匯率、股價與外資買賣超關係之研究

NCUIR > School of Management at National Central University > enterprise resource planning of Optics and Photonics > Electronic Thesis & Dissertation > Item 987654321/86375

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Title:	匯率、股價與外資買賣超關係之研究
Authors:	劉冠伶;Liu, Kuan-Ling
Contributors:	會計研究所企業資源規劃會計碩士在職專班
Keywords:	匯率;股價;外資買賣超
Date:	2021-06-23
Issue Date:	2021-12-07 12:40:17 (UTC+8)
Publisher:	國立中央大學
Abstract:	台灣屬海島型國家，與國外經貿密切往來，匯率市場扮演著重要的角色，惟匯率原本就存在著許許多多的不確定性，投資人往往無法非常準確的預測匯率之變化，又匯率的波動，常會使相關產業受到不小的影響，同時亦有可能造成投資人的財富瞬間大縮水。故本研究針對美元兌新台幣匯率變動率、美元兌韓圜匯率變動率、台灣加權股價指數變動率、美元指數變動率與外資買賣超淨額變動率作探討，樣本期間為2001年1月至2020年12 月，利用單根檢定、Granger Causality檢定、向量自我迴歸模型、衝擊反應分析，探討五種變數彼此間的互動關聯性。實證結果如下：一、Granger Causality檢定結果： 1.單向領先、落後關係：外資買賣超淨額變動率領先美元兌新台幣匯率變動率、台灣加權股價指數變動率；美元兌韓圜匯率變動率領先美元兌新台幣匯率變動率；台灣加權股價指數變動率領先美元兌韓圜匯率變動率。 2.雙向領先、落後關係：美元兌韓圜匯率變動率和美元指數變動率間。二、向量自我迴歸模型與衝擊反應分析： 1.美元兌新台幣匯率變動率受到美元兌韓圜匯率變動率之負向影響；美元兌韓圜匯率變動率受到台灣加權股價指數變動率之負向影響；美元兌韓圜匯率變動率受到美元指數變動率之正向影響；台灣加權股價指數變動率受到外資買賣超淨額變動率之正向影響；美元指數變動率受到美元兌韓圜匯率變動率之負向影響。 2.在樣本期間五個變數均在短期對自我變數的衝擊反應最大，接下來皆逐漸平穩收斂為零。 ;Taiwan is an island state which relies heavily on foreign trade. The market of the foreign exchange plays an important role in Taiwan. However, there are many uncertainties in the foreign exchange market. Investors are hardly to predict the exchange rate and it will affect related industries by major fluctuations in the exchange rate. Therefore, this research focus on the dynamic interactions among the inter-relationships among the rate of changes in USD/TWD exchange rate（TWDP）, the rate of changes in USD/KRW exchange rate（KRWP）, the rate of changes in TWSE Capitalization Weighted Stock Index（TWSIP）, the rate of changes in U.S. Dollar Index（USDIP）, and the rate of changes in Net Buy/Sell of Foreign Investors（FBSP）. A total of 240 monthly observations, ranging from January 2001 to December 2020, are collected. Data analytical methods include unit root test, Granger causality test, and vector autoregressive model, and impulse response function. The empirical findings are summarized as follows: The Granger causality tests show that FBSP would affect TWDP and TWSIP; KRWP would affect TWDP；TWSIP would affect KRWP. And there is an interaction between KRWDP and USDIP. From the aspect of Vector Autoregression model, the results show KRWP will have negative effect on TWDP; TWSIP will have negative effect on KRWP; USDIP will have positive effect on KRWP; FBSP will have positive effect on TWSIP, and KRWP will have negative effect on USDIP.
Appears in Collections:	[enterprise resource planning of Optics and Photonics] Electronic Thesis & Dissertation

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