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研究生： 錢怡合
Yi-ho Chien
論文名稱： 外國機構投資人和外匯市場：以臺北外匯交易市場為例
Foreign Institutional Investors and Foreign Exchange Market: Evidence from Taipei Foreign Exchange Market
指導教授： 高櫻芬
Yin-feng Gau
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 98
語文別： 英文
論文頁數： 45
中文關鍵詞： 外匯市場 、向量自我迴歸模型 、外資買賣超淨額
外文關鍵詞： VAR model, Foreign exchange market, Foreign net equity inflow
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    • 根據外資買賣超淨額、新台幣兌美元匯率、外匯市場的交易量及中央銀行干預報導等資料，本論文應用向量自我迴歸 (Vector Autoregressions, VAR) 模型探討股票市場之外資買賣超淨額對於新台幣兌美元外匯市場之影響。本論文所估計的模型，除了檢測外資買賣超淨額、新台幣兌美元匯率、及外匯市場的交易量之間的動態關係，也探討當外國機構投資人資金大幅移動時，中央銀行干預在外匯市場所扮演的角色。以1996年7月4日至2009年12月31日為樣本期間，本論文的實證結果顯示，外資買賣超淨額對於新台幣兌美元匯率有顯著負向影響，亦即外資買賣超淨額會造成新台幣相對於美元有升值現象；而且外資買賣超淨額與匯率之間，有雙向因果關係；然而，新台幣/美元外匯市場的交易量與新台幣兌美元匯率，以及外資買賣超淨額與新台幣/美元外匯市場的交易量之間，皆有單向因果關係。最後，估計結果也指出，中央銀行的外匯干預，並未對於匯率波動有顯著的影響，因此本論文的實證結果並無法支持中央銀行的外匯干預會穩定新台幣兌美元匯率的假說。另外，我們也進一步延伸探討週休二日制度實施前後，外資買賣超淨額、新台幣兌美元匯率、及外匯市場的交易量是否有顯著差異，而實證結果指出新台幣兌美元匯率的變動在週二至週四與週一有顯著差異，而外匯市場的交易量在週二至週四及週六與週一有顯著差異；另一方面，外資買賣超在隔週休二日制度實施期間，其數值顯著地高於週休一日的制度下的值；新台幣兌美元匯率在週休二日時與週休一日時的數值則是有顯著較低差異。此外，本論文也探討中央銀行干預是否會集中在每一週的某幾天，而結果顯示，雖然在週一至週六外匯干預發生的可能性差不多，但如果嚴格比較的話，中央銀行干預大多集中於週四。

    This thesis investigates the relation across NTD/USD exchange rate, trading volume in the Taipei foreign exchange market, and buy-sell imbalance of foreign institutional investors, by using a trivariate vector autoregressive (VAR) model. Moreover, I also study the role of central bank’s intervention in the foreign exchange market, when the government facing the foreign institutional investors’ investment flows. The data cover the period from July 4, 1996 to December 31, 2009. I find a negative relationship between foreign net equity inflow and exchange rate returns. The results also show the central bank intervention only significantly affects the trading volume in the NTD/USD foreign exchange market. Alternatively, I extend our model to analyze whether the central bank intervention is effective in reducing the volatility. The results suggest that the central bank intervention only significantly affects the trading volume of the foreign exchange market, but does not affect the NTD/USD volatility. I also study the concentration of central bank intervention operations, and the results show that the frequency of intervention occurrence across Mondays, Tuesdays, Wednesdays, Thursdays, Fridays, and Saturdays does not differ much. However, I find most of central bank interventions happened on Thursdays in the NTD/USD foreign exchange market.

    摘要 i Abstract ii 致謝辭 iii Table of Contents iv List of Tables vi List of Figures vii 1. Introduction 1 2. Literature Review 4 2.1. The impact of currency values on foreign institutional investors’ trading 4 2.2. The relationship between trading volume, return, and volatility 6 2.3. Foreign exchange intervention 9 3. Data 11 3.1. Sample 11 3.2. Summary statistics of data 12 3.2.1. Unit root tests 12 3.2.2. Choice of lags in the VAR 13 4. Empirical Models 14 4.1. Vector autoregressive (VAR) model 14 4.2. Central bank intervention and exchange rate volatility 17 5. Empirical Results 18 5.1. VAR of foreign net inflow, NTD/USD trading volume, and NTD/USD exchange rate returns 18 5.2. VAR considering the day-of-week effect 19 5.2.1. Granger causality 19 5.2.2. Impulse responses 20 5.2.3. Variance decomposition 21 5.3. VAR model considering the change of Saturday trading scheme 21 5.4. NTD/USD volatility 21 5.5. The concentration of intervention events 22 6. Conclusions 23 References 25

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