應用向量誤差修正模型於股價與融資融券餘額長短期關係之研究

Abstract

為避免股價與融資、融券餘額關係之分析結果可能存在假性迴歸或模型 設定錯誤的問題，本文以向量誤差修正模型重新檢視股價指數與融資餘額 、融券餘額之間的關係。結果顯示，（1）無論處於上漲或下跌階段，股 價指數、融資餘額與融券餘額三者之間均存在正向的長期均衡關係；（2 ）就上漲階段而言，融資餘額成長率或融券餘額成長率均無法影響股票報 酬；就下跌階段而言，融券餘額成長率與股票報酬之間具有負向的因果關 係。 To avoid the spurious regression model or the misspecification of the model,this thesis uses Vector Error Correction Model (VECM) to analyze therelationship among stock index , outstanding balance of margin loan andoutstanding balance of stock loan. The results reveal that: i) No matter themodel is in uptrend or downtrend,there exists a positive long-run relationshipamong stock index, outstanding balance of margin loan and outstanding balanceof stock loan. ii) In the case of uptrend model, There is no causality betweenoutstanding balance of margin loan (or outstanding balance of stock loan) andstock index . In downtrend model, there exists negative causality betweenoutstanding balance of stock loan and stock index.