本文以
2006
年1
月到2007
年4
月代表平穩市場, 2007
年5
月到2008
年9
月代 表波動市場。 在進行時間序列迴歸之前,
必須先檢定序列是否為定態。 表4.1
和4.2
列出檢定結果,
研究變數在平穩市場和波動市場下,
均顯著拒絕虛無假設,
表示研究變數皆不具隨機趨勢。4.2 ARCH-LM檢定
在確定研究變數為定態序列後
,
還須檢定迴歸模型是否具有異質變異的問題。異質變異的問題涉及估計式的一致性
,
若原迴歸模型具有異質變異,
可以考慮建立
GARCH
模型解決問題。 表4.3
列出ARCH-LM
檢定的結果,
結果顯示,
迴歸模型前三期的殘差落後項均不具自我相關
, 1∼12
期的殘差落後項幾乎不具表4.1:單根檢定(平穩市場)
變數 ADF檢定 PP檢定
Return −18.2153∗∗∗ −18.2267∗∗∗
AVT −3.8889∗∗∗ −7.8118∗∗∗
DBS −10.529∗∗∗ −10.6630∗∗∗
LBRT −13.1263∗∗∗ −12.7962∗∗∗
LSRT −12.3202∗∗∗ −12.8201∗∗∗
*表示10%顯著水準下, **表示5%的顯著水準, ***表示1%的顯著水準。
ADF和PP拒絕域的臨界值為-3.1349(10%)、-3.4237(5%)和-3.9867(1%)。
第4章 實證結果分析
表4.2:單根檢定(波動市場)
變數 ADF檢定 PP檢定
Return −18.9562∗∗∗ −19.0848∗∗∗
AVT −5.2074∗∗∗ −7.0121∗∗∗
DBS −20.6223∗∗∗ −20.5595∗∗∗
LBRT −11.6993∗∗∗ −11.6426∗∗∗
LSRT −14.8403∗∗∗ −14.8403∗∗∗
*表示10%顯著水準下, **表示5%的顯著水準, ***表示1%的顯著水準。
第4章 實證結果分析
4 16.2847 41.1482∗∗
(0.9061) (0.0221)
5 27.3282 33.7742
(0.3397) (0.1128)
6 18.6807 42.4571∗∗
(0.8122) (0.0160)
7 21.2197 35.4205∗
(0.6803) (0.0809)
第4章 實證結果分析
RETURN AVT DBS LBRT LSRT
C 0.0349∗ 0.2088 2.1332 0.2763∗∗∗ 0.7372∗∗∗
(1.8039) (0.5087) (1.5423) (5.9824) (3.2395)
RETURN(-1) −0.0972 −1.9399 −2.1503 −0.1355 1.3365
(−0.8750) (−0.8227) (−0.2706) (−0.5105) (1.0223)
RETURN(-2) 0.1583 2.9757 1.2588 −0.1733 0.3234
(1.4275) (1.2648) (0.1588) (−0.6544) (0.2479) RETURN(-3) −0.0739 1.2783 −10.0785 −0.6112∗∗ −0.6939
(−0.6728) (0.5482) (−1.2826) (−2.3291) (−0.5367) RETURN(-4) −0.2680∗∗ −1.5723 −23.7733∗∗∗ −0.1346 −4.1270∗∗∗
(−2.4534) (−0.6783) (−3.0434) (−0.5159) (−3.2112)
RETURN(-5) −0.1100 1.9717 −1.2857 0.1652 −0.8881
(−1.1328) (0.9564) (−0.1851) (0.7121) (−0.7770)
AVT(-1) 0.0053∗ 0.3973∗∗∗ −0.0265 0.0102 0.0413
(1.8997) (6.7712) (−0.1342) (1.5494) (1.2691)
AVT(-2) −0.0011 0.1830∗∗∗ 0.1027 −0.0007 −0.0035
(−0.3583) (2.8462) (0.4738) (−0.1011) (−0.0971)
AVT(-3) −0.0004 0.1083∗ 0.0172 −0.0088 0.0155
(−0.1197) (1.6704) (0.0786) (−1.2068) (0.4307)
AVT(-4) 0.0002 0.0133 −0.1248 0.0129∗ −0.0382
(0.0771) (0.2080) (−0.5781) (1.7839) (−1.0768)
第4章 實證結果分析
承接上頁
RETURN AVT DBS LBRT LSRT
AVT(-5) −0.0050∗ 0.1624∗∗ −0.1472 −0.0054 0.0108 (−1.8196) (2.7607) (−0.7426) (−0.8215) (0.3311)
DBS(-1) 0.0026∗ 0.0553∗ 0.5698∗∗∗ 0.0022 −0.0197
(1.6642) (1.6908) (5.1740) (0.6106) (−1.0876)
