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研究生:施旭時
研究生(外文):Shih, Hsu-Shih
論文名稱:國內外法人機構,新興市場自由指數與國內股市結構
論文名稱(外文):Domestic & foreign institutional investors, EMF, and the structure of domestic stock market
指導教授:李又剛李又剛引用關係
指導教授(外文):Lee You-Kong
學位類別:碩士
校院名稱:淡江大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:1997
畢業學年度:85
語文別:中文
論文頁數:52
中文關鍵詞:法人投資機構新興市場自由指數結構變遷虛擬變數分析法
外文關鍵詞:Chow 檢定法institutional investorsEMFstructure changeChow testdummy variable analysis
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論文名稱:國內外法人機構、新興市場自由指數與國內股市結構 頁數
:50頁校(院)所別:私立淡江大學國際企業學研究所畢業時間及提要別
:八十五學年度第二學期碩士學位論文提要研究生: 施 旭 時
指導教授: 李 又 剛 博士論文提要內容:近年來,中央銀行與財政部
均致力於相關金融業務的國際化與自由化,希望藉由提升法人在國內股市
所佔之比重,進而導正國內股市的運作。當國內、外法人機構對國內股市
日漸展現舉足輕重影響之際,我國證券市場在國際化的過程中,亦獲得來
自國際間對國內股市的認同與肯定。因此摩根史坦利公司,才會宣佈將台
股納入新興市場自由指數(EMF)。而本研究則透過國內、外法人機構當
週與累積買賣超對週末收盤發行量加權股價指數的影響,進而探討在宣佈
台股指數被納入摩根新興市場自由指數之後,是否會造成國內股市產生結
構變遷。本文研究期間為民國八十四年八月一日至民國八十五年十一月三
十日。首先,經由逐步迴歸分析建構出國內、外法人投資機構影響國內股
市之計量模型;然後以Chow檢定法,評估摩根集團宣佈將台股指數納入
EMF,此舉對國內股市的生態環境是否會產生結構的影響。並且在判定國
內股市結構會因台股指數被納入EMF之後,而產生結構變遷時,將再進一
步利用虛擬變數分析法,來研判造成結構變遷的"變異來源"。經過實証分
析之後,可以得到下述六項結論:1. 引入自營商細目資料前,能夠掌控
國內股市脈動的國內、外法人機構力量,計有: 外資累積買賣超之金額
與投信累積買賣超之金額等兩項。2.引入自營商細目資料後,能夠掌控國
內股市脈動的國內、外法人機構力量,則擴增為五項,即為:外資累積買
賣超之金額、投信累積買賣超之金額、指標性自營商累積買賣超之金額、
指標性自 營商當週買賣超之金額與外資當週買賣超之金額。3.在引入自
營商細目資料後,所獲致的國內、外法人影響國內股市之計量模型,其配
適度確實獲得顯著提昇。4.藉由迴歸參數估計值的拆解,可進一步判定足
以主導國內股市脈動的國內、外法人機構之力量,則只有外資累積買賣超
之金額與指標性自營商當週買賣超等兩項。5.經由Chow檢定得知:自摩根
集團宣佈將台股指數納入EMF之後,對國內股市的確會造成結構的改變
。6.最後,藉由「虛擬變數分析法」得知:在本研究所有變數中,僅有外
資累積買賣超之金額是主導國內股市產生結構變遷的關鍵變數。
Title of the Thesis: Domestic & foreign institutional investors,
EMF, and the structure of domestic stock marketKey word:
institutional investors, EMF, structure change, Chow test, dummy
variable analysisName of Institute: Graduate institute of
international business, Tamkang UniversityGraduate Date: June
1997 Degree Conferred: MasterName of
student: Shih, Hsu-shih Advisor: Dr.Lee, You-
kongAbstract:Recent years, the Central bank and the Treasury
department have contributed lots of effort on globalization of
domestic financial market, and they tried to make the
development of the stock market onto the correct track through
increasing the institutional investors'' investment ratio. While
domestic and foreign institutional investors were petting more
and more influential power over the stock market , more and more
foreign investor were attracted . Therefore, Morgan Stanley
decided to include Taiwan stock index in EMF(Emerging Market
Free index).This paper is to find out whether the structure of
the stock market is changed or not after Morgan Stanley''s
including Taiwan stock index in measuring EMF.The researching
period is from August 1995 to November 1996. It first, through
stepwise regression analysis, creates the econometric model of
domestic stock market. Then, we use Chow test to examine if
including Taiwan''s stock index in EMF affects the structure
change of domestic stock market. After making sure that Morgan''s
announcement does influence the structure change of the domestic
stock market, then we use dummy variable analysis to find out
the key factors to the structure change.The conclusion of the
research reveals the following six facts:1. Before concerning
the representative security Dealer/Trader department, the
factors controlling the fluctuation of the stock market include
foreign institutional investors'' cumulated balance and security
investment trust companies'' cumulated balance.2. After taking
representative security Dealer/Trader department into
consideration, representing security Dealer''s cumulated balance,
its weekly investing balance and foreign institutional
investors'' weekly investing balance are also added as key
controlling factors.3. After taking representative security
Dealer/Trader department into account, the fits of econometric
model become better.4. Through total differential, the affecting
factors are narrowed down to foreign institutional investors''
cumulated balance and representing security Dealer/Trader
department''s weekly investing balance. Only these two factors
are able to affect the fluctuation of the domestic stock
market.5. Based on the result of Chow test, Morgan''s including
Taiwan stock index in EMF does result in structure change of the
domestic stock market.6. Finally, through dummy variable
analysis, we know the key factor contributing to the structure
change of domestic stock market is foreign institutional
investors'' cumulated balance.
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