外資在台股現貨及期貨買賣超對現貨指數漲跌關係之研究

A Study of Foreign Investors Influence on the Taiwan Stock and Futures Market

翁經楷(Weng, Ching-Kai)

指導教授 ： 林泉源

共同指導教授 ： 李宏達

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2011年)

摘要

本研究主旨在於研究外資在台灣股票現貨及期貨市場的買賣超與台股加權指數的關聯性及其影響，並將自營商及投信的買賣超也列入分析，所使用的樣本為2007年7月2日~2012年3月30日之日資料，共計1184筆。首先，利用迴歸分析法尋求影響現貨指數與期貨指數漲跌因素。其次，進一步以台股現貨漲跌及期貨漲跌為對象，應用向量自我迴歸模型（VAR）及 Granger 的因果關係檢定、衝擊反應分析及預測誤差變異數分解，以分析台股現貨、期貨漲跌與外資現貨和期貨買賣超之間的關聯性。最後再建構一個簡單的外資交易跟隨策略，並回測和分析其結果。
本研究結論如下：
(一) 由迴歸分析法求出對現貨漲跌有正向影響的三大法人交易：外資當日現貨買賣超金額、自營商當日現貨買賣超金額、投信當日現貨買賣超金額、外資當日台指期多空交易契約金額、自營商當日台指期多空交易契約金額、投信當日台指期多空交易契約金額、外資前一日現貨買賣超金額及外資前一日台指期多空交易契約金額，共8項變數。
(二) 對期貨漲跌有正向影響的三大法人交易：外資當日現貨買賣超金額、自營商當日現貨買賣超金額、投信當日現貨買賣超金額、外資當日台指期多空交易契約金額、自營商當日台指期多空交易契約金額、投信當日台指期多空交易契約金額及外資前一日台指期多空交易契約金額，共7項變數。
(三) VAR實證模型估計出外資現貨買賣超金額及外資台指期多空交易契約金額會顯著影響台股現貨漲跌及期貨漲跌。而Granger因果關係檢定顯示台股現貨漲跌單向領先期貨漲跌及外資現貨買超金額，現貨漲跌和外資台指期多空交易契約金額則為雙向回饋關係。由衝擊反應分析及預測誤差變異數分析可知現貨漲跌受自身影響較大，而受期貨漲跌、外資現貨買超金額與外資台指期多空交易契約金額影響較小。

關鍵字

外資買賣超 ； 現貨市場 ； 期貨市場

並列摘要

The main purpose of this study is to figure out the relationship between overbuy and oversell by foreign investors in Taiwan stock market and the movement of Taiwan stock market weighted index. The data of dealers and investment trust companies are also considered to compare. I test the regression models to measure the explanatory variables first, and apply the Vector Autoregression (VAR) model, the Granger Causality test, the impulse response functions, and the error variance decompositions technique, to analyze the relationships among Taiwan stock index, TAIEX futures, and the behavior of foreign investors’ overbuy. Finally, I construct a trading strategy to examine its practical availability for the result. The research data is from July 2, 2007 to March 30, 2012, for total 1184 data. The conclusions I find to be listed as following:
(1) Positive significantly influence to Taiwan stock market weighted index: foreign investors overbuy at Taiwan stock market, dealers overbuy at Taiwan stock market, investment trust companies overbuy at Taiwan stock market, foreign investors overbuy at TAIEX futures, dealers overbuy at TAIEX futures, investment trust companies overbuy at TAIEX futures, foreign investors overbuy at Taiwan stock market(T-1), and foreign investors overbuy at TAIEX futures (T-1), totally 8 variables.
(2) Positive significantly influence to Taiwan futures market: foreign investors overbuy at Taiwan stock market, dealers overbuy at Taiwan stock market, investment trust companies overbuy at Taiwan stock market, foreign investors overbuy at TAIEX futures, dealers overbuy at TAIEX futures, investment trust companies overbuy at TAIEX futures, and foreign investors overbuy at TAIEX futures(T-1), totally 7 variables.
(3) The foreign investors overbuy at Taiwan stock market and TAIEX futures are found to have significant impact on the movement of Taiwan stock market weighted index and TAIEX futures. The movement of Taiwan stock market weighted index is shown to have significant one-way leading relationship and same direction to the movement of TAIEX futures and foreign investors overbuy at Taiwan stock market. On the other hand, the movement of Taiwan stock market weighted index and foreign investors overbuy at TAIEX futures have bi-directional feedback relationship. Finally, the impulse response functions and forecast error variance decompositions show that the movement of Taiwan stock market weighted index is affected by itself most.

並列關鍵字

Foreign Investors, Stock Market, Futures Market

參考文獻

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