台灣股價指數、融資券餘額與三大法人操作互動性分析

Abstract

本文係針對台灣股市融資融券餘額、自營商買賣超、投信買賣超與外資買賣超等三大法人操作對股價指數與成交值的影響，驗證彼此間是否存在長期均衡關係，進而利用VECM模型驗證股價指數與成交值如何受到融資、融券張數及三大法人買賣超變化的影響。本研究利用Augmented Dickey-Fuller單根檢定、Granger因果關係、共整合檢定與VECM模型等計量方法建立實證模型。實證結果所獲得的重要結論如下： 一、Granger因果關係檢定 在非經濟因素的市場指標中，股價指數受本身過去的走勢影響最顯著，成交量、融資融券量及法人進出並非股價的領先指標。另外，法人中的外資進出較具獨立性，較不容易受市場變化來改變操作策略。 二、由共整合檢定 在全部樣本期間，股價指數和各變數期間的共整合關係由檢定結果發現在顯著水準1%下，股價指數和融資餘額、自營商買賣超、投信買賣超、外資買賣超存在共整合關係，但和融券餘額的共整合關係則不顯著。 三、由VECM模型估計 (1) 股價指數及三大法人的互動分析 由股價指數和三大法人領先落後實證分析結果，三大法人往長期均衡調整的速度比股價指數快，在股價指數和三大法人間，股價指數較具主導力。 (2) 散戶及三大法人的操作行為 由散戶和三大法人的操作行為實證分析結果，顯示融資餘額(散戶)往長期均衡調整的速度比外資買賣超快，在散戶和外資買賣超間，外資買賣超較具主導力。

This thesis studies the affections of the adjusted debit balance for finance/bearish and the net buy/sell for three major institution investors (the dealers, the domestic institutions, and the foreign investment institutions) on TSE index and its trading volume to verify if there exists a long-term equilibrium among them. Besides, the volume for finance/bearish and the variation of net buy/sell volume for the three major institution investors are assumed as another affected factors in this study. Some econometrical methodologies such as the unit root test of Augmented Dickey-Fuller, Granger causality test, cointegration test, and the VECM estimation are employed in this research. The main results are shown as follows: 1. Granger causality test Among the market indicators of the non-economic factors, the TSE index is affected by its past performance significantly. The other factors such as the trading volume, the finance/bearish volume, and the operation of the foreign investment institutions are not the leading indicators. Besides, the trading strategy of the foreign investment institutions is independent and is not affected by the variation of the market. 2. Cointegration test For all trading periods, there exists the relationship significantly under 1% confidence level between the TSE index and other variables such as the adjusted debit balance for finance, the net buy/sell for the dealers, the domestic investment institutions, and the foreign investment institutions. However, the adjusted debit balance for bearish is an exclusion. 3. VECM estimation (1). The interaction between TSE index and the three major investment institutions The empirical result proves that the speed toward the long-term equilibrium for the three major investment institutions is faster than for the TSE index, even the latter plays a leading role. (2). The operation for the retail investors and the three major investment institutions. The empirical result proves that the speed toward the long-term equilibrium for the adjusted debit balance of finance is faster than for the net buy/sell of the foreign investment institution, even the latter plays a leading role.