三大法人及市場面因素對電子類與金融類股指數之影響

Abstract

本文主要研究目的在於探討國際股市、市場面因素（如貨幣數量與匯率變動）、三大法人操作及各因素間彼此的互動對電子類股指數與金融類股指數的影響，以期能提供一些有用的投資決策資訊。 因為時間序列變數可能存在隨機趨勢，是以本文先對各變數以ADF單根檢定法進行單根檢定，待將可能存在單根的變數處理成定態變數，再對各變數進行相關性分析，最後在多元指數模型的基礎上設立實證模型以探討各種因素對電子類與金融類股指數的影響。本文的實證結果發現貨幣政策（〖 M〗_1b 數量變動）對兩種類股指數存在非常顯著的正向影響，而且具有持續性。國際股市中，道瓊工業指數、香港橫生指數對兩種類股指數都發揮顯著影響，且道瓊工業指數為金融類股指數的領先指標；但日經指數只對電子類股指數存在顯著性。而三大法人買賣超對金融類股指數不存在統計顯著性，但外資買賣操對電子類股指數存在顯著的正向影響。法人與國際股市間的互動，只有自營商與日股及自營商與港股的交乘項顯著，至於法人間的互動，外資與投信對金融類股指數有顯著負向影響，外資與自營商則是對電子類股指數有顯著正向影響。 就金融類股指數而言，若只考慮三大法人、法人間的互動及法人與國際股市的交叉效果，則外資買賣超、外資與投信交乘項、外資與港股及自營商與港股的交叉效果皆具有顯著影響，但若加入貨幣數量與匯率等變數，則三大法人買賣超皆缺乏統計上的顯著性。就電子類股指數來看，外資一直與電子類股指數存在顯著正向關係，然而投信與自營商買賣超仍然不顯著，此即反映外資操作標的係以電子類股為主，故對其影響較大。

Abstract The purpose of this thesis is to explore the relation among the Taiwan Stock Exchange Electronic Sector Index , the Taiwan Stock Exchange Financial Sector Index and foreign stock exchange markets , macroeconomic variables (such as quantity of money and foreign exchange rate ,etc.) , net buy or net sell of institutional investors , and the interaction between all of these factors above. The empirical results could be useful for investors. First , we employ the ADF unit root test to check if the variables have stochastic trend ,and then to remove their unit root in order to make them stationary. Then , examine the correlation between the variables. The results of our empirical research which is based on the multiple index model are as follows : Monetary policy (change in quantity of M_1b) has strong positive influence on Taiwan Stock Exchange Electronic Sector Index and Taiwan Stock Exchange Financial Sector Index, and the effect will last one to two months. The relation among Taiwan Stock Exchange Electronic Sector Index , Taiwan Stock Exchange Financial Sector Index and foreign stock exchange markets are different. The influences of interactions among institutional investors and foreign exchange markets on the two indexes are different. Only foreign institutional investors have influences on the Taiwan Stock Exchange Electronic Sector Index, while the others do not have statistical significance. Regardless, we should still take the insignificant variables into account when we make our investment decisions. because a variable doesn’t have statistical significance , it doesn’t mean that it cannot influence stock price index at all.