台灣50指數、月營收、外資持股與總體變數之關連性

Abstract

本研究探討台灣50指數、成分股月營收、外資持股金額與總體變數（蘭特原油價格、NASDAQ指數、新台幣匯率、M1b餘額）的關聯性。研究方法採用向量自我迴歸模型、Granger因果關係檢定、衝擊反應分析及共整合檢定，實證期間為2003年1月至2011年12月。歸納出下列結論： 1.台灣50指數單向領先成分股月營收，符合一般認為股價具有領先性。但Granger因果關係檢定顯示外資持股金額也單向領先月營收，此係外資根據預期公司未來營運調整持股。共整合檢定顯示台灣50指數與外資持股存在長期均衡關係。 2.前一期台灣50指數正向領先NASDAQ指數，係因台灣處科技產業上游供應鏈，為美國科技公司重要供應商，具有領先性。其次，短期內M1b餘額將影響台灣50指數；但長期而言，當指數漲升後，投資人擔心追高轉趨保守，將會降低持有活儲餘額，台灣50指數負向領先M1b。再者，台灣50指數與匯率具雙向回饋關係，景氣好轉促使終端需求拉動原材料需求，可以解釋台灣50指數領先原油價格。 3.短期內月營收與M1b餘額、布蘭特原油價格具雙向關係；但長期來看，M1b餘額與原油單向領先月營收。顯示長期來看，需求仍是穩定或小幅成長下，成本推動廠商營收成長是長期趨勢。另外，Granger檢定顯示指數成分股月營收單向領先匯率，與落後一期VAR檢定結果相反，推論長期而言一國企業擴張與壯大代表國家經濟發展較佳，並反應在匯率變化上。 4. VAR顯示前一期M1b影響外資持股金額，但Granger檢定中不存在因果關係，推論短期內，央行寬鬆貨幣有助於外資投資台股，但長期來看，外資並非以M1b作為主要考量。再者，匯率單向領先外資持股金額，顯示外資布局時會考量匯率因素；第三，原油價格與外資持股金額具雙向因果關係，原油波動部分反應實質景氣榮枯，也是外資持股的重要參考指標。 5.各經濟變數對台灣50指數的衝擊反應分析，多數變數在第一期或第二期衝擊達到最高，此後緩步降低。但指數對外資以及匯率的衝擊卻是持續增加，顯示指數影響外資持股。月營收對指數的衝擊也是持續增加。布蘭特原油對指數衝擊於第二期出現劇烈上升後，第6~7期時為最高峰，顯示油價對企業影響將長達半年。

This research discusses the relationship among Taiwan 50 Index, monthly revenue of target stocks, foreign institutions’ shareholding and macroeconomic factors (Brent oil price, NASDAQ, Exchange rate, and M1b balance). We use quantitative methods such as Unit Root, Vector Autoregression Model, Granger Causality Test, Impulse Response Analysis, and Cointegration Test. This research collected data ranging from January 2003 to December 2011. Conclusions summarize as follows. 1. Taiwan 50 Index leads monthly revenues, in line with the concept that stock price lead fundamental. Granger test also reveals that foreign institutions’ shareholding leads the monthly revenue of target stocks. Foreign institutes manage portfolios based on the expectation of the growth of the companies in the future. Cointegration test shows that Taiwan 50 index has long-term integration with foreign institutions’shareholding. 2. First of all, last Taiwan 50 index leads NASDAQ positively because Taiwan companies play an important role of the upstream supplier to the US technology industries. Secondly, in the short term, M1b balance leads Taiwan 50 index. However, in the long run, investors would be more conservative after stock prices surging and reduce positions in the stock market. Taiwan 50 index leads M1b negatively. Thirdly, there is a mutually-influenced feedback relationship between Taiwan 50 index and Exchange rate. Lastly, economic growth increases the demand of raw materials, which explains why Taiwan 50 index leads Brent oil price. 3. In the short term, there is a feedback relationship between monthly revenue and M1b balance and between revenue and oil price. However, it is a long-term trend that moderate growth of demand increases the revenue of companies. Secondly, Granger test shows that monthly revenues lead foreign exchange, contrary to VAR test which lags for one period. The result infers that the expansion of enterprises represents better economic growth and reflections on foreign exchange market. 4. VAR test shows that last M1b balance leads foreign shareholding, which is not revealed by Granger test. We infer that easing monetary policy of the Central Bank of the Republic of China (Taiwan) encourages foreign institutes investing in Taiwan stock market in the short term. Nevertheless, in the long run, foreign institutions do not treat M1b as the most important factor. Secondly, foreign exchange leading foreign shareholdings indicates that foreign investors take foreign exchange into consideration. Thirdly, there is feedback relationship of causality between oil price and foreign shareholdings. The volatility of oil price reflects economic situation so that foreign institutions take oil price into consideration. 5. For Impulse Response Analysis, most impacts reach the highest in the first or second month, and decrease thereafter. But the impact of Taiwan 50 to foreign institutions, foreign exchange and monthly revenue increases continuously. The impact of Brent oil price to Taiwan 50 index surfs dramatically in the second month and reaches the highest in the sixth or seventh month. The impact of oil price to the target companies last for six months.