外資對股市及匯市影響之經濟分析

An Economic Analysis on the Influence of Foreign Capital toward the Stock and Currency Markets

吳宜庭(Yi-Ting Wu)

指導教授 ： 何瓊芳

中原大學/商學院/國際貿易研究所/碩士(2010年)

https://doi.org/10.6840/cycu201000687

摘要

一般投資人常以外資買賣超資訊作為進出股市之依據，但是外資的買賣超資訊是否真的會影響股市的漲跌，是值得探討的。因此本研究擬分析外資的交易行為對於股價指數的長短期影響是否存在，同時探討外資與股價指數間之因果關係。並且以各大類股去探討其影響程度。
在研究方法上，本文採用迴歸分析方法來探討外資的買、賣與台灣股市之間是否存在線性之關係。本文以台灣的外資買賣作為研究對象，研究期間為2005至2009年，且分各個區間及以類股形態去探討其差異性。實證結果也指出：無論是一年、半年、三年及五年只要外資進入股市對大盤且對各類股都有顯著影響，代表著外資對股價的確造成非常大的因果關係。因此研究冀望以實證結果所獲得之資訊能有利於證券市場投資人在投資決策之分析。
在本文同時也探討外資與匯率及利率間之關係。由於匯率的升貶時常影響國際貿易的價格並且導致公司盈餘的波動，而投資人又會將公司盈餘視為投資股市的重要指標，因此本研究將匯率視為重要的經濟指標之一並納入為研究變數。實證結果發現：
一、研究結果顯示台灣的股票市場確實受外資的影響相當的大，外資大買台股，台股勢必看漲，相反的，外資大賣台股，台股勢必大跌。
二、經由因果關係可發現，外資買賣與股價指數兩變數之間存在高度顯著關係。就外資買賣、匯率、利率及基本放款利率這四個變數而言，是不存在任何的因果關係的，亦即除了外資買賣對股價造成重大影響外，其他3個變數皆無太大影響。

關鍵字

利率 ； 匯率 ； 股價 ； 外資

並列摘要

Ordinary investors often take foreign capital's overbuy and oversell Information as a basis to determine when is the best timing to buy or sell the stocks in the market, but whether it can really affect the ups and downs in the stock market is worth exploring. Therefore, the aim of this study is to analyze whether the effect of foreign investment behavior on the stock price index exists. Moreover, it will examine the causal relationship between foreign investment and stock index. With an investigation of the major stocks, we shall see the extent of its effect.
As for the methodology in this paper, I will use regression analysis to explore whether there is a linear relationship between the foreign capital flows and Taiwan stock market. The research subject of my paper is foreign capital behavior in Taiwan stock market. The period covered under the study is from 2005 to 2009. I will investigate the differences by means of various intervals and shares. Empirical findings indicate that foreign capital in the stock market has a significant influence not only on TAIEX but on shares no matter whether it has lasted for one year, six months, three years or five years. It points to the fact that foreign capital does have a straightforward causal relationship to stock prices. I hope that the capital extracted from the empirical results of the study is beneficial for securities investors’ result decision analysis.
This paper also examines the relationship among foreign investment, exchange rates and interest rates. Considering that the appreciation or depreciation of the exchange rate affects prices of trade and causes the fluctuation of a company’s net income. Investors evaluate a corporate performance then based on the corporate profits, exchange rate in this paper is a vital indicator as well as a key factor.
The empirical results of this research are as follows:
1. The research shows that the foreign capital has a significant impact on Taiwan stock market. In other words, foreign capital behavior was influential for Taiwan stock market.
2. Through the causality, we learn that the foreign capital is highly related to stock index. As far as the four variables—the buying and selling of foreign capital, exchange rates, interests and prime lending rates—are concerned, there is no casual relationship among them. That is, except for the great effect of foreign capital on stock prices, other three variables have little influence.

並列關鍵字

interest rates ； exchange rate ； shares ； Foreign investment

參考文獻

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