臺灣博碩士論文加值系統

本文主要在討論外資對台灣股票市場的影響，因此探討外資買賣超，台股成交量與股價指數報酬率之間的關係，採用因果關係檢定來討論三個變數兩兩之間的因果關係，並利用向量自我回歸模型討論三個變數之間的互動關係。第二部份則在向量自我回歸模型中加入景氣循環變數當作虛擬變數來討論對三個變數關係的影響。最後的部份則在模型中加入匯率變動率當作控制變數來觀察三個變數之間的互動關係的改變。

Abstract
The study focuses on the influence how the qualified foreign institutional investors on Taiwan stock market. Many studies find that the trading volume conveys market information in the dynamic interrelations of trading mechanism. Thus the paper uses trading volume as proxy for informed traders to examine whether they would affect the stock returns. So, this paper tends to test the interrelation and impact of foreign investments on the Taiwan’s stock market with Granger Causality Tests and Vector Autoregressive Model. Furthermore, the discussions among stock market, exchange rates and business cycle are always one of subjects for the academic research. For example, Javanovic (1993), Johansen (1988) and Abdalla & Murinde(1997). Therefore, the proxy of business cycle and foreign exchange rates are added as control variables to investigate the relationship among foreign investment, stock return, and trading volume. We get some conclusions that From Granger Causality test, and there is the causality relationship between FNO and DTV, between FNO and RM, DTV and RM as well as FNV and DTV. But there is no lead-lag relationship between FNV and RM. We adopt Vector Autoregressive Model to analyze the interrelationship among FNO (FNV), DTV and RM, finding there are strong interrelationships among our variables. When we add control variables (TSMI or ER), suggesting that the explanation ability of FNO (FNV) and RM by model both increase.

Contents
Chapter One　Introduction 2...............................................................................2
1.1 Research Background and Motivation 2...........................................2
1.2 Research Objective 3.......................................................................3
1.3 Research Framework 4....................................................................4
Chapter Two　Literature Review 5......................................................................5
2.1 The relation between institutional investment and stock return 5..........5
2.2 The relation between trading volume and stock return 8.....................8
2.3 Other Empirical Research 11............................................................11
Chapter Three　Data and Methodology.................................................. 1515
3.1 Data 15............................................................................................15
3.2 Unit Root Test 16.............................................................................16
3.3 Granger Causality Test 19.................................................................19
3.4 Vector autoregressive model 22.........................................................22
Chapter Four　Empirical Results & Analysis 28....................................................28
4.1 Unit Root Test 28..............................................................................28
4.2 Granger Causality Test 28..................................................................28
4.3 Vector Autoregressive Model 29........................................................29
Chapter Five　Conclusion 34................................................................................34
5.1 Main Findings 34...............................................................................34
5.2 Suggestion 36....................................................................................36
Reference 37.........................................................................................................37
Table.1　Unit Root Test 39...................................................................................39
Table.2　Granger Causality Test results among all variables 40...............................40
Table.3　Estimation results of VAR Model by FNO, DTV and RM 41..................41
Table.4　Estimation results of VAR Model by FNV, DTV and RM 42...................42
Table.5　Estimation results of VAR Model by FNO, DTV and RM (TSMI) 43..... 43
Table.6　Estimation results of VAR Model by FNV, DTV and RM (TSMI)...... 4444
Table.7　Estimation results of VAR Model by FNO, DTV and RM (ER) 45..........45
Table.8　Estimation results of VAR Model by FNV, DTV and RM (ER) 46...........46

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