台灣類股股價對外資持股策略之牛熊市非線性影響

THE BULL-BEAR NON-LINEAR IMPACT OF THE STOCK PRICES OF TAIWAN MAJOR INDUSTRIES ON QFII SHAREHOLDING'S STRATEGY

10.6338/JDA.202304_18(1).0001

聶建中(Chien-Chung Nieh)；李靜慧(Ching-Hui Li)；許景翔(Jin-Shian Hsiu)

股價 ； 台灣八大類股 ； 外資持股 ； 平滑移轉迴歸模型 ； Stock price ； Stock of eight major industries ； QFII shareholdings ； Smooth transition regressive model

Journal of Data Analysis

18卷1期（2023 / 04 / 01）

1 - 24

繁體中文;英文

本研究採用Granger and Teräsvirta（1993）和Teräsvirta（1994）所提出的平滑移轉迴歸（Smooth Transition Regression, STR）模型，進行台股大盤指數報酬率不同之區間裡，台灣八大類股之股價變化分別對於外資台股總持股變化之影響探討。研究首先實證得到模型設定應為指數型平滑移轉自我迴歸（ESTAR）函數模型，進一步得到0.96844%之台股大盤報酬率門檻值，亦即於0.96844%之台股大盤報酬率附近及偏離門檻值時呈現兩個不同區間。研究最後發現無論在何區間，本研究所擷取的八大類股的八個股價對外資持股之影響皆不顯著。說明著，無論何類產業之股價表現，對外資增持或減碼持股部位之意願與執行，皆不會產生顯著之影響；亦即說明著外資進出台灣股市，其所立基的持股操作策略，幾乎完全不以觀察台股各產業分類之類股股價走勢而訂定。

This study employs the smooth transition regressive (STR) model elaborated by Granger and Teräsvirta (1993) and Teräsvirta (1994) to empirically investigate the non-linear impact of the stock price of the eight major industries on the QFII shareholdings in Taiwan stock market. The result firstly shows that the appropriate model to be adopted should be the ESTAR model. The study further finds a threshold value of 0.96844% for the rate of return of Taiwan stock index, which indicates two regimes, around and depart from the threshold value, have been confirmed. Finally, the empirical result shows no any significant impact of the stock price of the eight major industries on the QFII shareholdings in Taiwan stock market no matter in which regime, which implies that the investment strategies of the QFII shareholdings do not base on the trend of each of the stock price of the eight major industries in Taiwan.

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