論文摘要
本文主旨在探討外資介入香港、馬來西亞與台灣股市與指數期貨市場領先-落後關係之影響。馬來西亞實施外匯管制政策，台灣逐漸放寬外資參與股市與期貨市場之限制，此過程對市場產生的影響性深重。外資具備資訊優勢，其交易資訊隱含對市場多空的心理預期，因而本文以外資作為研究主軸，將三個研究外資的課題架構起來；首先探討外資介入程度是否造成領先-落後關係不同，其次探討外資介入前後是否造成領先-落後關係的改變，最後討論外資的買(賣)超是否影響正(逆)價差。本文經實證發現一國進行過度干預期貨市場，將抑制期貨價格發現的功能；此外，隨著台灣政府放寬外資參與期貨市場限制後，外資在台灣股市的買、賣對正、逆價差確實逐漸產生影響力。本文推論台灣股市與期貨市場之間存在外資正向回饋交易之現象。

Abstract
The purpose of this paper is to investigate the impact of foreign capital on the interrelationship between the stock markets and futures markets of Hong Kong, Malaysia and Taiwan. Malaysia stock market is under Exchange Control Mechanism, (ECM) while Taiwan futures market under foreign capital deregulation, both markets has extremely serious influence. The investment behavior of foreign capital, as superior informed investors, always imply their expectation to both stock and futures markets. Thus, this paper attempts to focus on three topics to analyze the investment behavior of the foreign capital. First, whether the degree of intervene of the foreign capital influences the lead-lag relationship. Second, whether after intervene of the foreign capital influence the lead-lag relationship, and third, whether the foreign capital net buying (selling) amount in the stock market influence the basis after deregulation of the Taiwan futures markets. This paper found that under over intervention on futures markets would restrained the stock index futures from price discovered, and after Taiwan futures markets deregulation, foreign capital net buying (selling) amount in the stock market does influence the basis. This study propose both Taiwan stock and futures markets exists foreign capital positive feedback trading.

章節目錄

摘要 I
誌謝 II
章節目錄 III
圖表目錄 IV

第一章、緒論 1
第一節　研究背景 1
第二節　研究動機與目的 3
第三節　研究架構 4
第四節　研究限制 5

第二章、外資介入對股市與指數期貨市場之影響 6
第一節　外資在亞洲新興國家之發展概況 6
2.1.1　外資在香港股市與指數期貨市場之發展概況 8
2.1.2　外資在馬來西亞股市與指數期貨市場之發展概況 10
2.1.3　外資在台灣股市與指數期貨市場之發展概況 11
第二節　管制外資對股市與指數期貨市場發展的影響 14
2.2.1　馬來西亞實施外匯管制對股市與指數期貨市場的影響 14
2.2.2　台灣逐漸放寬外資參與指數期貨市場的影響 16
2.2.3　外資淨買、賣金額與價差的關聯性 20

第三章、相關理論與文獻探討 23
第一節　股價指數與指數期貨的關聯性 24
3.1.1　持有成本定價模式 24
3.1.2　市場效率性與股價指數期貨的經濟功能 25
3.1.3　股價指數與指數期貨動態關聯性與相關文獻 26
3.1.4　本節之小結 30
第二節　外資介入對股價指數與指數期貨市場的影響 31
3.2.1　外資介入台灣股市的影響 32
3.2.2　從眾行為與相關文獻 33
3.2.3　股價指數與指數期貨形成之正-逆價差與相關文獻 36
3.2.4　本節之小結 39

第四章、研究假說與研究方法 41
第一節　研究假說 41
4.1.1　外資介入對股價指數與期貨價格領先-落後關係之理論模型 41
4.1.2　外資介入對股價指數與指數期貨形成正-逆價差之理論模型 44
第二節　研究方法 47
4.2.1　外資開放程度對股價指數與指數期貨價格領先-落後關係之檢定 47
4.2.2　外資介入前後對期貨與現貨市場價格領先-落後關係之檢定 53
4.2.3　外資買、賣超與正-逆價差關聯性之檢定 53

第五章、實證結果與分析 58
第一節　外資介入程度對股價指數與指數期貨價格領先-落後關係檢定結果 58
5.1.1　資料描述 58
5.1.2　單根檢定 58
5.1.3　共整合分析 59
5.1.4　誤差修正模式 61
第二節　外資介入前後對股價指數與指數期貨價格領先-落後關係檢定結果 65
5.2.1　資料描述 65
5.2.2　單根檢定 65
5.2.3　共整合分析 67
5.2.4　誤差修正模式 69
第三節　外資買、賣超與正、逆價差關聯性檢定結果 76
5.3.1　資料描述 76
5.3.2　LM檢定結果與分析 76
5.3.3　GARCH(1,1)模式檢定結果與分析 77
第四節　外資介入對股市現貨與指數期貨市場關聯性之綜合分析 79
5.4.1　研究假說一 79
5.4.2　研究假說二 81
5.4.3　研究假說三 83

第六章、研究結論與建議 84
第一節　研究結論 84
第二節　研究建議 87

參考文獻 89
附錄一、馬來西亞外匯管制政策 94
附錄二、香港、馬來西亞與台灣股價指數與指數期貨研究樣本期間走勢圖 100

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