外資買賣超與成交量對臺股報酬率與波動性之影響

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Periodical Articles > Item 987654321/23652

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Title:	外資買賣超與成交量對臺股報酬率與波動性之影響
Other Titles:	The Effect Caused by Foreign Net Buy and Trading Volume on the Return and Fluctuation of Taiwan Stock Market
Authors:	白宗民;吳貝芬
Contributors:	財務金融學系
Keywords:	外資;買賣超;成交量;多空頭;GARCH模型;Foreign;Net buy orders;Trading volume;GARCH model
Date:	2006-05
Issue Date:	2015-11-12 14:31:24 (UTC+8)
Abstract:	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。
Relation:	蘭陽學報 5期 pp.140-153
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Periodical Articles

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