DBS(-2) −0.0035∗∗ −0.0158 −0.0690 −0.0032 −0.0219
(−2.0652) (−0.4393) (−0.5683) (−0.7818) (−1.0953)
DBS(-3) 0.0027 −0.0260 0.2794∗∗ 0.0023 0.0219
(1.6104) (−0.7211) (2.2963) (0.5579) (1.0959)
DBS(-4) 0.0008 0.0644∗ 0.0010 0.0031 0.0142
(0.4509) (1.7755) (0.0083) (0.7607) (0.7075)
DBS(-5) 0.0007 −0.0353 0.0414 0.0012 0.0146
(0.5408) (−1.2335) (0.4292) (0.3655) (0.9230) LBRT(-1) −0.0273 −0.5219 −0.5472 0.2692∗∗∗ −0.5659∗ (−0.9789) (−0.8815) (−0.2743) (4.0399) (−1.7240)
LBRT(-2) −0.0397 0.8481 −2.6759 0.0376 −0.3901
(−1.3698) (1.3792) (−1.2913) (0.5438) (−1.1442)
LBRT(-3) 0.0272 −0.0713 −1.4498 −0.0236 −0.1844
(0.9509) (−0.1173) (−0.7081) (−0.3449) (−0.5475)
LBRT(-4) −0.0229 0.5026 −0.3427 −0.0233 0.0998
(−0.8071) (0.8362) (−0.1692) (−0.3438) (0.2994)
LBRT(-5) 0.0034 −0.0480 2.4849 0.0571 −0.3430
(0.1271) (−0.0848) (1.3014) (0.8950) (−1.0919)
LSRT(-1) −0.0048 0.2638∗ −0.6467 −0.0089 0.3462∗∗∗
(−0.6711) (1.7377) (−1.2641) (−0.5204) (4.1138)
LSRT(-2) −0.0007 −0.2034 −0.1462 0.0586∗∗∗ 0.1224
(−0.0914) (−1.2416) (−0.2648) (3.1784) (1.3479)
LSRT(-3) 0.0036 0.1023 0.0876 0.0550∗∗∗ 0.1447
(0.4636) (0.6130) (0.1558) (2.9270) (1.5636)
LSRT(-4) 0.0036 −0.0798 0.6426 −0.0334∗ 0.0696
(0.4491) (−0.4689) (1.1199) (−1.7419) (0.7377)
LSRT(-5) −0.0020 −0.0428 −0.0325 −0.0136 0.0251
(−0.2690) (−0.2718) (−0.0611) (−0.7686) (0.2870)
Adj. R-squared 0.0495 0.6182 0.2829 0.1921 0.1664
()內為t值。
*表示10%顯著水準下, **表示5%的顯著水準, ***表示1%的顯著水準。
第4章 實證結果分析
表4.5: Granger因果關係檢定(平穩市場)
RETURN AVT DBS LBRT LSRT
RETURN 4.2070 10.8708∗ 6.6420 11.1978∗∗
(0.5200) (0.0540) (0.2487) (0.0476)
AVT 6.7317 2.5077 8.1236 3.4851
(0.2414) (0.7753) (0.1496) (0.6256)
DBS 10.2696∗ 7.0736 3.4427 6.6545
(0.0679) (0.2152) (0.6321) (0.2476)
LBRT 4.8001 3.2757 5.2018 9.1609
(0.4408) (0.6576) (0.3917) (0.1028)
LSRT 0.9261 3.8374 3.1486 30.0613∗∗∗
(0.9683) (0.5731) (0.6771) (0.0000) ()內為p-value。
*表示10%顯著水準下, **表示5%的顯著水準, ***表示1%的顯著水準。
圖4.1: Granger因果關係圖(平穩市場)
II Granger因果關係
表
4.5
和圖4.1
列出Granger
因果關係檢定結果。 根據檢定結果,
指數報酬率Granger
影響融券賣出率,
而指數報酬率和平均委託買超張數存在回饋關係。第4章 實證結果分析
4.3.2 波動市場 I VAR結果
表
4.6
列出VAR
迴歸結果,
可看出幾項趨勢:
1.
指數報酬率正向影響隔日的平均委託買超張數,
顯示報酬率和委託量 間存在短暫的領先落後關係,
負報酬率會引發平均委賣量上升,
正報酬 率引發平均委買量上升,
暗示在波動市場下,
投資人有 「追高殺低」 心 態。2.
