股價、匯率及外資買賣超之非線性關係－多變量門檻模型之應用

Nonlinear Relationships Among Stock Price, Exchange Rate, and Foreign Investment: An Application of Multivariate Threshold Models

林靜怡(Jhing-Yi Lin) ； 劉曦敏(Shi-Miin Liu)

《財務金融學刊》 15卷4期 (2007/12) Pp. 103-132

https://doi.org/10.6545/JFS.2007.15(4).5

摘要

本文先以Tsay（1998）所提出的多變量門檻檢定確認了台股指數、匯率及外資買賣超變數間存在非線性的關係後，再藉由逐點搜尋法找出合適的門檻變數值，據以將向量自我迴歸模型切割成低、中、高三個區間，以便檢視不同情境下變數間的互動，而Granger的因果關係檢定則可進一步幫助我們確認兩兩變數間的關係。本文發現，匯率變動率與股指報酬率大致會相互影響，但當外資看多與看空台股時，匯率變動率會單向領先股指報酬率。又僅在外資看法相對樂觀與相對悲觀的區間，外資的操作才會對國內的股、匯市造成衝擊。此外，外資進出台股的主要考量似為報酬因素，並不受台幣幣值的影響。

關鍵字

多變量門檻模型 ； 向量自我迴歸模型 ； Granger的因果關係檢定 ； 單根檢定 ； 非線性

並列摘要

In order to understand whether the relationships among stock price, exchange rate, and foreign investment involve threshold nonlinearity, this paper employs a statistic proposed by Tsay (1998) to perform the investigation. After finding that the threshold phenomenon is strongly suggested, a grid search method is adopted to discover suitable values for threshold variable s and vector autoregressive models are divided into three regimes of low, medium, and high accordingly. Then, the interactions among stock price, exchange rate, and foreign investment can be examined under various scenarios. And Granger causality tests are used to further confirm the lead-lag relationships in pair variables. It is discovered that the feedback relationships between exchange rate variation and stock index return exist in most regimes. Nevertheless, exchange rate variation leads stock index return when foreign investors are relatively optimistic and pessimistic about Taiwan's stock market. Also, merely under the same altitude s of foreign investors need we worry about shocks to our stock and foreign exchange markets caused by the foreign money flow. Finally, it seems that foreign investors trade in our stock market for potential returns, and concern little about the appreciation and devaluation of NT$.

並列關鍵字

multivariate threshold models ； vector autoregressive models ； Granger causality tests ； unit root tests ； nonlinearity

參考文獻

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