本研究係以外資對概念股之買賣超金額做為門檻被解釋變數，其他控制變數為台灣股價加權指數、交叉龍頭股股價及外資對概念股之持股比例，透過iPhone5上市後，外資對iPhone5概念股之買賣超，探討對iPhone5概念股股價及宏達電概念股股價是否存在非線性之影響。
	在研究方法上本文先對樣本資料作單根檢定檢定資料是否為定態資料，本研究採用了LLC檢定、IPS檢定及ADF-Fisher檢定三種縱橫單根檢定，再採用Gonza'lez, Terasvirta and van Dijk（2004, 2005）提出的縱橫平滑移轉回歸模型(Smooth Transition AutoRegression)，來探討在不同的轉換變數模型下，外資對概念股之買賣超金額、台灣股價加權指數、交叉龍頭股股價及外資對概念股之持股比例對iPhone5概念股及宏達電概念股非線性影響之探討。

This study is based on the trading of foreign investors in stocks over the amount to be interpreted as a threshold variable, the other control variables are Taiwan Weighted Stock Index, crossover the leading stock price and shares of foreign ownership of the concept stock.Explore whether the effect is nonlinear between the concept stocks of iPhone5 and HTC by the trading over of iPhone5 stocks of foreign investors after the listing of iPhone5.

First, on the research methods ,the sample data of the paper do the unit root test whether the steady state test data information , LLC tests ,IPS test and ADF-Fisher test used in this study, then using Smooth Transition AutoRegression proposed by Gonza'lez, Terasvirta and van Dijk , to explore foreign stocks trading on the amount over、Taiwan weighted Stock Index、crossover leading stocks and shares of foreign ownership of concept stocks of HTC and iPhone5 whether stocks of non-linear effects discussed in the difference of the conversion variable model.

謝辭	I
中文摘要	II
英文摘要	III
第一章  緒論	1
第一節  研究背景與動機	1
第二節  研究目的	4
第三節  研究流程	6
第二章 相關文獻探討	7
第一節  理論基礎	7
第二節  外資持股比例及買賣超	8
第三節  台灣加權股價指數	10
第三章  研究方法	11
第一節	縱橫單根檢定	12
第二節  縱橫平滑移轉迴歸模型	14
第三節  縱橫平滑移轉迴歸模型之設定	19
第四章  實證結果與分析	24
第一節  研究資料	24
第二節  單根檢定	28
第三節  縱橫平滑移轉檢定	31
第五章 結論	41
研究結論	41
參考文獻	43
一、中文部分	43
二、英文部分	44

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