國際股匯市、籌碼走勢與總體經濟指標對不同類股指數的影響

Abstract

本文採用2005-2017年的月資料，以向量自我迴歸模型、衝擊反應函數及預測誤差變異數分解，探討國際股匯市(美國道瓊工業指數及台幣兌美元匯率)、籌碼走勢(融資餘額、融券餘額、自營商買賣超、投信買賣超及外資買賣超)與總體經濟指標(銀行業基準放款利率、進口值及出口值)，對臺灣加權指數、金融類股指數及電子類股指數之影響。 實證結果如下： (1)向量自我迴歸模型：自營商及外資買賣超對加權指數及金融類股指數有正向的顯著結果，放款利率對加權指數及電子類股指數有負向的顯著結果，而電子類股指數被自己的落後期影響程度較小。 (2)衝擊反應函數：發生衝擊對加權指數影響程度較小的分別是道瓊指數及投信買賣超，對金融類股指數影響較小的分別是進口及出口，對電子類股指數影響較小的變數為道瓊指數、融資餘額、三大法人買賣超及出口值。 (3)預測變異數分解：除自身之外，對加權指數變異數影響程度較大的是自營商賣賣超及進口值，對金融類股指數是自營商及外資買賣超，對電子類股指數則是放款利率及進口值。

綜上述所言，加權指數及金融類股指數受到籌碼走勢的影響程度較大，而電子類股指數則受到總體經濟指標影響程度較大。

This paper aim to discuss how international stock markets, financial factors and macroeconomic variables impact on stock prices indices by using VAR model, impulse response function and forecast error variance decomposition. We selected monthly data of TAIEX, Finance, Electronics Index, Index, DJIA, exchange rate, financing balance, financing margin, dealers, trust funds, foreign investor, base rate, import value and export value from 2005 to 2017. The results can be seen in the followings: (1)VAR model: Dealers and foreign investor have significant positive impact on TAIEX and Finance Index; base rate has significant negative impact on Electronics Index. (2)Impulse response function: Only DJIA and trust funds have little effect on TAIEX when a shock occurs; only import value and export value have little effect on Finance Index when a shock occurs; DJIA, financing balance, dealers, trust funds, foreign investor, import value and export value have little effect on Electronics Index. (3)Forecast error variance decomposition: Except index itself, dealers and import value affect TAIEX more; dealers and foreign investor affect Finance Index more; base rate and import value affect Electronics Index more. In conclusion, financial factors are important to TAIEX and Finance Index, and macroeconomics variables are important to Electronics Index.