本研究係以台灣證券交易所公佈之三大法人(外資、投信、自營商)，每月持股比例的資料進行研究，透過對加權股價指數月報酬率的影響，探討三大法人在集中市場的持股比例，是否對加權股價指數報酬率，存在著非線性關係。
    透過Granger and Teräsvirta（1993）and Teräsvirta（1994）提出的平滑移轉迴歸模型(Smooth Transition AutoRegression, STAR)，發現以外資、自營商持股比例為轉換變數時，外資當期的持股比例、投信當期持股比例、及自營商當期的持股比例，均會對加權股價指數報酬率產生正面的影響。反觀，當以投信持股比例為轉換變數時，所有的研究變項(外資當期、前期持股比例；投信當期、前期持股比例；自營商當期持股比例)均無法與加權股價指數報酬率產生關聯性。顯示外資、自營商的持股策略相對於投信，是比較接近的，而使三大法人的持股比例，能夠對股價報酬率產生正面的影響。

By analyzing the monthly holding rate of the prime institutional investors(including FINI, Investment Trust Companies and Securities Dealers) and the corresponding return of TAIEX(Taiwan Stock Exchange Capitalization Weighted Stock Index), this study researches into whether the holding rate of the prime institutional investors in stock market has nonlinear impact on the return of Taiwan stock price. 
    In methodology, first I used unit root test on the samples, and then utilized the Smooth Transition AutoRegression(STAR) model, Granger and Teräsvirta（1993）and Teräsvirta（1994）, to verify the nonlinear impacts between (1) the holding rate of FINI in stock market for current period or the last 1 period, (2) the holding rate of Investment Trust Companies in stock market for current period or the last 1 period, and (3) the holding rate of Securities Dealers in stock market for current period and the return of TAIEX,under different levels of transition variables.
    According to the empirical research, when the holding rate of FINI is the transition varable,the holding rate of FINI for current period, the holding rate of Investment Trust Companies for current period, and the holding rate of Securities Dealers for current period has a positive effect on the the return of TAIEX.When the holding rate of Securities Dealers is the transition varable ,the result is the same as that the holding rate of FINI is the transition varable.But when the holding rate of Investment Trust Companies is the transition varable,all variables are no effect on the the return of TAIEX.

第一章、緒論		                  1
第一節  研究背景與動機		         1
第二節  研究目的.		                  5
第三節  研究流程		                  5
	
第二章、相關文獻探討		         7
第一節  投資台股之三大法人介紹 	         7
第二節  法人投資行為對股價影響之相關理論     16

第三章、研究方法 		                  19
第一節  單根檢定法  		         19
第二節  平滑移轉迴歸模型		         22
	
第四章、研究結果 		                  29
第一節  資料來源與敘述性統計		29
第二節  單根檢定結果		         35
第三節  線性檢定	                           36
第四節  轉換函數之檢定	                  37
第五節  模型之參數估計與檢定		39
	
第五章、結論與建議 		         48
第一節  研究結論		                  48
第二節  建議 		                  50
參考文獻		                           52

表目錄
頁次
表1-1-1 不同種類投資人在集中市場成交金額比例 ......................................
4
表2-1-1 我國開放外資投資證券市場歷程表 ...................................................
9
表2-1-2 外資投資證券市場的持股比例限制及金額限制演進表 ................
10
表2-1-3 國外資金投入我國股市金融及持股市值比例演進表 .....................
11
表2-1-4 國內投信公司家數統計表 ....................................................................
14
表2-1-5 國內投信公司業務狀況 .........................................................................
14
表4-1-1 樣本資料說明 ..........................................................................................
29
表4-1-2 樣本資料敘述統計 .................................................................................
34
表4-2-1 投信、外資、自營商持股比例與股價報酬率的單根檢定 ............
35
表4-3-1 LM-Type F統計量與P-Value之線性檢定 .......................................
36
表4-4-1 轉換函數之檢定表 .................................................................................
38
表4-5-1 外資持股比例為轉換變數之ESTAR模型參數估計 .........................
41
表4-5-2 外資持股比例為轉換變數時，各解釋變數對股價報酬率之影響
42
表4-5-3 投信持股比例為轉換變數之LSTAR模型參數估計 .........................
43
表4-5-4 投信持股比例為轉換變數時，各解釋變數對股價報酬率之影響
44
表4-5-5 自營商持股比例為轉換變數之ESTAR模型參數估計 .....................
46
表4-5-6 自營商持股比例為轉換變數時，各解釋變數對股價報酬率之影響
47
圖目錄
頁次
圖3-2-1 邏輯型函數圖形 ........................................
26
圖3-2-2 指數型函數圖形 ........................................
27
圖4-1-1 加權股價指數走勢圖 ....................................
30
圖4-1-2 外資持股比例變動圖 ....................................
31
圖4-1-3 投信持股比例變動圖 ....................................
31
圖4-1-4 自營商持股比例變動圖 ..................................
32

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