頁籤選單縮合
題名 | 機構投資人行為與股市、匯率關係之研究=The Study of Relations among Institutional Traders' Behaviors, Stock Market and Exchange Rate |
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作 者 | 涂惠娟; | 書刊名 | 中州學報 |
卷期 | 22 民94.12 |
頁次 | 頁1-13 |
分類號 | 563.54 |
關鍵詞 | 機構投資人行為; 向量自我迴歸模型; 衝擊反應函數; Institutional investors' behaviors; VAR model; Impulse response function; |
語文 | 中文(Chinese) |
中文摘要 | 隨著國內證券市場持續國際化、自由化,投入股市之投資人不斷增加,不但市場規模擴大,也造就了熱絡的交易市場。此外,擁有市場資源的國外法人投入國內股票市場亦持續擴增,其進出股市之投資策略往往對國內股市及匯市造成一定程度的影響。實證研究發現:(1) 自營商、投信、外資間之互動行為,及三者受匯率變動率、股價指數報酬率間之交互影響關係持續期間均為3日。(2) 自營商、投信與外資三大法人淨投資流量均受到自身落後期數影響。(3) 股價指數報酬率與匯率變動率間呈現顯著負相關,且外資淨投資流量亦大致受到匯率變動率的負向影響。(4) 在匯率變動較大期間之當期匯率變動率會明顯受到自身落後期數的影響。(5) 三大法人中以投信受匯率變動率衝擊影響程度最大。(6) 股價指數報酬率波動對 (2000年以後) 自營及投信淨投資流量的衝擊影響強度有加劇的現象。 |
英文摘要 | Taiwan stock market has been continuing to internationalize and liberalize. The number of investors and the market scale are rising. At the same time, foreign institutional investors with sufficient sources keep invest in Taiwan's stock market; therefore, their investment strategies have played an important role at stock and currency exchange markets. In this paper, we can summarize as follows: (1) the mutual effects among security dealers, investment trusts and foreign investors, also retain within 3 days. (2) The investment behaviors of security dealers, investment trusts, and foreign investors are influenced by their own lag periods. (3) The relation between stock return and currency exchange transaction's variation rate is significant negative, and the exchange transaction's variation rate also has negative influence on foreign investors. (4) During the period of higher volatility of currency exchange rate, the exchange transaction's variation rate is obviously influenced by its own lag periods. (5) The behaviors of investment trusts are highly influenced by exchange transaction's variation rate among three institual investors. (6) Comparing to the past, the impact of stock index returns to NIF of security dealers and investment trusts become gradually more remarkable. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。