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研究生:薛龍進
研究生(外文):Lung-chin Hsueh
論文名稱:台灣股市股價指數報酬率與三大法人買賣超互動關係之實證研究
論文名稱(外文):The Interrelationships among Stock Returns and Institutional Investors'' Buy-sell Difference in Taiwan''s Stock Market: An Empirical Analysis
指導教授:李慶男李慶男引用關係
指導教授(外文):Chingnun Lee
學位類別:碩士
校院名稱:國立中山大學
系所名稱:經濟學研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:67
中文關鍵詞:向量自我迴歸模型股價指數報酬率三大法人衝擊反應函數向量誤差修正模型共整合單根檢定
外文關鍵詞:Impulse Response FunctionVector Autoregressive ModelStock ReturnsInstitutional InvestorsUnit TestCointegration TestVector Error Correction Model
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本研究以2001年1月至2009年4月,採年報酬率(%)每月平均值及三大法人每日買賣超月平均值之月資料100筆,運用時間序列之計量及檢定方法,探討台灣股市股價指數報酬率與三大法人買賣超互動關係,研究實證主要結論如下:
一、台灣股市股價指數報酬率與三大法人買賣超等四個時間序列變數皆為I(1),且存在一組具有長期共整合之均衡關係,其長期關係式為:
Ry=1.65*QFII+4.28*FUND+35.22*DLR-1142.6
台灣股市加權指數年報酬率與三大法人買賣超皆呈正向相關。三大法人長期對台灣股市加權指數年報酬率影響程度大小依序為自營商、投信及外資。
二、其短期的互動關係為:
1.台灣股市集中市場之報酬率變動與三大法人之買賣超變動無任何短期相互關係,而僅受到自身前一期年報酬率變動之短期正向影響。投資人無法由三大法人前幾期買賣超之變動得知股市年報酬率之變動。
2.整體外資當期買賣超之變動,在短期,受到三大法人之買賣超變動之正或負影響,其中當期買賣超之變動會依據自身前一期買賣超之29.5%變動及投信前一期買賣超之154.8%變動做反向修正,依自營商前一期買賣超之469.2%變動做正向修正;在長期,則受到三大法人之買賣超及股市年報酬率均衡之影響,做16.3%誤差修正項之正向修正,即有追漲殺跌之現象。
3.整體投信當期操盤較為獨立而不受其他法人之影響,其當期買賣超之變動會依據自身前一期之買賣超變動做36.8%反向修正,不受三大法人之買賣超及股市年報酬率長期均衡之影響。
4.整體自營商當期買賣超之變動,在短期,受到外資之買賣超變動之正向影響,其當期買賣超之變動會依據外資前一期之買賣超變動做2.2%正向修正;在長期則受到三大法人之買賣超及股市年報酬均衡之正向影響,做2.55%誤差修正項之正向修正,亦即有追漲殺跌之現象,但力道約為外資之32分之5。
5.僅外資和自營商互為短期正向影響,外資與自營商之前一期買賣超變動分別正向影響自營商及外資當期買賣超變動,兩者有互為參考之意涵。三大法人短期相互影響程度大小依序為投信、自營商及外資。
This study investigates the long-term and short-term dynamic relationships among the variables of stock returns and institutional investors'' buy-sell difference in Taiwan''s stock market for the sample periods from Jan., 2000 through May, 2009. Some econometrical methodologies are used in this study, such as unit test, vector autoregressive model, cointegration test, vector error correction model, impulse response function.
The major empirical results are shown as follows:
1. Cointegration test
For the sample periods, one long-term equilibrium relationship is found from the Johansen''s cointegration test, significantly with 5% confidence level between stock year returns and the buy-sell difference for the foreign investment institutions, the domestic investment institutions, and the dealers. The long-term equilibrium relationship is Ry=1.65*QFII+4.28*FUND+35.22*DLR-1142.6.
2. VECM estimation
(1)With the vector error correction model (VECM) being applied to the sample periods, the findings indicate that the changes of stock returns are not influenced among the short-term dynamic relationships by the changes of institutional investors'' buy-sell difference, but only affected by one-period-lag of itself.
(2) Among the short-term dynamic relationships, the changes of foreign investment institutions'' buy-sell difference are affected by one-period-lag of institutional investors that positively affected by one-period-lag of the dealers, and inversely affected by one-period-lag of itself and one-period-lag of the domestic investment institutions. However, it is positively affected by one-period-lag of long-term equilibrium, which indicates foreign investment institutions follow positive feedback trading strategies.
(3)The changes of the domestic investment institutions'' buy-sell difference are only affected by one-period-lag of itself among the short-term dynamic relationships.
(4)The changes of the dealers'' buy-sell difference are positively affected among the short-term dynamic relationships by one-period-lag of the foreign investment institutions. As for the long-term relationships, it is affected by one-period-lag of long-term equilibrium, which also indicates the dealers follow positive feedback trading strategies.
(5)The foreign investment institutions and the dealers have the mutual feedback relationship.
