資金流量變數與台灣股價指數互動之研究

The Interaction between Cash Flow Variables and Taiwan Stock Index

丁夏(Xia Ting)

指導教授 ： 謝德宗

國立臺灣大學/社會科學院/經濟學研究所/碩士(2013年)

https://doi.org/10.6342/NTU.2013.10249

摘要

此篇論文主要在探討資金流量變數與股價指數之關係，因決定股價的因素即為股票的供需，而對股票的供需反應在買賣股票的資金多寡上，投資者對股價的預期也將透過買賣股票的行為反映在資金流動的變化上。
我選取了外資流入、貨幣供給、融券餘額、外資買賣超作為資金流動的代表變數，並分析這些變數與股價指數的互動關係，研究方法主要為單根檢定、向量自我迴歸模型、Granger因果關係檢定、衝擊反應函數、預測誤差變異數分解，實證發現這些資金流量變數和股價指數有很強的互動效果，資金流量變數顯著的影響了股價指數，而且模型中的係數相當穩定，實證結果有一定的穩健度，代表原先對於兩者之關聯性的猜測得到了證實，資金流量變數與股價指數的確存在很強的相關性和互動關係。

關鍵字

外資流入 ； 資金流量變數 ； 貨幣供給 ； 台灣股價指數 ； 股票供需

並列摘要

This thesis mainly discusses the interaction between cash flow variables and Taiwan stock index, stock price is ultimately determined by supply and demand. The amount of buying and selling stocks reflects stock supply and demand, furthermore, investors’ expectation of stock price could also reflects on the changes in cash flows through stock trading.
I selected the inflow of foreign investment, money supply, margin balance, net buy/sell position of foreign investors as representative variables and analysis the interaction between these variables and stock index, research methods are unit root test, vector autoregression model, Granger causality test, impulse response functions, variance decomposition. Empirical result shows that cash flow variables and stock index has a strong interaction effects. The cash flow variables significantly affect the stock index. The coefficients of the model are quite stable, and Empirical result is robust. The conjecture of correlation between cash flow variables and stock index has been confirmed. This research finds that cash flow variables and stock index does exist a strong correlation and interaction.

並列關鍵字

inflow of foreign investment ； cash flow variables ； money supply ； Taiwan stock index ； stock supply and demand

參考文獻

歐婉如(2009)，匯率、外資買賣超與臺灣股價關係之研究，國立政治大學行政管理碩士學程碩士論文

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