外資未平倉量、外資買賣超對加權股價指數的影響

外資交易占市場比重逐年上升，因此外資對於資金流動的影響很大，具此投資人對於外資的所有行徑應都有所顧及，本論文是以臺灣加權股價指數研究對象，外資未平倉量淨額、外資買賣超淨額、波動度指數以及外資買賣權未平倉量比(put call ratio)為變數，藉由找出主要變數間的互動、影響及關聯性，期提供市場參與者一個更能反映大盤整體走勢的指標，作為市場多空方向判讀之參考。實證結果顯示，藉由2015~2016臺股加權指數與收盤波動率指數、外資多未平倉契約淨額、買賣權未平倉量比率以及外資買賣超之迴歸模型具有顯著相關性，而其中以收盤波動率指數和買賣權未平倉量比的影響量擁有較高的顯著性。為了讓迴歸模型能夠隨著時間變動，本研究中我們將原先由2015~2016臺股加權指數所建立的靜態迴歸模型重新拆解為2組年度資料組成的子樣本迴歸模型，子樣本迴歸模型中對於臺股加權指數變化的解釋能力明顯提高，此外子樣本模型後個別變數的顯著性以及與加權指數的關係也隨著時間有不同改變。本研究中子樣本迴歸模型提供了一個新的角度來觀察與探討加權指數與實證變數在不同時間點的趨勢關係。

關鍵字

最小平方法、臺股加權指數、收盤波動率指數、外資未平倉契約淨額、買賣權未平倉量比率、外資買賣超

並列摘要

The proportion of foreign investment in the stock market increased year by year. So, the foreign investment play an important role on the capital flows. Every activity of the foreign investors should be considered. In this paper, we will focus on the relationship between the Taiwan Capitalization Weighted Stock Index (TAIEX), open interest of foreign investment, foreign investors’ overbuy and oversell, volatility index (VIX) are variables, and the put/call ratio of the foreign investment. The author hopes to provide a better indicator for the overall trend of stock market, by understanding the foreign exchange transactions behavior, and the impact on the TAIEX The empirical results show that the volatility index is the most significant factor to predict the TAIEX in the biennial regression model (2015~2016). We also analysis the annual regression model (2015 and 2016) separately. Comparing those three model, we found significance of the individual variables and the impact on the TAIEX would vary with time. The fitness of the sub-sample regression model is also obviously improved. In this study, the regression model of sub-sample provides a new perspective to observe and discuss the trend relation between TAIEX and empirical variable at different time points.