信用交易與股價報酬率之關聯性分析

The Relationship between Credit Transaction and Stock Returns

楊昇翰(SHENG-HAN YANG)

指導教授 ： 倪衍森

淡江大學/管理學院/管理科學研究所碩士班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00055

摘要

臺灣加權股價指數近幾年逐漸走高，股市交易也熱絡起來。臺灣散戶的交易量佔總成交量六成以上，其最常使用的投資方式為信用交易，於是融資融券與股價指數的關連性是值得探討的課題。本研究擬探討大盤與各類股股價指數與其融資之關係為何。股價指數與其融券關係為何。融資融券之間的關係為何。其關連性會否因類股的不同，而有不同的現象。研究期間為2002/1/2~2005/12/30共994筆日資料，並將資料細分為大盤及19種類股來探討。研究後發現，指數與融資、融券之關係會隨著類股不同而有不一致的現象，意即指數上升不見得會推升融資，指數下降不一定導因於融券上升，融資與融券的關係會因類股的不同而有不同之詮釋。由共整合分析的結果來看，許多類股與其融資融券之間是可能有長期均衡關係，例如:大盤之融券與融資可能存在長期均衡關係，亦即可以藉由融資融券走勢，來預測指數未來之走勢。股價最高時，融資並非最高，融資最高時，股價已經下挫之類股為:大盤、水泥、紡織人纖、機電、化學、營建、運輸、百貨。其意味著當股市牛氣沖天時，投資人還是得沉著應對而非盲目地融資買進。由多變量GARCH模型可知，散戶遇到指數有較大震盪時，也許會在隔天有較大的進出股市動作。

關鍵字

向量自我迴歸模型 ； 共整合 ； 信用交易 ； 雙變量GARCH

並列摘要

Taiwan Stock markets are blooming in recent year. The trading amounts of margin trading and short selling deemed as investment instruments by Individual Investors also increase in recent year. Thus, the relationships among stock index, margin trading and short selling seem to be a worthwhile topic to investigate. This thesis is divided into three subjects. One is to study the relationships between stock index and margin trading, another is to examine the relationships between stock index and short selling, and the other is to find the relationships between margin trading and short selling. In addition, and the data employed by this paper is from 2002/1/2~2005/12/30, and the nineteen industrial stock indexes created by TSE are also investigated individually in this paper.

The empirical results are not the same while employing different industrial stock indexes in this paper. For example, the rising of stock indexes do not uplift margin trading, and the falling of stock indexes also do not uplift short selling. The possible reasons might be explained the above phenomena in the context of this paper. Besides, while the stock index is at the peak, the margin trading isn’t; however, the margin is at the peak, the stock index has declined already.
As for the co-integration analysis, our empirical results reveal that long run equilibrium relationships might exist between stock index and credit transaction. Therefore, investors might forecast the trend of stock indexes by the information of credit transactions. Besides, while there is a shock in stock market, the volatilities of credit transaction might increase later, as showed by Bivariate GARCH Models

並列關鍵字

VAR ； ECM ； Bivariate Garch Models

參考文獻

11 曾昭玲、林政緯，2005，調整股市信用交易條件對股價報酬率與波動性影響之探討，風險管理學報，第七卷，第一期，頁53-77。

1 丁誌魰、曾富敏，2005，以向量自我迴歸模式探討臺灣股價、成交量、融資融券與法人進出之關聯性，真理財經學報，第十三期，頁43-74。

13 葉怡芬，2003，信用交易之資訊內涵及其投資策略獲利性之研究，國立成功大學財務金融研究所未出版之碩士論文。

3 王毓敏，1998，臺灣地區股票市場與外匯市場間報酬與波動性外溢效果

1 Asquith, P. and Meulbroek, L.K., (1995) ,“An Empirical Investigation of Short Interest,” M.I.T. Sloan School of Management and Harvard Graduate School of Business Administration, Memo.