不同股市行情下共同基金持股比率與股價之非線性關聯性研究-縱橫門檻效果分析

A Study of Non-linear Co-relation between Mutual Fund’s Holding Rate and Stock Price under Different Stock Market Conditions - Panel Threshold Autoregressive Model Approach

黃筱雲(Hsiao-Yun Huang)

指導教授 ： 聶建中

共同指導教授 ： 張倉耀(Tsang-Yao Chang)

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00814

摘要

本研究旨在探討投信對電子公司持股比率與其股價間之門檻效果 (threshold effect) ，運用緃橫門檻 (panel threshold) 自我迴歸模型檢測是否存在一個或數個最適門檻，使投信持股比率與股價之間關係產生轉變。實證結果顯示，不論多頭或空頭行情，當投信持股比率極低時皆可於投信持股增加時予以加碼，即使空頭行情會有短期之回檔，但中長線仍將持續上漲未見反轉下跌，而盤整期則因漲跌趨勢不易掌握故參考價值較低。成交量因與股價呈顯著正相關故可納入引用，Nasdaq指數及匯率則參考價值不大。

關鍵字

縱橫門檻效果 ； 共同基金 ； 群集行為

並列摘要

The purpose of this paper is to study the “threshold effect” between the proportion of mutual fund’s holding on electronic company and its stock prices by applying the panel threshold auto-co-relation model. It examines if there is one or multiple optimal thresholds to have reverse effects between the proportions of the stock holding and the stock prices. Applying the empirical results, we can conclude that investors can increase their stock holding when the proportion of the mutual fund’s holding starts increasing from a very low level. Even the stock prices fall in the beginning when the proportion of the mutual fund’s start increasing in a falling market. However, the stock prices eventually go up higher from a long-term perspective. On the other hand, it is less indicative that the stock prices go up or down when the market is consolidating according to the empirical results. Finally, the transaction volume is positively related to the stock prices and therefore is a useful indicator. On the other hand, the Nasdaq index or the exchange rate is less useful.

並列關鍵字

Panel Threshold Effect ； Mutual Fund ； Herding

參考文獻

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