本研究實證台灣上市共18個類股，2001年至2008間外資持股比例與股價指數報酬率之間的非線性關係，運用Gonza’lez, Teräsvirta and Dijk(2004, 2005)發展之縱橫平滑移轉迴歸模型，實證外資持股比率對集中市場各類股股價指數是否存在縱橫平滑移轉效果，並進一步對股價指數報酬率與控制變數之間關係進行評估與衡量。 實證結果顯示，外資持股比例與股價指數報酬率確實存在非線性關係，在外資持股比例為8.95%與24.79%時發生結構性變化，轉換速度為0.7486與0.2322，形成一個平滑移轉的門檻模型。另外，不論外資的持股比例，利率對股價指數報酬率為正向影響，並無非對稱關係。隨外資持股比例的上升，匯率對股價指數報酬率產生負向影響，外資買賣超金額與成交量上升股價指數報酬則會上升，但在高外資持股產業，外資買賣超金額與成交量的參考價值較低，外資持股變化率與成交量亦對股價指數報酬呈正向關係，隨外資持股比例增加，外資持股變化率與成交量資訊的參考價值則逐漸上升。 This paper examines the non-linear relationship between the foreign investors’ holdings and the sector index in Taiwan Stock Exchange. Applying the panel smooth transition regression model (PSTR) for the data available period (Jan 2, 2001 to Mar. 28, 2008), the findings indicate that the foreign investors’ holdings has the smooth transition threshold effect with the sector index return. The transition function has two transition threshold value respectively is 8.95% and 24.79%. Also, the transition speed of the two regions is 0.7486 and 0.2322 respectively and makes the model form a smooth transfer process close to transition threshold value. In addition, the interest rate has a positive effect on the sector index return and there is no asymmetric effect between these two variables. The exchange rate has a negative effect on the sector index return when the foreign investors’ holdings rise. The foreign investors’ net buy-sell, changing in foreign investors’ holdings, institutional investors’ holdings and trading volume have a positive effect on the sector index return.
