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

A Study on the Relationship between Stock Index, the Turnover, Financing Stocks and the In/Out of Legal Persons in Taiwan Using the Vector Autoregression Model

丁誌魰(Chin-Wen Ting) ； 曾富敏(Fuh-Min Zeing)

《真理財經學報》 13期 (2005/12) Pp. 43-74

https://doi.org/10.29963/TOJEB.200512.0003

摘要

本文藉由向量自我迴歸模式(Vector Autoregressive Model; VAR)來探討自政黨輪替後臺灣股價、成交量、融資融券與法人進出之間的關聯性，期望本研究成果能提供投資者有用的參考資訊，以利投資策略的擬定。在研究成果方面本文得到以下幾點結論：一、單根檢定顯示，加權指數、成交量、融資張數及融券張數四項時間數列呈現非定態數列；而在一階差分後加權指數變化、成交量變化、融資變化及融券變化四項時間數列則呈現定態數列。二、由Granger因果關係檢定，可知股價的變動領先成交量及融資、融券的變動；而成交量與融資、融券、三大法人買賣超具相互回饋關係。三、由變異數分解得到，加權指數發生非預期之變異時，除了自身的影響外，融券張數對其變異的解釋能力最高；成交量、融資、融券張數及三大法人買賣超發生非預期之變異時，除了自身的影響外，加權指數對其變異的解釋能力最高。此七變數中以成交量變化的內生性最高。四、法人中的外資，其進出情形相對於投信及自營商，較不易受股價影響。

關鍵字

股價 ； 成交量 ； 融資融券 ； 法人進出 ； VAR

並列摘要

This article using the Vector Autoregression Model (VAR) to study the relationship between Stock Index, the Turnover, Financing stocks and the In/Out of Legal Persons after the rotation of political parties in Taiwan, expecting to provide investors with useful reference for their proposals of investment strategies. For the study result this article concluded as followings:1. By using the simple root examination, the time sequence of the four items which are stock index, the turnover, number of financing shares and financing pieces present non-stationary state while the time sequence of the changes in the stock index, the turnover, number of financing shares and financing pieces present stationary state.2. By the Granger causality relationship examination, we may know the changes of stock index precede the changes in the turnover and financing shares and financing pieces while the turnover, financing shares and financing pieces, and the sales and purchases of the three measure legal persons have the mutual feedback relationship.3. Obtaining by the variation number decomposition. if the stock index varied unexpected. except for the influence by itself, the number of financing pieces explains the changes the most, while the unexpected variation occurred in the turnover, financing shares and financing pieces and the sales/purchases of the three measure legal persons, besides the influence by themselves, the stock index explains the changes the most. Among these seven variations, the possibility of inner produced change of turnover is the highest.4. For the foreign investments in legal persons, their in/out situations compared to the investment and trust institutes and self-owned businesses are unlikely be influenced by the stock index.

並列關鍵字

Stock Index ； Turnover ； Financing Shares and Financing Pieces ； In/Out of Legal Persons ； VAR

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