- 學位論文
外資持股與台灣加權股價指數之研究
Research on QFIIs’shareholding and Taiwan Stock Exchange Capitalization Weighted Stock Index
摘要
在國際化以及自由化的世界潮流下，全球的金融市場皆快速且蓬勃的發展。全球資金在各個區域或國家中迅速移動尋找有利可圖的投資機會，但這股資金潮在被投資國家中的轉進與轉出，往往會對其經濟與金融造成巨大的影響。為因應證券市場國際化、自由化之趨勢，我國自民國 79 年起開放外國專業投資機構直接投資國內證券市場，核准外資投資金額呈逐年攀升的狀況，98年6月更開放陸資投資台股，由於外資進出國內股市之動向及選股策略備受矚目，不僅一般投資大眾，甚至自營商、投信法人往往以外資交易資訊為參考指標，使得外資挹注國內股市之資金愈多，其買賣動向似乎愈能主導著大盤及個股的漲跌。關於機構投資人對於股價之影響力，中外學者一直有很大的爭議，外資的交易策略是否與台灣加權股價指數相關？即為本研究的重心所在。本研究使用SAS統計軟體9.1版進行逐步迴歸分析。研究結果發現如下： 一、外資買賣超及外資交易金額比重皆與台灣加權股價指數無相關。 二、自營商買賣超及交易金額比重也皆與台灣加權股價指數無相關。 三、投信買賣超與台灣加權股價指數無相關，但投信交易金額比重在短期內與台灣加權股價指數有正相關。 四、領先指標綜合指數、名目有效匯率指數、景氣對策信號及上市股票本益比與台灣加權股價指數有良好的解釋能力。
並列摘要
Under the trends of globalization and liberalization, financial markets all over the world are experiencing rapid and prosperous growth that we have never seen before. Global capitalists are constantly and rapidly searching for profitable investment opportunities in every region or country. However, this inflow and outflow of capital often cause tremendous financial and economic impacts to the invested country. To facilitate the globalization and liberalization of our security markets, our nation has permitted investments from qualified foreign investment institutions (QFII) directly into the local securities exchange market since 1990. After which time we saw an increasing inflow of foreign investments approved every year. Investment capital originating from China were also permitted into Taiwan's stock market since June 2009. The trading activities and stock selection strategies of QFIIs in and out of our stock market are under scrutiny so closely that not only the investing public, but the proprietary trading firms and investment trust companies as well, often take QFIIs’ transactions as important references. The more funds QFIIs pour into the local stock market, the more their trading activities influence the rises and falls of the stock market index as well as individual stocks. There had always been serious debates between local and foreign scholars regarding the influence of institutional investors to stock prices. Are Taiwan's stock market index movements related to QFIIs’ trading strategies? The answer to this question forms the basis of this research. In this research we used the statistical software – SAS version 9.1 to conduct our stepwise regression analysis. Through our research results we found that: 1.The net purchases, net sales, and the weight of QFIIs’ trading volumes are uncorrelated with the Taiwan Stock Exchange Capitalization Weighted Stock Index. 2.The net purchases, net sales and the weight of proprietary trading firms’ trading volume are also uncorrelated with the Taiwan Stock Exchange Capitalization Weighted Stock Index. 3.The net purchases and net sales of investment trust companies are uncorrelated with the Taiwan Stock Exchange Capitalization Weighted Stock Index, but the weight of their trading volume is positively correlated with the Taiwan Stock Exchange Capitalization Weighted Stock Index in the short-term. 4.The Leading Indicator, the Nominal Effective Exchange Rate, the Monitoring Indicator, and the price-earnings ratios of publicly listed companies provide good explanations to the movements of the Taiwan Stock Exchange Capitalization Weighted Stock Index.