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研究生:蔡閔舜
研究生(外文):Tsai,Min-Shun
論文名稱:影響外資機構買賣超對股價變異性預測力之股票特性
論文名稱(外文):Stock Characteristics Affecting the Contribution of QFII Net Buys/Sells on the Variability of Stock Prices
指導教授:闕河士闕河士引用關係
指導教授(外文):CHUEH,HORACE
口試委員:葉仕國王健聰菅瑞昌闕河士
口試委員(外文):CHUEH,HORACE
口試日期:2017-10-27
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2017
畢業學年度:106
語文別:中文
論文頁數:69
中文關鍵詞:外資機構股票市場向量自我迴歸模型
外文關鍵詞:Qualified Foreign Institutional Investors (QFII)Stock MarketVAR Model
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外資機構交易如何影響股價變化,一直是實務者和研究者關切的議題。本文以2013年至2015年在台灣證券交易所的上市股票為樣本,利用向量自我迴歸模型的預測誤差變異數分解去估計外資機構買賣超對股價變異性預測力,並以複迴歸模型檢驗股價淨值比、現金股利率、權益市值、流動性、外資機構持股比率和產業等股票特性變數如何影響外資機構買賣超對股價變異性預測力。實證結果發現,股價淨值比、現金股利率、權益市值、流動性、外資機構持股比率越大的股票,外資機構買賣超對於股價變異性具有較大的預測力。至於電子與金融產業類股票的外資機構買賣超則對股價變異性之預測力沒有顯著影響。

關鍵詞:外資機構,股票市場,向量自我迴歸模型。

How trades of qualified foreign institutional investors (QFII) affect stock returns have always been a matter of concern to practitioners and researchers. Using a sample consisting of the listed stocks on the Taiwan Stock Exchange from 2013 to 2015, we employ the technique of FEVD (forecast error variance decomposition) in the VAR (vector autoregression model) to estimate the predictive power of the net buys/sells of QFII over the variability of stock prices. This study also examines the relationships between stock characteristics (including P/B ratio, cash dividend yield, equity market value, liquidity, foreign ownership ratio and industrial classification) and the driving force of QFII net buys/sells on the stock returns by regression models. The results indicate that the predictive power of the net buys/sells of QFII over the variability of prices is profound in stocks with larger P/B ratio, cash dividend yield, equity market value, liquidity, and foreign ownership ratio. Additional, there is no significant impact of financial and electronics sectors on the predictive power of the net buys/sells of QFII over the variability of stock prices.

Keywords: Qualified Foreign Institutional Investors (QFII), Stock Market, VAR Model.

中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 vi
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 論文結構 5
第貳章 文獻探討 6
第一節 外資買賣超與股價關係 6
第二節 外資偏好之股票特性 12
第參章 研究方法 16
第一節 研究架構與研究假說 16
第二節 變數定義與衡量 21
第三節 模型設定與參數估計方法 27
第四節 樣本與資料 29
第肆章 實證結果與分析 31
第一節 追蹤資料向量自我迴歸分析 31
第二節 外資機構買賣超對股價變異性預測力之影響因素迴歸分析 47
第伍章 結論與建議 61
第一節 研究結論 61
第二節 研究建議 62
參考文獻 64



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