本研究以多變量GARCH模型探討股價指數報酬率、匯率變動率及外資買賣超三者間之因果關係,並分析東南亞金融風暴是否使台灣的股市及匯市產生結構性轉變?再以衝擊反應函數分析跨期動態效果。實證結果顯示:(1)外資買賣超與股價指數報酬率間及匯率變動率與股價指數報酬率間存在因果關係,具回饋效應,外資買賣超與匯率變動率間只有單向因果關係。(2)在衝擊反應的分析中,股價指數報酬率所產生之衝擊大於匯率變動率的衝擊及外資買賣超所導致之衝擊。(3)在亞洲金融風暴發生後,股票市場、外匯市場及外資買賣行為皆發生結構性轉變。
This paper investigates the relationship among stock return, the change rate of exchange rate and net foreign investments' dollar amounts using multi-variable GARCH model, and tests if structural change occurred in Taiwan's stock and foreign exchange markets after Asian financial crisis. Moreover, we use impulse response function to analysis the intertemporal dynamic effect when one variable's innovation occurred. In this paper, the conclusion can be summarized as follows: (1) Stock return exists causality and feedback relationship with either the net foreign investments' dollar amounts or the change rate of exchange rate. Net foreign investment's dollar amounts has influence on the change rate of exchange rate only in one direction way. (2) The responses of stock return's innovation are relatively stronger than the responses of either net foreign investment's dollar amounts or the change rate of exchange rates' innovation. (3) After Asian financial crisis, structural change occurred in stock market、foreign exchange market and net foreign investment's dollar amounts.