The relationship among stock price exchange rate and foreign investors in Taiwan

[[abstract]]本文運用單根、共整合、誤差修正模型、向量自我迴歸、因果關係、衝擊反應及預測誤差變異數分解之時間序列方法。以2003年至2010年4月金融風暴前後資料進行研究，探討以歷經2008年金融風暴一景氣循環週期外資匯入、外資匯出、台灣股市及匯率間長短期互動之關連性。結果發現：變數間存在一個長期均衡關係。其次，台灣股價指數存在領先外資匯入、外資匯出的單向因果關係，外資匯入與外資匯出則存在雙向因果關係，匯率與股價指數、外資匯入及外資匯出間均不存在因果關係，互為獨立關係。此外，股價指數受到自身與匯率及外資匯入、匯出影響時，除了對本身衝擊較具反應外，也顯示外資匯入的衝擊為正向，匯率的衝擊為負向，且隨著時間的增加所產生的遞減效果而呈收斂現象。股價指數的變化，其在解釋匯率及外資匯入、匯出發生波動的原因具有較強的解釋力，由另一個角度來看，匯率、外資匯入及外資匯出波動對台股指數的變異解釋能力相當薄弱，較無法影響股價走勢。[[abstract]]This paper utilizes the time series methods which are Unit Root Test Cointegration Test Vector Error Correction Model Vector Auto Regression Causality Tests Impulse Response Analysis and Forecast Error Variance Decomposition We used the data from 2003 to April 2010 to investigate the long-term and short-term interaction between foreign investors import foreign investors export the Taiwan stock market and exchange rate around the financial crisis in 2008 Results showed that there was a long-term equilibrium relationship among these variables Second there was a one-way causal relationship in Taiwan stock index which ahead of the foreign investor import and foreign investor export Two-way causal relationship between foreign investor import and foreign investor export were shown However no significant casual relationship between exchange rate stock index and foreign investor import as well as export of foreign investor was revealed When the stock index influenced by itself exchange rate and foreign investor import as well as foreign investor export not only has more impact on response also showed the positive impact of foreign investor import the exchange rate impact is negative and the decreasing effects produced as time shown convergence phenomenon The change of stock index has higher explained ability in explaining the reasons about fluctuations in exchange rate foreign investors import and export On the other hand the variance of the exchange rate foreign investor import and export on Taiwan stock index was weak and could not influence the trend of the stoc