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題名 | 外資買賣超與成交量對臺股報酬率與波動性之影響=The Effect Caused by Foreign Net Buy and Trading Volume on the Return and Fluctuation of Taiwan Stock Market |
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作者姓名(中文) | 白宗民; 吳貝芬; | 書刊名 | 蘭陽學報 |
卷期 | 5 民95.05 |
頁次 | 頁140-153 |
分類號 | 563.54 |
關鍵詞 | 外資; 買賣超; 成交量; 多空頭; GARCH模型; Foreign; Net buy orders; Trading volume; GARCH model; |
語文 | 中文(Chinese) |
中文摘要 | 本文探討外資法人對臺灣股市報酬率與其波動性之影響,首先探討外資買賣超的延續性效應,再以外資買賣超與成交量兩樣資訊透過GARCH模型來探討其對臺灣股市報酬率與其波動性之影響。研究樣本採自JET資料庫,研究期間自1996年7月至2005年3月。實證結果發現外資買賣超在多空頭皆有延續性,對加權股價指數報酬率有正周關係,且對於加權股價指數波動性有顯著影響。本研究期望以實證結果所獲致之資訊能有利於證券市場投資人在投資時之參考。 |
英文摘要 | This paper discusses foreign investors’ influences on the rate of returns and fluctuation of stock market of Taiwan. We analyze the continuous effects of foreign buy orders at first, and then using two variables, foreign buy orders and the trading volume, to understand the influences on the rate of returns and fluctuation of stock market of Taiwan through GARCH model. Study sample adopt TEJ database and is from July 1996 to March 2005. We finds the foreign buy orders has continuous effects no matter bull market or bear market, have positive relation to the rate of returns of weighted stock price index, and has evident influences on the fluctuation of the rate of returns of weighted stock price index, and has evident influences on the fluctuation of the rate of returns of weighted stock price index. This research expects that the information obtained from the real example result can be favorable to investor’s reference while investing in Taiwan market. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。