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  • 學位論文

台灣股價指數、融資券餘額與三大法人操作互動性分析

A Study of Interaction Among Taiwan Stock Market, Margin, and Institutional Investors

指導教授 : 謝德宗 何志欽
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摘要


本文係針對台灣股市融資融券餘額、自營商買賣超、投信買賣超與外資買賣超等三大法人操作對股價指數與成交值的影響,驗證彼此間是否存在長期均衡關係,進而利用VECM模型驗證股價指數與成交值如何受到融資、融券張數及三大法人買賣超變化的影響。本研究利用Augmented Dickey-Fuller單根檢定、Granger因果關係、共整合檢定與VECM模型等計量方法建立實證模型。實證結果所獲得的重要結論如下: 一、Granger因果關係檢定 在非經濟因素的市場指標中,股價指數受本身過去的走勢影響最顯著,成交量、融資融券量及法人進出並非股價的領先指標。另外,法人中的外資進出較具獨立性,較不容易受市場變化來改變操作策略。 二、由共整合檢定   在全部樣本期間,股價指數和各變數期間的共整合關係由檢定結果發現在顯著水準1%下,股價指數和融資餘額、自營商買賣超、投信買賣超、外資買賣超存在共整合關係,但和融券餘額的共整合關係則不顯著。 三、由VECM模型估計 (1) 股價指數及三大法人的互動分析 由股價指數和三大法人領先落後實證分析結果,三大法人往長期均衡調整的速度比股價指數快,在股價指數和三大法人間,股價指數較具主導力。 (2) 散戶及三大法人的操作行為 由散戶和三大法人的操作行為實證分析結果,顯示融資餘額(散戶)往長期均衡調整的速度比外資買賣超快,在散戶和外資買賣超間,外資買賣超較具主導力。

並列摘要


This thesis studies the affections of the adjusted debit balance for finance/bearish and the net buy/sell for three major institution investors (the dealers, the domestic institutions, and the foreign investment institutions) on TSE index and its trading volume to verify if there exists a long-term equilibrium among them. Besides, the volume for finance/bearish and the variation of net buy/sell volume for the three major institution investors are assumed as another affected factors in this study. Some econometrical methodologies such as the unit root test of Augmented Dickey-Fuller, Granger causality test, cointegration test, and the VECM estimation are employed in this research. The main results are shown as follows: 1. Granger causality test Among the market indicators of the non-economic factors, the TSE index is affected by its past performance significantly. The other factors such as the trading volume, the finance/bearish volume, and the operation of the foreign investment institutions are not the leading indicators. Besides, the trading strategy of the foreign investment institutions is independent and is not affected by the variation of the market. 2. Cointegration test For all trading periods, there exists the relationship significantly under 1% confidence level between the TSE index and other variables such as the adjusted debit balance for finance, the net buy/sell for the dealers, the domestic investment institutions, and the foreign investment institutions. However, the adjusted debit balance for bearish is an exclusion. 3. VECM estimation (1). The interaction between TSE index and the three major investment institutions The empirical result proves that the speed toward the long-term equilibrium for the three major investment institutions is faster than for the TSE index, even the latter plays a leading role. (2). The operation for the retail investors and the three major investment institutions. The empirical result proves that the speed toward the long-term equilibrium for the adjusted debit balance of finance is faster than for the net buy/sell of the foreign investment institution, even the latter plays a leading role.

參考文獻


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被引用紀錄


王彩羨(2016)。三大法人、信用交易與台灣加權股價指數關係之研究〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846%2fTKU.2016.00193
章宗璘(2017)。台灣股市與台股投資人交易行為之實證研究〔碩士論文,國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342%2fNTU201700154
黃于玲(2012)。投資人情緒與台灣股價報酬-分量迴歸分析〔碩士論文,國立臺北大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0023-0802201223451100
顏長揚(2015)。探討台灣加權指數、信用交易、外資買賣與匯率關聯性〔碩士論文,國立中正大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0033-2110201614011376
李易蓁(2016)。不同類型投資人情緒對股價報酬之研究〔碩士論文,國立虎尾科技大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0028-0901201716564400

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