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    Title: 人民幣匯率變化對台灣金融類股及法人買賣超影響
    Other Titles: The effect of RMB exchange rate fluctuation on Taiwan's financial stock and buy/sell of institutional investors
    Authors: 詹淑年;Chan, Shu-Nien
    Contributors: 淡江大學財務金融學系碩士在職專班
    邱建良;吳佩珊;Chiu, Chien-Liang;Wu, Pei-Shan
    Keywords: 人民幣;匯率;金融類股;法人;RMB;Exchange rate;financial stocks;corporate
    Date: 2016
    Issue Date: 2017-08-24 23:34:29 (UTC+8)
    Abstract: 近年來台灣人民幣存款之擴張極為快速,至2014年11月已經突破3,000億元人民幣,成為僅次於美元是所有外幣存款排名中之第二位,亦是全球人民幣離岸中心僅次於香港的第二大資金池。但中國人民銀行2015年放任人民幣重貶,引爆全球金融市場劇烈波動,導致美股與台股狂跌,且狂跌之台股中又以金融類股跌幅最深。故本研究以2010年1月4日至2016年1月13日(共1,483日)國內29檔上市金融類股為樣本,使用PSTR(縱橫平滑移轉迴歸模型)模型,探討人民幣匯率變化對台灣金融類股股價及機構投資人行為影響。實證結果顯示,2012年3月13日之前,法人對金融類股之買賣超金額與金融類股股價報酬不具顯著性影響,顯示在此日期之前人民幣匯率對金融類股並無影響;而在2012年3月13日之後,人民幣匯率對金融類股有顯著之負向影響,顯示人民幣匯率之變化於近年來對本國金融類股之重要性日愈增加。此外,本論文實證發現當人民幣升(貶)值超過0.0582%,法人買(賣)超金融類股報酬顯著上升(下跌),因而法人會有積極買賣金融類股之行為,且此行為之敏感度,以投信最大、自營商次之、外資最小。究其原因,乃投信法人因業績壓力,操作上傾向於短期交易、追漲殺跌,故而其因人民幣升(貶)值而調整金融類股持股之行為,為三大法人之最。
    In recent years, Taiwan RMB deposit expansion is very rapid.It has exceeded 300 billion yuan until November 2014, and becomes the only time for the US dollar is all foreign currency deposits rank in the second place. It is also the global offshore RMB center only in Hong Kong''s second largest capital pool. But the people''s Bank of China in 2015 laissez faire RMB to depreciate heavily, tipping the global financial market volatility, lead to stocks and the stock plunged, and plunged the Taiwan stock market in financial stocks decline in the deep. So the study in January 4, 2010 to January 13, 2016 (a total of 1,483 days, 29 domestic files listed financial stocks) as samples, using PSTR (panel smooth transition regression model) model to investigate the RMB exchange rate change on the influence of Taiwan financial stocks, shares and institutional investors'' behavior. Empirical results show that prior to March 13, 2012, legal person of financial stocks traded super amount and the financial returns of stock price is not significantly affected, prior to this date the RMB exchange rate on financial stocks had no effect; and after March 13, 2012, the RMB exchange rate on financial stocks have significant negative to the influence that the RMB exchange rate appreciation in recent years the domestic financial sector the importance more. In addition, this thesis empirically found that when the RMB appreciation (depreciation) value more than 0.0582%, legal to buy (sell) super financial stocks return significantly rise (fall), and corporation will actively traded financial stocks behavior, and the behavior of sensitivity, to investment trust, dealers times and foreign minimum. The reason but investment trust corporation performance due to the pressure, the operation tendency in short-term trading, chasing Shadie. Therefore, investment trusts adjust mostly the financial stock behavior due to RMB appreciation (depreciation) value in three institutional investors.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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