以滾動因果檢定法探討外資交易與股、匯市之動態關係

Dynamic Relationship among Foreign Institutional Trades, Stock and Currency Markets: A Rolling Causality Approach

林福來(Fu-Lai Lin) ； 陳玉芬(Yu-Fen Chen) ； 白凱任(Kai-Ren Bai)

《台灣金融財務季刊》 13卷4期 (2012/12) Pp. 79-105

https://doi.org/10.6985/TBFQ.201212.0079

摘要

本研究旨在探討股價報酬率、匯率變動率以及外資交易行為等三變數的互動關係，不同於先前的研究，本研究藉由滾動視窗（rolling window）的設計，透過向量自我迴歸模型檢視三者的跨期動態因果關係軌跡；再者，本文亦透過不同視窗長度的比較，檢視變數間的因果關係在不同觀察期間的變化，將可提供短期及長期投資者在擬定投資決策時參考。在此，本研究以台灣股匯市為實證對象，並以外資在台灣股市的買賣超做為外資交易行為的代理變數，資料期間自1998年1月3日至2011年4月1日。實證結果顯示，變數間的同時期相關係數在所有視窗長度之動態軌跡均是與時俱變的，且其關係是逐漸變強，隱含著不論投資人的投資期限為長期或短期，投資者無法透過同時投資股市及匯市來達到分散投資風險的目的。其次，經由AIC準則所選取的向量自我迴歸模型之最適落後期數亦呈現與時俱變之結果，意指股市、匯市以及外資交易行為的連動關係會隨著時間而變化。此外，實證結果亦發現其連動性在重大事件發生期間會增強。最後，經由滾動因果關係的結果發現，在2001年前期是匯率變動率引導股價報酬率的單向因果關係，但在2003年期間卻是股價報酬率引導匯率變動率的單向因果關係，而在2009年間則是雙向的回饋關係。同時，股票市場與外資買賣超的連動性在2008年前較強，以股價報酬率引導外資買賣超的單向因果關係及雙向的回饋關係為主，但兩者的關係在2008年後變弱，股價報酬率與外資買賣超間不再具有領先或落後的關係。另外，就匯市與外資買賣超的互動性而言，兩者的關係大多為外資買賣超引導匯率變動率的單向因果關係，抑或不具有領先或落後的關係，而匯率變動率引導外資買賣超的單向因果關係是少見的，故投資者可藉由觀察外資在台股的交易行為之變化，進而調整其在外匯市場的交易策略。

關鍵字

滾動因果檢定法 ； 滾動視窗 ； 外資 ； 股市 ； 匯市

並列摘要

This study investigates the dynamic interdependence among stock markets, currency markets and the trading activities of foreign institutional investors in Taiwan. The data of stock returns, changes in foreign exchange rates and the order imbalance of foreign institutional trading from January, 1998 to April, 2004 are used in the vector autoregressive models to apply Granger causality tests across sequences of rolling windows of different horizons.The evidences from rolling correlations and rolling causality demonstrate increasing relationships as well as time-varying interdependences among the three variables across different horizons. An increasing relationship between stock and foreign exchange markets implies the potential gains from portfolio diversification across these two markets may not be substantial. Furthermore, the results from rolling Granger causality test provide three pair-wise patterns of time-varying causality relationships. First, changes in exchange rates drove stock returns before 2001. In 2003, a reverse relationship that stock returns drove changes in exchange rates was observed. But in 2009, a bi-directional causality was found within the stock and foreign exchange markets. Second, both uni-directional and bi-directional causal relationships were observed between stock returns and the order imbalance of foreign institutional trading. However, no lead-lag relationship was detected between stock returns and foreign institutional trading after 2008. Third, the order imbalance of foreign institutional trading drove changes in foreign exchange rates. In some particular periods, no lead-lag relationship existed between foreign institutional trading and changes in foreign exchange rates. However, we can hardly observe changes in foreign exchange rates drove the trading activities of foreign institutional investors.The results in this study have been devoted to understanding the time-varying patterns of interdependences across different horizons among stock markets, currency markets and the trading activities of foreign institutional investors, which provides important insights for investors pursuing both short-run and long-run investing horizons.

並列關鍵字

Rolling Causality ； Rolling Window ； Foreign Institutional Investor ； Stock Market ； Currency Market

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