact on the rate of return when the foreign investment net buy and sell,.That is foreign investment strategy has no advantages.
