空頭與多頭走勢期間台股股價與相關因素因果關係探討－以2000及2003年為例

Comparative Causality Study of Taiwan Stock Exchange Index and Related Factors in the Year 2000 and 2003

姚蕙芸(Hwey-Yun Yau)；梁志民(Chih-Min Liang)

區塊因果關係檢定 ； 量價關係 ； 效率市場 ； 完全修正向量自迴歸 ； FM-VAR block causality test ； price-volume relationship ； market efficient hypothesis MEH ； fully modified VAR or FM-VAR

企業管理學報

66期（2005 / 09 / 01）

1 - 39

繁體中文

本文運用完全修正向量自迴歸區塊因果關係檢定法(FM-VAR block causality test)，並以2000年與2003年分別作為台灣股市空頭與多頭走勢期間代表，進一步作因果關係比較研究。而對於台灣大盤加權股價指數與成交量、美國Nasdaq綜合指數、台積電股價、及新台幣對美元匯率等五種變數之間的互動關係加以分析，以決定其因果先後順序。結果發現：無論是在空頭或多頭市場當中，Nasdaq指數皆是更重要的前因數列。亦即，Nasdaq指數為最外生的變數，影響台股股價及其他變數。另外亦發現在空頭市場當中，成交量領先股價，而股價影響匯率；但在多頭市場當中卻是股價領先成交量，股價、匯價之相互影響並不明顯。而無論是在空頭或多頭市場當中，台積電股價皆是最內生的變數。本文之貢獻為：1.證實一般存在於資本市場之預期，認為台股深受美國Nasdaq指數所影響。2.無論是股價指數影響成交量、或是成交量影響股價，都為長久以來，技術分析一直存在且被廣泛運用，找到一個有利的證據。另外也間接證明台灣股市是不具效率性的。

This paper focuses on the bear market in the year 2000 and the bull market in the year 2003. In both year stock prices of Taiwan experienced dramatic fluctuations. FM-VAR block causality test is utilized to analyze the interrelationships among the five variables: Taiwan stock exchange index, trading volume, Nasdaq Composite Index, the stock price of the Taiwan Semiconductor, and exchange rate of the New Taiwan Dollar against the US Dollar so as to determine the causality among them. Two of the most significant results show that: (1) Nasdaq Composite Index is the relatively exogenous variable among the five variables, while the stock price of the Taiwan Semiconductor is the relatively endogenous variable among them, either in the bear market or bull market. (2)Trading volume has a significant impact on the Taiwan stock exchange index in the bear market; however, Taiwan stock exchange index influences the trading volume in the bull market conversely. This gives a good support to the prevailing technique analysis in Taiwan's stock market, from which the existence of market efficient hypothesis (MEH) is questioned. It is believed that the result of this study will be helpful to the better understanding of the bear market in contrast with the bull market in Taiwan.

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