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研究生(外文):Yan-Jhij Lin
論文名稱(外文):The Relationship between Foreign purchases and Taiwan Stock Market Index-An Application of Bivariate GARCH-in-Mean Model
指導教授(外文):Song - Zan Chiou-Wei
外文關鍵詞:foreign purchasepurchase expansionVAR -GARCH in Mean modeluncertainty
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本論文參考Radhames and Andre (2009)之作法,於1996年至2009年台灣股市以股價報酬和外資進場互相解釋,並納入會影響兩者的控制變數,如無風險利率、通貨膨脹、長短期利差,以避免股價報酬和外資進場被這些因素干擾。藉由這些互動項運用雙變量VAR-GARCH-M模型,本研究得以驗證股價報酬波動及其外資進場的不確定性對台灣股價報酬的影響,並據以評估外資買進是否刺激股價報酬的效果。
This study adopts the work of Radhames and Andre (2009), we measure informed interaction of stock returns and foreign purchase spanning the period from 1996 to 2009. Moreover, some variables, such as inflation, risk-free rate and the spread between long and short-term interest rates are taken into account because the literature indicates they may affect stock returns. Bivariate VAR-GARCH-M model are used to test the hypotheses.
To do so, it’s including uncertainty factors to examine the direction of causality between stock returns and foreign purchase expansion, as well as the impacts of uncertainty on both variables. As the result foreign purchase uncertainly was found to be positive and statistically significant. A significant impact of uncertainty on stock return is also identified.
Chapter 1 Introduction 1
1.1 Background and Motivation 1
1.2 Organization 4
Chapter 2 Literature Review 5
2.1 Theoretical framework 5
Chapter 3 Sample and Descriptive statistics 8
3.1 Econometric Formulation 8
3.2 Data 11
3.3 Methodology 14
Chapter 4 Empirical analysis 17
Chapter 5 Conclusion 27
5.1 Conclusion 27
5.2 Contribution and Suggestion 27
Reference 29
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