指數報酬率正向影響未來連續四日的融資買進率和隔日的融券賣出率,
並負向影響未來第二日的融券賣出率,
顯示正報酬率會引發一波融資 潮,
而報酬率對融券賣出的影響較不明確,
大致上負報酬率會引發融券 賣出,
但影響時間較短。3.
日平均成交張數正向影響未來連續二日的日平均成交張數,
顯示平均 成交量具有短暫持續性。4.
融資買進率會影響未來幾日的融資買進率和指數報酬率,
但方向不穩 定。5.
融券賣出率正向影響未來連續二日的融券賣出率,
顯示融券賣出具有 短暫持續性。6.
平均委託買超張數負向影響隔日的平均委託買超張數,
顯示當平均委 買量大於平均委賣量時,
會引起隔日賣盤出現;
當平均委賣量大於平均 委買量時,
會引起隔日買盤出現。第4章 實證結果分析
表4.6: VAR結果(波動市場)
RETURN AVT DBS LBRT LSRT
C 0.0247 −0.0104 1.6100 0.2891∗∗∗ 0.3420∗∗
(0.9444) (−0.0298) (0.8937) (6.5423) (2.2819) RETURN(-1) −0.0043 −0.8971 13.5688∗∗∗ 0.2068∗ 0.7469∗ (−0.0627) (−0.9900) (2.9066) (1.8059) (1.9235) RETURN(-2) −0.0206 −1.2723 7.1477 0.2795∗∗ −0.8255∗∗
(−0.2981) (−1.3776) (1.5023) (2.3951) (−2.0858)
RETURN(-3) 0.1082 0.5560 3.5551 0.2856∗∗ 0.1759
(1.5458) (0.5945) (0.7379) (2.4171) (0.4390)
RETURN(-4) 0.0762 1.4983 −0.6752 0.2636∗∗ 0.4419
(1.0913) (1.6068) (−0.1406) (2.2373) (1.1059)
RETURN(-5) −0.0800 −0.1512 −2.0417 −0.0190 −0.5177
(−1.2086) (−0.1709) (−0.4479) (−0.1697) (−1.3653)
AVT(-1) 0.0041 0.5823∗∗∗ 0.1992 −0.0063 0.0150
(0.9241) (9.9218) (0.6588) (−0.8499) (0.5976)
AVT(-2) 0.0033 0.1834∗∗ 0.5026 0.0159∗ 0.0341
(0.6477) (2.7114) (1.4428) (1.8560) (1.1778)
AVT(-3) 0.0004 −0.0299 0.0101 0.0153∗ −0.0071
(0.0731) (−0.4332) (0.0283) (1.7503) (−0.2387)
AVT(-4) 0.0006 0.0142 −0.1154 −0.0050 −0.0491∗
(0.1095) (0.2095) (−0.3305) (−0.5894) (−1.6925)
AVT(-5) −0.0035 0.1203∗∗ −0.2961 −0.0102 0.0346
(−0.7940) (2.0372) (−0.9734) (−1.3677) (1.3662)
DBS(-1) −0.0001 −0.0035 −0.1791∗∗∗ −0.0006 −0.0047
(−0.1150) (−0.3162) (−3.1520) (−0.4021) (−0.9887)
DBS(-2) 0.0005 0.0100 0.0158 0.0004 0.0045
(0.5697) (0.8926) (0.2754) (0.3088) (0.9429)
DBS(-3) 0.0003 0.0015 0.0182 0.0013 0.0021
(0.3000) (0.1349) (0.3158) (0.9459) (0.4414)
DBS(-4) 0.0001 −0.0022 0.0020 −0.0006 −0.0015
(0.0719) (−0.1984) (0.0352) (−0.4119) (−0.3204)
DBS(-5) 0.0008 −0.0119 0.0750 0.0016 0.0051
(1.0487) (−1.1065) (1.3513) (1.1617) (1.1034) LBRT(-1) −0.0578 −0.3720 −2.2783 0.2910∗∗∗ 0.3987∗ (−1.5142) (−0.7299) (−0.8678) (4.5192) (1.8257)
LBRT(-2) 0.0505 0.4927 −1.9453 0.0584 −0.1648
(1.2613) (0.9206) (−0.7055) (0.8631) (−0.7185) LBRT(-3) −0.1270∗∗∗ −0.6226 −2.3644 −0.1577∗∗ −0.4834∗∗
(−3.1863) (−1.1694) (−0.8620) (−2.3443) (−2.1185) 續接下頁
