開放陸資來台投資對臺灣證券市場報酬率之影響

The Effects of Investment of Allowing Chinese QDII on Taiwan’s Stock Market

林建成(Chien-Chen Lin)

指導教授 ： 邱建良

共同指導教授 ： 黃健銘(Chien-Ming Huang)

淡江大學/商管學院/財務金融學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00630

摘要

本論文主要探討臺灣開放陸資投資證券市場對臺灣股市結構之影響，並著重股票報酬率及波動之檢測，本文透過台股加權指數及期貨指數之報酬與外資交易行為之關係探討市場在陸資開放時點之變化狀況。研究樣本選定臺灣證券交易所之加權股價指數及加權股價指數期貨近月報酬，臺指、電子、金融期貨外資未平倉口數淨額，及台股加權指數、摩台指交易量，樣本期間涵蓋2007年7月2日至2013年11月29日之日資料，並著重於周轉率與避險需求以及外資未平倉淨額對現貨與期貨市場的估計效果，實證模型則採用GARCH-DCC模型。
　　實證結果發現避險需求呈現負相關，顯示外資的避險需求可以看出外資在對市場的未來所抱持的態度，當外資的避險需求增加時，應為外資對未來股市較悲觀，因此選擇持有較高的避險部位，反之，當對未來較樂觀時則會減少所持有的避險部位。此外，周轉率與外資未平倉淨額則同樣地呈現在陸資開放前並不顯著，然而開放後則顯著地呈現對現貨市場存在正相關的現象，顯示在陸資開放後隨著充沛的資金與專業機構投資人投入市場，使得交易資訊更佳有參考價值。

關鍵字

外資 ； 陸資 ； 雙變量GARCH-DCC模型 ； 避險需求 ； 周轉率

並列摘要

This thesis mainly investigates the effects of allowing Chinese qualified domestic institutional investors (QDII) investment on stock market and futures market in Taiwan, and focuses on the variances of both returns and volatilities. In addition, we also further analyze the impacts of market deregulation on Chinese QDII through examining the relationship between the trading behaviour of foreign institutional investment and two markets.
The sample selects the two indices of TWSE Capitalization Weighted Stock Index and the TAIFEX stock index futures in near contract. The key independent variables include the net volume of open interest, the trading volume of Taiwan stock market and Morgan Taiwan Stock Index Futures. The data cover the period from July 2, 2007 to September November 29, 2013. In particular, this study will focus on the effects of turnover ratio, hedging demand, and net open interest on two indices. The bivariable DCC-GARCH model is used in our empirical estimation.
Empirical results show the evidence that hedging demand negatively correlated with two market indices. This clearly indicates that foreign institutional demand for hedging response to the viewpoints of stock market in future. In other words, when the hedging demands increase, the foreign investors should hold more passive expectation to future stock market. Therefore, there are higher hedging positions. In contrast, the hedge position will be decreased when the foreign investors possess more optimistic expectation in future. Moreover, our empirical outcomes find that both turnover ratio and net volume of open interest does not significant effects before market deregulation, but the positively significant relations are found when market loosen. This implies that the policy of opening Chinese QDII provide well information in investment decision.

並列關鍵字

Chinese QDII ； bivariable DCC-GARCH model ； hedging demand ； turnover ratio

參考文獻

11. 洪榮耀、洪彥仲，2011，「外國機構投資人持股比例與市場波動之關聯性分析：以台灣證券市場為例」，真理財經學報No.25:p67-88。

13. 崔富強，2011，「開放陸資來台投資政策之研究」，淡江大學中國大陸研究所碩士論文。

14. 許琬渝，2010，「論中國大陸QDII制度對我國證券市場影響之研究」，淡江大學國際貿易學系國際企業學碩士論文。

15. 陳建宏，2011，「借券交易對股價變化影響研究」，臺灣大學經濟學研究所碩士論文。

1. Chien, Cheng-Yi, Lee, Hsiu-Chuan, Tai, Shih-Wen, and Liao, Tzu-Hsiang, (2013), “Information, Hedging Demand, and Institutional Investors: Evidence from the Taiwan Futures Exchange,” Journal of Finance, 23, pp.394-414.