- 學位論文
外資投資台股行為與兩岸三地股市之關連性研究
The Dynamic Relationship Among Foreign Investment about Stock Price Index in the Taiwan, Hong Kong, Shanghai and Shenzhen.
摘要
近半世紀以來，台灣的股票市場在金融活動中一直扮演著相當重要的角色，故股票市場的價格波動與其他活動間的關連性，一直是市場及投資大眾所關注的話題。而外資在相關文獻中均證實與股票市場有著相當程度之關連性，股票市場的波動與外資之動向有著不可分的關係。有鑑於此，外資的投資行為更加令人注目，對於在外資在投資兩岸三地策略的佈局與政策為何？更為目前眾人關心的焦點。 本研究主要是探討台股的外資買賣超、美金對台幣公告匯率與台灣證券交易所加權股價指數、上海綜合股價指數、深圳綜合股價指數與香港恆生股價指數間因果關係及整合性程度。故研究期間選取台灣宣佈解除外國專業投資機構(QFII)後之時點，進行實證研究。自2003年8月1日至2005年12月31日之日資料，每個研究變數皆有604筆時間序列資料，共計3624筆樣本資料。 本研究所得結論分述如下： 1、Granger 因果關係檢定結果發現，僅外資買賣超與台灣股價指數間存有雙向因果關係，可見台灣股市與外資投資行為間有較密切的關係；新台幣兌換美元之匯率與上海、深圳多為單向因果關係，深圳綜合指數與上海綜合指數，及深圳股市對香港股市均為單向因果關係，故推論深圳為大陸二地間較具影響力的指標。 2、外資買賣超、匯率、台灣股價指數、香港恆生指數、上海綜合指數與深圳綜合指數間存有至少一個共整合向量，顯示長期間具有共整合關係。 3、採用多變量GARCH模型，來探討變數間彼此波動性及關連性，發現外資買賣超資訊及匯率、台股、港股、上海股市及深圳股市等均具有明顯的外溢效果，該現象代表投資者可以利用歷史資訊來判斷各變數之未來走勢。
並列摘要
For the past five decades, stock markets acted as an important role for the financial activities in Taiwan. Hence, the relationship between the price fluctuation in stock market and other financial activities become an interesting topic for investors and financial institutions. Previous literatures found that foreign capitals had a close relationship with the stock market in Taiwan, and the movement of foreign capitals had a strong effect on the fluctuations of Taiwanese stock markets. Consequently, the investment strategy of the foreign capitals in Taiwan, Hong Kong and China becomes the focus of international investors. This study attempts to examine the impact of the net trading amount of the foreign capitals on the foreign exchange rate and stock market in Taiwan, Hong Kong, Shanghai and Shenzhen by using the Granger Causality tests. The sample period starts from Aug.1, 2003 to Dec.31, 2005. Since every parameter has 604data, the total sample contains 3,624 data. The empirical results are summarized as follows. According to the Granger causality test, the findings show that the net trading amount of the foreign capitals have a two-way causality impact on the stock index in Taiwan only, suggesting that foreign capitals have a closer relationship with Taiwan’s markets than they have with the stock markets in Hong Kong, Shanghai and Shenzhen. However, the exchange rate of Taiwan dollars versus US dollars has a one-way causality relationship with Shanghai and Shenzhen stock markets, while the Shenzhen composite index also has an one-way causality relationship with both Shanghai and Hong Kong stock markets, implying that Shenzhen composite index stock have more influential power than Shanghai composite index in Chinese stock markets. The result indicates that there is a long-term co-integration relationship among the net trading amount of foreign capitals, the exchange rate of Taiwanese dollars converting to us dollars, Taiwan stock index, Hong Kong’s Heng Seng stock Index, Shanghai composite index and Shenzhen composite index. By employing the multivariate GARCH model, this study that the net trading amount of foreign capitals have an overflow effect on the exchange rate of Taiwan dollars versus US dollars as well as Taiwan, Hong Kong, Shanghai and Shenzhen stock markets, suggesting that investors may use historical information to predict the future trend of all these parameters.