臺灣博碩士論文加值系統

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

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