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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31564

    Title: 外資持股比例與股價報酬之非線性關聯性研究
    Other Titles: A study of non-linear co-relation between foreign investors' holding rate and stock price
    Authors: 黃競輝;Huang, Ching-hui
    Contributors: 淡江大學財務金融學系碩士班
    聶建中;Neih, Chien-chung
    Keywords: 持股比例;外資;縱橫平滑移轉迴歸模型;縱橫平滑移轉效果;非線性;Holding Rate;Foreign Investor;panel smooth transition effect;panel smooth transition regression model;Non-linear
    Date: 2008
    Issue Date: 2010-01-11 00:57:08 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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