| 摘要: | 本研究以台灣證券交易所公佈之台灣50指數、台灣加權股價指數日資料及三大法人(投信、外資、自營商)每日買賣超資料進行分析研究，探討三大法人買賣超是否對台灣50與台灣加權股價指數存在非線性之影響。
在研究方法上本文先對樣本資料作單根檢定，再採用Granger and Teräsvirta（1993）和Teräsvirta（1994）提出的平滑移轉迴歸模型(smooth transition regression, STR)來探討以三大法人總買賣超為轉換變數下對台灣50與台灣加權股價指數影響之探討。
實證結果首先發現三大法人買賣超總額對台股股價指數並不存在非線性關係。其線性迴歸測試中，發現外資買賣超額度對台灣加權股價指數的影響效果並不顯著，而投信買賣超額度對台灣加權股價指數的影響最為顯著且為正相關，自營商買賣超額度對台灣加權股價指數為負相關且顯著。另外發現，三大法人買賣超總額對台灣加權股價指數的影響相當顯著且影響為正相關。
相反的，本研究另發現三大法人買賣超總額對台股50指數存在著落階三期的顯著非線性關係，當三大法人買賣超總額小於門檻值NT$272,479,000時，三大法人個別買賣超對台灣50指數之影響方向與顯著性，與對台灣加權股價指數的影響效果完全相同；然而，當大於門檻值時，三大法人之個別買賣超對於台灣50指數皆不產生任何顯著影響。
最後，本研究平滑移轉迴歸模型的檢定中發現，移轉係數值趨近於零，表示雖然三大法人買賣超總額對台灣50指數在10%顯著水準下呈現非線性影響，但在本研究的ESTR模型檢定中，由移轉參數可以看出調整速度相當平滑，非常趨近於線性。
This study investigates the nonlinear effects of the total net buy/sell amount of three institutional investors (3I) on Taiwan weighted stock index (TWSI) and Taiwan 50 index (TW50). We further analyze the individual impact of the net buy/sell of three institutional investors (including foreign investor, mutual fund and security dealer) on TWSI and TW50, respectively.
We first employ unit root test on each variable considered, and then utilize the smooth transition regressive (STR) model elaborated by Granger and Teräsvirta(1993) and Teräsvirta(1994) to investigate the nonlinear effects by setting 3I as transition variables.
Our empirical results first find that there has no non-linear effect of 3I on TWSI. The further linear regression shows that the impact of the net buy/sell of foreign investor on TWSI is not significant, however, the impact of net buy/sell of mutual fund and security dealer on TWSI are significant positively and negatively, respectively. Moreover, the total net buy/sell amount of three institutional investors has significant and positive impact on TWSI.
On the contrary, testing for the linearity finds a non-linear effect of 3I on TW50 with 3-lag model. The further testing for the STR model shows that when 3I is less than the threshold value of NT$272,479,000, the significance and direction of the impact of the net buy/sell of each institutional investor on TW50 are exactly the same as the previous findings as on TWSI. However, when 3I is higher than the threshold value of NT$272,479,000, there is no significant impact showed for the net buy/sell of each institutional investor on TW50.
Finally, the empirical result shows that the transition coefficient is approaching to zero, which implies that, even there exists a non-linear phenomenon with an ESTR specification, the relationship between the 3I and TW50 is nearly linear. |
