摘要: | 國內股市的投資人結構在近十年間出現重大轉變,未來法人將是主導市場的主要力量,而以散戶為主體的結構必將面臨改變,不過散戶交易金額比例仍約五成,其交易變化對股市仍發揮高度影響力。因此,本文中將每日成交量、外資買賣超、投信買賣超、自營買賣超、融資餘額、融券餘額及台灣加權股價指數納入相關變數進行探討。 本研究資料以2005年1月3日至2015年12月31之日資料,並針對探討的變數進行資料敘述統計、單根檢定、簡單迴歸模型及分量迴歸模型等計量方法建立實證模型。 本文實證結果顯示:1、簡單迴歸模型僅能解釋平均的結果,忽略尾端資訊的影響;而分量迴歸模型更能反映出各解釋變數在不同分量下是否存在顯著差異。2、由分量迴歸模型發現,成交量、外資買賣超、自營買賣超及融資餘額與指數報酬率呈顯著正向關係;而投信買賣超僅在0.2~0.5分量顯著;此外,融券餘額與指數報酬率則呈顯著負相關。 During the past decade, a major shift on investor structure in the domestic stock market emerges. In the future, institutional investors will be the main force leading the market. The main structure of retail Investors will have to change. However, the amount percentage of retail trading is still about fifty percent and the changes on trading are still highly influential on the stock market Therefore, in this paper, daily turnover, net buy-and-sell of foreign investors, net buy-and-sell of investment trust, self-employed net buy-and-sell, financing balance, margin balance, and TAIEX are included into related variables for discussion. The research data are the daily information from January 3, 2005 to December 31, 2015. The empirical model is set up for the discussed variables through measurement methods, such as descriptive statistics data, unit root test, simple regression model, and component regression model. The empirical results show that: 1. The simple regression model can explain only the average results but the trailing information is ignored and component regression model can better reflect whether there is a significant difference in different explanatory variables under different components. 2. It is found on the component regression that there is a significant positive relationship among trading volume, net buy-and-sell of foreign investors, self-employed net buy-and-sell, financing balance, and index rate of return; and there is only a significant relationship at 0.2 to 0.5 in net buy-and-sell of investment trust. In addition, there is a significant negative correlation between margin balance and index rate of return. |