本文主要探討台灣股市之中,外資買賣超、融資餘額與外資台指期淨空單之間的互動是否真如坊間所說,呈現出「外資買超影響融資餘額、融資餘額影響外資台指期淨空單、外資台指期淨空單影響外資賣超」的現象。除了研究四年的全樣本期間,本文又依照不同的經濟背景分出三個子樣本期間—Cycle1、Cycle2與Cycle3—分別包含金融海嘯、海嘯後的多頭行情以及負面消息不斷的2011年。本文先對各變數進行ADF單根檢定,對呈現I(1)數列的變數進行差分後,再將呈定態的變數以VAR估計,並以Granger檢定觀察因果關係。 研究結果顯示在不同的子樣本期間內,變數間的因果關係會因時空背景的不同而有所差異,其中以子樣本期間Cycle2與Cycle3較符合預期假設。結合兩段期間的共同之處,我們認為原先所假設之因果關係,最容易發生在具有「前段上漲、後段盤整或下跌」特性的期間。而在實證分析之後我們又以台灣50與中型100為標的,依照研究所得出的因果關係進行買賣模擬操作,而操作結果顯示台灣50獲得正報酬,而中型100更享有超額報酬。 綜合實證與模擬測試的結果,我們認為外資買賣超、融資餘額與外資台指期淨空單之因果關係確實可作為投資決策的參考之一。
This paper examines the interaction between net foreign investment, margin balance and net foreign short position in TAIFEX futures in Taiwan stock market, which many people believed the net foreign investment would push the margin balance up, which furthermore stimulates net foreign short positions in TAIFEX futures, followed by negative net foreign investment and the stock index decrease. Besides the research in 4-year total period sample, we divided it into three sub-periods — Cycle1, 2, and 3 —according to different economic backgrounds, respectively including financial crisis in 2008, the bull market after the crisis, and the whole 2011 filled with negative messages. We used unit-root test to examine if the variables are stationary, differenced the I(1) variables, put all the stationary variables into a vector autoregression model(VAR), and examined the causal relationship by Granger causality test. The empirical results expressed there were different causal relationships in every period, which the results of Cycle2 and Cycle3 fulfilled our hypothesis comparatively. Referring to the common characteristics of the two periods, we thought the hypothetic causal relationship is more likely to emerge in the period when the stock market goes through an increasing trend followed by fluctuation and adjusting decrease. Moreover, we got positive return on Taiwan 50 and excess return on Medium 100 in the out-sample experiment trading the stocks according to the research results. Combining the results of empirical analysis and trading experiment, the conclusion is that the interaction between net foreign investment, margin balance and net foreign short position in TAIFEX futures could be referred by the investors.