本研究實證台灣上市共18個類股，2001年至2008間外資持股比例與股價指數報酬率之間的非線性關係，運用Gonza’lez, Teräsvirta and Dijk(2004, 2005)發展之縱橫平滑移轉迴歸模型，實證外資持股比率對集中市場各類股股價指數是否存在縱橫平滑移轉效果，並進一步對股價指數報酬率與控制變數之間關係進行評估與衡量。
實證結果顯示，外資持股比例與股價指數報酬率確實存在非線性關係，在外資持股比例為8.95%與24.79%時發生結構性變化，轉換速度為0.7486與0.2322，形成一個平滑移轉的門檻模型。另外，不論外資的持股比例，利率對股價指數報酬率為正向影響，並無非對稱關係。隨外資持股比例的上升，匯率對股價指數報酬率產生負向影響，外資買賣超金額與成交量上升股價指數報酬則會上升，但在高外資持股產業，外資買賣超金額與成交量的參考價值較低，外資持股變化率與成交量亦對股價指數報酬呈正向關係，隨外資持股比例增加，外資持股變化率與成交量資訊的參考價值則逐漸上升。

This paper examines the non-linear relationship between the foreign investors’ holdings and the sector index in Taiwan Stock Exchange. Applying the panel smooth transition regression model (PSTR) for the data available period (Jan 2, 2001 to Mar. 28, 2008), the findings indicate that the foreign investors’ holdings has the smooth transition threshold effect with the sector index return. The transition function has two transition threshold value respectively is 8.95% and 24.79%. Also, the transition speed of the two regions is 0.7486 and 0.2322 respectively and makes the model form a smooth transfer process close to transition threshold value.
In addition, the interest rate has a positive effect on the sector index return and there is no asymmetric effect between these two variables. The exchange rate has a negative effect on the sector index return when the foreign investors’ holdings rise. The foreign investors’ net buy-sell, changing in foreign investors’ holdings, institutional investors’ holdings and trading volume have a positive effect on the sector index return.

目錄
第一章 緒論................................................................................
1
第一節 研究背景..................................................................
1
第二節 研究動機與目的........................................................
3
第三節 研究流程..................................................................
5
第二章 相關理論與文獻探討......................................................
7
第一節 外資開放過程...........................................................
7
第二節 機構投資人交易行為與股價變動相關理論................
11
第三節 機構投資人投資策略相關理論..................................
16
第四節 機構投資人交易資訊與股價之關係...........................
18
第三章 研究方法........................................................................
23
第一節 縱橫單根檢定...........................................................
23
第二節 門檻自我迴歸模型....................................................
25
第三節 縱横門檻模型設定....................................................
31
第四章 研究結果........................................................................
37
第一節 研究對象與變數設定................................................
37
第二節 各變數之基本統計分析.............................................
39
第三節 縱橫單根檢定之實證結果.......................................
43
第四節 縱橫平滑移轉模型之實證結果................................
44
第五章 結論................................................................................
51
參考文獻.....................................................................................
53

表目錄
表1.1.1 集中市場法人交易金額比重..........................................
2
表1.1.2 集中交易市場成交金額投資人類別比例........................
3
表2.1.1 我國開放外資投資國內證券簡史...................................
7
表2.1.2 外資投資我國證券限制開放時程...................................
9
表2.1.3 外資投資我國證券比例限制彙整表................................
10
表4.2.1 變數之基本統計分析.....................................................
39
表4.3.1 縱橫單根檢定................................................................
44
表4.4.1 外資持股比例對股價指數報酬率之同質性檢定..............
46
表4.4.2 外資持股比例對股價指數報酬率之
轉換門檻個數檢定(r=1) ................................................
46
表4.4.3 外資持股比例對股價指數報酬率之
轉換門檻個數檢定(r=2) ................................................
46
表4.4.4 外資持股對股價指數報酬率模型檢定............................
47
表4.4.5 外資持股比例對股價指數報酬率模型估計結果..............
47
表4.4.6 不同外資持股比例下之各變數係數值變化.....................
48


圖目錄
圖1.3.1 研究流程.......................................................................
6
圖3.2.1 m=1之轉換函數型態......................................................
29
圖3.2.2 m=2之轉換函數型態......................................................
30
圖4.2.1 集中市場類股股價指數趨勢圖.......................................
40
圖4.2.2 外資持股趨勢圖............................................................
41
圖4.2.3 新台幣兌美元走勢圖.....................................................
42
圖4.2.4 聯邦資金利率走勢圖.....................................................
42
圖4.2.5 外資買賣超金額趨勢圖..................................................
43
圖4.4.1 外資持股比例對股價指數報酬率之轉換函數.................
50

中文文獻
白宗民、吳貝芬(2006)，外資買賣超與成交量對臺股報酬率與波動性之影響，蘭陽學報，第5期，頁140-153。
邱少杰(2008)，臺股三大法人買賣超、融資融券增減與指數報酬相關與迴歸分析，臺灣期貨與衍生性商品學刊，第5期，頁73-82。
陳一如、謝秀津(1999)，臺灣股票上市公司的外資持股比例對其股價之影響，臺灣經濟金融月刊，第35期，頁85-96。
陳一如、郭迺鋒、劉若羚、連志龍(2002)，外資持股比例與摩根史坦利選樣股對股價報酬影響之研究-以臺灣上市公司為例，臺灣銀行季刊，第53期，頁305-330。
許鈺珮、廖彥豪(2005)，三大機構投資人買賣超與臺灣加權股價指數互動關係之研究，證券櫃檯，第114期，頁56-67。
戴錦周、呂惠珠(2006)，利用外資的公開資訊採行動量策略之研究，臺灣銀行季刊，第57期，頁57-78。
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