臺灣博碩士論文加值系統

本文結合 Hensen and Seo (2002) 的門檻向量誤差修正 (threshold VECM) 模型，與多變量GARCH模型，建立一門檻向量誤差修正暨多變量GARCH (threshold VEC-GARCH) 模型，以探討台灣地區股價與外資的關聯性。此模型的非線性門檻效果可將股價與外資的關係刻劃成兩種不同狀態，在不同狀態下探討其間的關聯性，並同時藉由多變量GARCH模型探討其波動外溢效果。由於股價與外資的關係可能受到股市多頭空頭、經濟景氣以及政局情勢等因素影響而有所不同，故本文以前述所建立的非線性實證模型探討之，並與傳統線性共整合模型作一比較。此外，本文按「股價與外資買進」、「股價與外資賣出」分開進行實證分析，藉此探討前述兩者是否具有非對稱性。研究期間為自民國90年1月2日至民國96年4月4日，共日資料1542筆。實證結果發現:

一、「股價與外資買進」與「股價與外資賣出」皆存在共整合關係，且共整合關係皆具有對稱雙門檻效果，此門檻效果將共整合關係刻劃成兩個不同的狀態。且偏離長期均衡關係之狀態，其誤差修正向具有均數回復 (mean-reverting) 之功能。

二、線性共整合模型檢測下，股價領先外資買進，且股價與外資賣出互有領先落後關係。故「股價與外資買進」與「股價與外資賣出」的關係為非對稱。

三、門檻共整合模型檢測下顯示：(1)「股價與外資買進」方面：接近長期均衡關係之狀態，股價與外資買進的關係與線性共整合模型相同；偏離長期均衡關係之狀態，則為外資買進領先股價。(2)「股價與外資賣出」方面：接近長期均衡關係之狀態，股價與外資賣出的關係與線性共整合模型相同；偏離長期均衡關係之狀態，則為股價領先外資賣出。「股價與外資買進」與「股價與外資賣出」的關係亦為非對稱。

四、上述四組實證模型中，各當期波動變數皆顯著受自身落遲波動影響。波動外溢效果方面，外資買進變動率皆受到股價報酬率影響；而外資賣出變動率則不受股價報酬率波動之影響。

This study proposes a threshold VEC-GARCH model, which combines Hesen and Seo’s (2002) threshold VECM and multivariate GARCH model to investigate the relationships between stock price (hereinafter SP) and foreign investment in Taiwan. In this proposed model, the relationships between SP and foreign investment can be discussed in two separate regimes by the non-linearity threshold effect; in the meanwhile, the volatility spillover can be discussed by the multivariate GARCH model. As the SP and foreign investment vary with the prosperity and recession of stock market and economy, as well as the political situation; therefore this study investigates their relationships by the proposed model and at the same time make a comparison with the traditional linear model. In addition, this study has done empirical analysis for “SP and foreign investment buy-in (hereinafter FI)” and “SP and foreign investment sold-out (hereinafter FO)” respectively, to investigate whether the asymmetric exists between the two situations. The data utilized in this study dates from January 2nd 2001 to April 4th 2007, 1542 in total. The empirical results of the study are shown as follows:

1.Co-integration exists both in “SP and FI” and “SP and FO”, and it is with symmetric double threshold effect. This effect characterizes the co-integration in two different regimes. In the outside long-term equilibrium regime, the error-correction term has mean-reverting function.

2.In linearity co-integration model, SP leads FI to change and a lead-and-lag relation that exists between SP and FO respectively. Therefore, “SP and FI” and “SP and FO” are asymmetrically related.

3.In threshold co-integration model: (1) the interaction of “SP and FI” shows that the relationships between SP and FI is same as that in linear model in the inside long-term equilibrium regime while FI leads SP to change in the outside long-term equilibrium regime. (2) the interaction of SP and FO shows that the cause-and-effect relationship between SP and FI is same as that in linear model in the inside long-term equilibrium regime while SP leads FO to change in the outside long-term equilibrium regime. Therefore, “SP and FI” and “SP and FO” are asymmetrically related as well.

4.In the aforementioned four empirical models, each current volatility variable is significantly affected by its lagged volatility. As to volatility spillover effect, FI change rate is affected by SP return rate; but FO change rate is not affected by SP return rate. It shows that “SP and FI” and “SP and FO” are also asymmetrically related under volatility spillover effect.

第 一 章 緒論
第 1 節 研究背景與動機
第 2 節 研究目的
第 3 節 研究方法與步驟
第 4 節 研究對象、範圍與資料來源
第 5 節 論文架構

第 二 章 外資投資國內股市之概況
第 1 節 外資投資國內證券市場之過程
第 2 節 外資投資國內證券市場之關係

第 三 章 基礎理論與文獻回顧
第 1 節 基礎理論
第 2 節 文獻回顧
第 3 節 本章綜論

第 四 章 相關計量方法與基本模型建構
第 1 節 時間序列型態與單根檢定法
第 2 節 模型最適落持數選取與殘差診斷
第 3 節 向量自我迴歸模型與因果關係檢測
第 4 節 共整合檢定與向量誤差修正模型
第 5 節 效率性門檻向量誤差修正模型
第 6 節 GARCH 族模型理論與相關檢定
第 7 節 多變量 GARCH 模型表示法

第 五 章 實證結果與分析
第 1 節 資料敘述
第 2 節 單根檢定
第 3 節 共整合檢定
第 4 節 效率性門檻效果檢定
第 5 節 ARCH 效果檢定
第 6 節 實證模型之建立與分析
第 7 節 本章小節

第 六 章 結論與建議
第 1 節 結論
第 2 節 建議

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