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  • 學位論文

外資持股變動對金控股價報酬之縱橫門檻影響關係研究

The effect of the changing of foreign investment holding change on stock return of FHC – Panel Threshold Analysis

指導教授 : 聶建中 莊孟翰

摘要


長期以來,在台灣金融市場中扮隨著重要的角色的不外是外國專業投資機構,而外資的選股方式也多重視財務數字的特性及高報酬率的投資表現。此外,自2001年開始,金控公司陸續獲准成立,截至2003年1月己有十四家取得金控公司執照,這十四家金控總資產約新台幣八•一兆,佔了台灣金融總資產的四分之一。這些新的金融勢力集團影響將愈來愈大,同時也成為影響台灣經濟的新主角。故本研究運用Hansen(1999)縱橫門檻(Panel Threshold)迴歸方法,探討外資持股變動率對金控股價報酬率是否存在門檻效果,檢定是否存在一上下不對稱之非線性關係。研究分別以外資持股變動率、金控股價報酬率、匯率變動率三個變數來探討其相關性。 實證結果得知,外資持股變動率與金控股價報酬率間存在一門檻值為-0.12單一門檻效果,其係數值在門檻值之下呈負向關係,在門檻值之上呈正向關係,證實了本文先前之臆測,即在外資持股變動率小於門檻γ值-0.12時,因持股變動率負向變動程度較大,故對於股價指數變動率會有負向影響;反之當外資持股變動比率大於門檻γ值-0.12時,除了於外資持股變動率正向變動對股價指數變動率有正向影響外,當持股變動率介於-0.12至0之間時,因市場預期外資賣壓趨緩將會形成股市的反彈,因而可能會進場買股票造成外資持股變動率對股價指數有正向影響。

並列摘要


For a long time, foreign & institutional investors have been playing an important role in Taiwan financial market; they choose stocks mostly basing on fine financial numbers and high-ratio ROI. Besides, financial holdings have been established one after another since 2001. By January 2003, 14 licenses have been issued to these financial holdings, who have their total assets up to 8.1 trillions NT dollars, one-fourth of total Taiwan financial assets. This new power in financial world is becoming more and more influential, and will be the new leading role in Taiwan financial market. Therefore, in this paper, the researcher used Panel Threshold regression method of Hansen(1999) to test whether the variation of foreign investor shareholding would generate threshold effect to the return of investment of financial holdings, and whether there exists asymmetric non-linear correlation. The research has used three variables - the variation of foreign investor shareholding, the return of investment of financial holdings, and the variation of foreign exchange rate - to test their correlation. The result has showed that when the threshold effect is -0.12 between the variation of foreign investor shareholding and the return of investment of financial holdings, its coefficient would be negative correlation below threshold rate, and positive correlation above threshold rate. It testified the speculation in this paper that the variation rate of foreign investors would have negative effect on share price index variation rate when the variation rate of foreign investor shareholding is below threshold γ rate -0.12,and the negative variation rate of shareholding increases; on the contrary, when the variation rate of foreign investor shareholding is above threshold γ rate -0.12, the variation rate of foreign investors would have positive effect on share price index variation rate. Further, when the variation rate of foreign investor shareholding is between -0.12 and 0, the market expects foreign selling slows down and push share price to rebound and therefore results in the positive effect.

參考文獻


林炎會(1995) 外資對台灣證券市場股價之影響
姜淑美、鄭婉秀和邱建良(2003) 外資交易行為、股市及匯市動態關係之研究
Wang, J. A. and Shen, C. H., (1999) “ The Impact of Foreign Investment on Taiwan Stock Market and Exchange Market,” Applied Economics, Forthcoming.
曾林鈴(2002) 匯率對股價的影響-以台灣、香港、大陸B股市場為例
國立臺灣大學商學研究所碩士論文

被引用紀錄


張德育(2007)。基期股價漲跌幅對海外可轉換公司債轉換價差之影響-以縱橫門檻分析〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846%2fTKU.2007.00422
楊美娥(2012)。外資持股及董事持股質押比率與金控公司經營績效關聯性探討〔碩士論文,國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342%2fNTU.2012.00704

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