第4章 實證結果分析
承接上頁
RETURN AVT DBS LBRT LSRT
LBRT(-4) −0.0229 0.1958 −0.1548 0.0089 −0.0425
(−0.5776) (0.3703) (−0.0568) (0.1335) (−0.1874)
LBRT(-5) 0.0681∗ 1.0849∗∗ 0.1962 0.1140∗ 0.0857
(1.8962) (2.2599) (0.0793) (1.8801) (0.4165)
LSRT(-1) 0.0068 0.1432 0.3759 −0.0206 0.1660∗∗
(0.6278) (0.9891) (0.5042) (−1.1278) (2.6766)
LSRT(-2) 0.0010 0.1836 −0.2832 0.0371∗∗ 0.1858∗∗∗
(0.0951) (1.2589) (−0.3769) (2.0116) (2.9725)
LSRT(-3) 0.0039 0.0530 −0.4805 0.0144 0.0084
(0.3476) (0.3560) (−0.6258) (0.7658) (0.1312)
LSRT(-4) −0.0124 −0.1802 1.0786 0.0025 0.0344
(−1.1390) (−1.2395) (1.4404) (0.1349) (0.5518)
LSRT(-5) 0.0018 0.0401 −0.1025 −0.0027 −0.0396
(0.1686) (0.2846) (−0.1412) (−0.1498) (−0.6554)
Adj. R-squared 0.0215 0.6674 0.0412 0.2984 0.1257
()內為t值。
第4章 實證結果分析
表4.7: Granger因果關係檢定(波動市場)
RETURN AVT DBS LBRT LSRT
RETURN 5.8550 10.29314∗ 16.36732∗∗∗ 13.75657∗∗
(0.3206) (0.0673) (0.0059) (0.0172)
AVT 5.2321 7.5384 14.09675∗∗ 7.5208
(0.3882) (0.1836) (0.0150) (0.1847)
DBS 1.5435 2.2272 3.0684 3.8837
(0.9080) (0.8169) (0.6894) (0.5663)
LBRT 16.8485∗∗∗ 8.2285 4.0397 9.952956∗
(0.0048) (0.1441) (0.5437) (0.0766)
LSRT 1.8036 4.4560 2.5097 5.8847
(0.8756) (0.4858) (0.7750) (0.3176) ()內為p-value。
*表示10%顯著水準下, **表示5%的顯著水準, ***表示1%的顯著水準。
圖4.2: Granger因果關係圖(波動市場)
第 5 章 結論
5.1 總結
本文採用股價指數報酬率及委託、 成交、 融資融券資訊進行
VAR
迴歸,
關注焦 點包括:
1.
股價指數報酬率能否引發委託市場和融資融券市場的交易。2.
委託市場和融資融券市場能否作為影響股價指數報酬率的指標。迴歸結果依平穩市場和波動市場
,
分別整理成表5.1
和5.2
。 以下分成平穩 市場和波動市場兩部分進行說明。I 平穩市場
1.
指數報酬率未能立即影響委託買賣行為,
正報酬率會造成日後委託賣 超,
負報酬率會造成日後委託買超。 日平均委託量隱含投資人對市場 的看法,
顯示在平穩市場下,
投資人有 「逢低買進,
逢高賣出」 的傾向。指數報酬率未能迅速影響委買委賣行為
,
意味著平穩市場存在相當程 度的觀望心態。2.
委託市場出現買超時,
買盤會斷斷續續地湧現;
出現賣超時,
賣盤也有 間斷湧現的現象。 此外,
當委託市場出現買超或賣超時,
會迅速影響指 數報酬率,
但方向不穩定,
有正有負。 此現象顯示即使委託量突然上升,
後續累積力量不足,
無法造成指數報酬率形成較長的漲跌走勢。第5章 結論
第5章 結論
第5章 結論
第5章 結論
考量圖形和數值
,
卻無法避免過度主觀的缺陷。2.
投資人的風險偏好程度會導致不同的投資行為,
採用大盤資料無法區 分散戶和法人的風險偏好程度,
若散戶和法人的操作方向相反,
會產生 抵銷效果,
使得大盤資料難以分析。未來可針對個體資料進行控制
,
並發展更精確的市場行情區分方式,
將使此類 研究更為完備。參考文獻
何欽淵
(2006), “
日內委買委賣張數與大盤指數關聯性之研究-
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台股指數成交筆數與委買委賣張數對指數報酬率影響之實證研究
”,
碩士論文,
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台灣股價指數反向操作策略及價量關係分析”,
碩士論文,
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