探討機構投資人投資行為之因素－門檻迴歸模型之應用

Using the Threshold Regression Model to Study the Investment Behavior Factors of Institutional Investors

呂素蓮(Su-Lien Lu) ； 李國榮(Kuo-Jung Lee) ； 李大成(Ta-Chen Lee)

《台灣管理學刊》 15卷1期 (2015/02) Pp. 21-40

https://doi.org/10.6295/TAMJ.2015.1501.02

摘要

本研究以Hansen（2000）的門檻迴歸模型探討景氣對策信號與三大機構投資人（外資、投信、自營商）買賣超之間的非線性關係，以景氣對策信號做為景氣狀態之代理變數，進而以經濟構面與市場資訊構面之相關變數探討三大機構投資人投資行為之影響因素。實證結果顯示，三大機構投資人之投資行為與景氣狀態之間存在非線性關係，外資、投信、自營商對景氣狀態的關注與反應程度均不一樣，外資、投信、自營商三者所估計之景氣對策訊號門檻值分別為15、29、29分，門檻值前後影響三大機構投資人買賣超的變數有顯著差異，若景氣持續上升，投信會擔心景氣過熱未來將會反轉，會提前調節持股，故景氣對策信號與買賣超之間呈現負相關；相反地，自營商則是擔心景氣持續下降會影響獲利，反而於景氣較差時降低持股。此外，相較於投信與自營商，外資的買賣超情況因金融海嘯與歐債危機而發生結構性改變，整體而言，匯率波動度、股市波動度與融資餘額此三個變數會顯著影響三大機構投資人之投資行為。

關鍵字

景氣對策信號 ； 機構投資人 ； 門檻迴歸模型

並列摘要

This paper investigates nonlinear relationships between three institutional investors (i.e., foreign institutional investors, domestic mutual funds, and domestic proprietary security traders) and Monitoring Indicator by threshold regression model. The model is proposed by Hansen (2000) to estimate the optimal threshold. This allowed us to examine the influence of monitoring indicators, oil prices, exchange rates, balance of financing bills, and the volatility of index on the institutional investors' net-buy volume. In other words, we examined whether the monitoring indicator with in a specific range have a significant influence on the institutional investors' net-buy volume. The empirical results show that there are nonlinear relationship between three institutional investors and economic state, Monitoring Indicator. The estimated threshold scores for foreign institutional investors, domestic mutual funds, and domestic proprietary security traders are 15, 29 and 29, respectively. For institutional investors, domestic mutual funds, they will reduce their net-buy volume when monitoring indicator is increased. However, proprietary security traders will reduce their net-buy volume when monitoring indicator is decrease. Relative to domestic mutual funds and proprietary security traders, there are structural changes for net-buy volume of foreign institutional investors due to financial tsunami and the Eurozone crisis. For whole three institutional investors, their investment behaviors are affected by the exchange rate, balance of financing bills and market volatility.

並列關鍵字

monitoring indicator ； institutional investors ； threshold regression model

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