目錄
頁次
誌謝 ……………………………………………………… Ⅰ
目錄 ……………………………………………………… Ⅱ
中文摘要 …………………………………………………Ⅲ
英文摘要 …………………………………………………Ⅴ
圖目錄 ……………………………………………………Ⅵ
表目錄 ……………………………………………………Ⅵ
第一章緒論 ………………………………………………1
第一節研究背景與動機 …………………………………1
第二節研究目的 …………………………………………2
第三節研究架構與流程 …………………………………4
第二章機構投資法人介紹與文獻回顧 …………………6
第一節機構投資法人介紹 ………………………………6
第二節文獻回顧 …………………………………………16
第三章研究方法 …………………………………………22
第一節單根檢定 …………………………………………22
第二節向量自我廻歸模型 ………………………………24
第三節共整合及向量誤差修正模型檢定 ………………26
第四節因果關係檢定 ……………………………………31
第五節衝擊反應函數 ……………………………………32
第四章實證結果與分析 …………………………………36
第一節變數定義及資料來源 ……………………………36
第二節單根檢定 …………………………………………37
第三節向量自我廻歸模型 ………………………………42
第四節共整合檢定 ………………………………………44
第五節向量誤差修正模型 ………………………………46
第六節衝擊反應函數分析 ………………………………51
第五章結論與建議 ………………………………………55
第一節結論 ………………………………………………55
第二節建議 ………………………………………………57
參考文獻 …………………………………………………58

圖目錄
一、中文部份
1.行政院金融監督管理委員會證券期貨局網站(http://www.sfb.gov.tw)。
2.余宗達(1998),外國專業投資機構與指標性自營商於國內股市之定位,淡江大學 國際貿易學系碩士論文。
3.杜金龍(2002),基本分析在台灣股市應用的訣竅,台北市:財訊出版社。
4.林武郎、李慶男(1998),臺灣儲蓄率下降原因之分析,經濟叢刊之一二六,台北市:行政院經濟建設委員會。
5.林傑宸(2008),基金管理:資產管理入門寶典,台北市:智勝文化事業有限公司。
6.吳政樂 (1999),證券自營商之從眾行為與投資策略分析,國立中央大學財務管理研究所碩士論文。
7.留宗燦(2000),機構投資者對國內股市的影響-以類股探討,國立中正大學國際經濟研究所碩士論文。
8.張皇輝(1995),外資及自營商的買賣策略對台灣股市報酬率與波動性影響之研究,國立台灣大學商學研究所碩士論文。
9.陳仕偉、林惠如 (2006),區隔市場或整合市場?亞洲股市與美國及日本股市的實證研究,金融風險管理季刊,第二卷第四期,頁19-47。
10.詹瑞華(2003),交易制度、市場透明度與投資人行為之研究,國立政治大學企業管理研究所碩士論文。
11.黃嘉興、詹定宇、許月瑜(1999),機構投資人日買賣超資訊傳遞行為之研究,台灣銀行季刊,第五十卷,第二期,頁28-55。
12.黃懷慶(2000),臺灣股市三大機構投資人(外資、投信與自營商)投資行為之實證研究,朝陽大學財務金融系碩士論文。
13.葉月女(2003),我國證券市場三大機構投資人與一般投資人對股市波動性影響之探討,淡江大學財務金融學系碩士論文。
二、英文部份
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8.Granger, C.W.J. (1988), "Some Recent Development in a Concept of Causality." Journal of Econometrics, Vol.39, pp.199-211
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11.Hamilton, James D. (1994), "Time Series Analysis." Princeton University Press.
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14.Johansen, Soren (1988), "Statistics Analysis of Cointegration Vectors." Journal of Dynamics and Control, Vol.12, pp.231-254
15.Johansen, Soren and Juselius, Katarina (1990), "Maximum likelihood estimation and inference on cointegration-with applications to thedemand for money." Oxford Bulletin of Economics and Statistics, 52(2), pp.169 - 210.
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19.Mackinnon, James G. (1996), "Numerical Distribution Functions for Unit Root and Cointegration Tests." Journal of Applied Econometrics, 11, pp.601-618.
20.Maddala, G. S and Kim, In-Moo (1998) "Unit Roots, Cointegation, and Structural Change." Cambrige University Press.
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22.Phillips, P.C.B. (1998),"Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VARS''." Journal of Econometrics, 83, pp.21-56.
23.Schwert, G. W. (1989), "Tests for Unit Roots: A Monte Carlo Investigation." Journal of Business and Economic Statistics, 7, pp.147-160.
24.Sims, Chris (1980), "Macroeconomics and Reality." Econometrica, 48, pp.1-48.
25.Toda, Hiro Y., and Taku Yamamoto (1995) "Statistical Inference in Vector Autoregressions with Possibly Integrated Processes." Journal of Econometrics, 66, pp.225-250.
26.Wang, Lee-Rong, and Shen, Chung-Hua (1999), "Do Foreign Investment Affect Foreign Exchange and Stock Markets-the Case of Taiwan." Applied Economics, 31, pp.1303-1314.
27.Yang, Jack J.W., 2002, "The information spillover between stock returns and institutional investors trading behavior in Taiwan." International Review of Financial Analysis, 11, pp.533-547.
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