外資流動與台灣股價指數報酬率及其殖利率與本益比之互動關係

Abstract

本篇研究探討外資流動、台股加權指數(台股)報酬率、殖利率與本益比的互動關係。我們採用向量自我迴歸檢定及Granger causality來分析自2003年到2014年三月開放期間之台股月資料。實證結果顯示台股報酬率可單向Granger影響外資流動。此結果代表兩項重要的涵義: 首先，外資當月淨流入無法正向推動次月台股報酬率；再者即是外資機構投資人展現非常強度及持續性的動能策略。出乎意料之外，我們並無發現外資與特定基本面的指標存在著互動關係，代表著外資投資策略主要根據台股報酬率而非特定基本面領先指標；此與一般對“幹練”外資的印象相違，結果顯示在台灣之外資整體交易模式類似 “追漲殺跌”的資訊落後者。 另外，我們發現特定反映基本面的指標如預估殖利率與預估本益比振幅的增加均對台股報酬率產生負面的影響。值得一提的是，所有的變數都與自己前期的突發衝擊有程度不一之正關連。

This study investigates the dynamic interactions among the foreign equity flows, TAIEX returns, dividend yield, and price to earnings ratio. We utilize vector autoregression(VAR) model and Granger causality to analyze the monthly data during the fully liberalized era in Taiwan from 2003 to March 2014. Our empirical findings reveal one-way Granger causality relationship from TAIEX returns to foreign flows. There are two important implications based on this result. First, foreign inflows are not able to positively influence TAIEX returns of the subsequent month. Secondly, foreign institutional investors (FINIs) exhibit significant momentum trading in term of both magnitude and duration. Interestingly, we find no dynamic interactions among the selected fundamentals and foreign investments, indicating FINIs are largely driven by returns and not respond to the selected fundamentals’ shocks. Contrary to the common perceptions about the “sophisticated” FINIs, our results show that foreign investors in Taiwan collectively act like the uninformed “returns chasers”. In addition, we document that innovations in changes of the selected fundamentals such as leading dividend yield and leading price to earnings ratio can elicit negative response to TAIEX returns. It is noteworthy that all the observed variables display various degrees of positive autocorrelation toward their own shocks.