台灣加權股價指數、新臺幣匯率與外資買賣超之動態關係

隨著外資持股比重遞增，其逐漸成為我國之主力，故現今有越來越多散戶將外資的投資動向作為其投資依據。其同時也影響我國的外匯市場，當外資的資金流入我國市場時，外匯的供給增加，貨幣需求也隨之增加。本研究選取 2011 年 7 月至 2021 年 6 月的台股、外資買賣超、美元兌新台幣及 2015 年 7 月 20 日至 2021 年 6 月的台股、外資買賣超、人民幣兌台幣的日資料，並使用單根檢驗、協整測試、向量誤差修正模型。結果顯示: 1. 台股、外資買賣超、美元兌新台幣與台股、外資買賣超、人民幣兌台幣兩組資料均存在協整關係。 2. 台股與外資買賣超互為領先滯後、外資買賣超落後美元對台幣、人民幣兌台幣與其他兩變數則無領先滯後。 3. 台股與人民幣兌台幣受到自身的解釋是最明顯的，外資買賣超和美元兌新台幣皆受到台股的解釋更多一些。

關鍵字

股價；匯率；外資買賣超；單根檢驗；協整測試；向量誤差修正模型；衝擊反應函數； Granger因果關係檢驗；方差分解

並列摘要

As foreign ownership increases, it gradually becomes the main force in Taiwan, so more and more retail investors are now investing based on foreign investment trends. When foreign capital flows into the Taiwan market, the supply of foreign exchange increases and the demand for currency also increases. In this study, daily data of Taiwan stocks, foreign capital trading, and USD/TWD from July 2011 to June 2021 and daily data of Taiwan stocks, foreign capital trading, and CNY/TWD from July 20, 2015 to June 2021 are selected and single root test, cointegration test, and vector error correction model are used. The results show that 1. There is a cointegration relationship between Taiwan stocks, foreign capital trading and USD/TWD and Taiwan stocks, foreign capital trading and CNY/TWD. 2. Taiwan stocks and foreign capital trading lag each other, foreign capital trading lag USD/TWD, and CNY/TWD and the other two variables do not lag each other. 3. Taiwan stocks and CNT/TWD are most significantly explained by themselves, while both foreign capital trading and USD/TWD are more explained by Taiwan stocks.

並列關鍵字

stock price ； exchange rate ； foreign investment ； single root test ； cointegration test ； vector error correction model ； impact response function ； Granger causality ； Forecast Error variance decomposition