法人持股比例之變動對台股股價報酬之關聯性實證研究

The empirical study of non-linear co-relation between institutional investors’holding rate and the return of Taiwan Stock Index.

10.6846/TKU.2010.01070

吳浩平

三大法人 ； 持股比例 ； 加權股價指數報酬率 ； 平滑移轉迴歸模型 ； prime institutional investors ； holding rate ； the return of Taiwan Stock Index ； Smooth Transition AutoRegression

淡江大學財務金融學系碩士在職專班學位論文

2010年

碩士

聶建中

繁體中文

本研究係以台灣證券交易所公佈之三大法人(外資、投信、自營商)，每月持股比例的資料進行研究，透過對加權股價指數月報酬率的影響，探討三大法人在集中市場的持股比例，是否對加權股價指數報酬率，存在著非線性關係。 透過Granger and Teräsvirta（1993）and Teräsvirta（1994）提出的平滑移轉迴歸模型(Smooth Transition AutoRegression, STAR)，發現以外資、自營商持股比例為轉換變數時，外資當期的持股比例、投信當期持股比例、及自營商當期的持股比例，均會對加權股價指數報酬率產生正面的影響。反觀，當以投信持股比例為轉換變數時，所有的研究變項(外資當期、前期持股比例；投信當期、前期持股比例；自營商當期持股比例)均無法與加權股價指數報酬率產生關聯性。顯示外資、自營商的持股策略相對於投信，是比較接近的，而使三大法人的持股比例，能夠對股價報酬率產生正面的影響。

By analyzing the monthly holding rate of the prime institutional investors(including FINI, Investment Trust Companies and Securities Dealers) and the corresponding return of TAIEX(Taiwan Stock Exchange Capitalization Weighted Stock Index), this study researches into whether the holding rate of the prime institutional investors in stock market has nonlinear impact on the return of Taiwan stock price. In methodology, first I used unit root test on the samples, and then utilized the Smooth Transition AutoRegression(STAR) model, Granger and Teräsvirta（1993）and Teräsvirta（1994）, to verify the nonlinear impacts between (1) the holding rate of FINI in stock market for current period or the last 1 period, (2) the holding rate of Investment Trust Companies in stock market for current period or the last 1 period, and (3) the holding rate of Securities Dealers in stock market for current period and the return of TAIEX,under different levels of transition variables. According to the empirical research, when the holding rate of FINI is the transition varable,the holding rate of FINI for current period, the holding rate of Investment Trust Companies for current period, and the holding rate of Securities Dealers for current period has a positive effect on the the return of TAIEX.When the holding rate of Securities Dealers is the transition varable ,the result is the same as that the holding rate of FINI is the transition varable.But when the holding rate of Investment Trust Companies is the transition varable,all variables are no effect on the the return of TAIEX.

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