本文探討外資法人對台灣股市報酬率與其波動性之影響，首先探討外資買賣超的延續性效應，再以外資買賣超與成交量兩樣資訊透過GARCH模型來探討其對台灣股市報酬率與其波動性之影響，並且更進一步探討台灣50指數中成分股外資買賣超對股票的報酬率及波動性的影響，對於不同類型的股票是否有不同影響的方式。研究樣本採自TEJ資料庫，研究期間自1996年7月至2005年3月。 實證結果發現：(1)觀察到外資買賣超在多頭時期時，外資連續買超的天數較外資連續賣超的天數明顯較長；(2)外資買賣超不論在多頭市場或是空頭市場對加權股價指數報酬率有正向關係，對於加權股價指數波動性有顯著影響且在空頭的影響大於多頭時的影響；(3)外資持股比例高的電子股其外資買賣超對股票報酬的影響力大於外資持股比例低的電子股，且在空頭的影響大於多頭；金融股不論多頭市場或空頭市場，外資持股比例高或低的成分股其外資買賣超對股價報酬之影響皆為正向影響。傳產股中高外資持股比例的外資買賣超對股價的影響力比低外資持股比例的影響大。電子類股、金融類股及傳產類股，外資買賣超對股價波動的影響為負向影響。 This paper discusses foreign investors' influences on the returns and fluctuation of stock market in Taiwan. We analyze the continuous effects of foreign buy orders at first, and then using two variables, foreign buy orders and the trading volume, to understand the influences on the rate of returns and fluctuation of stock market in Taiwan through GARCH model. Samples adopt from TEJ database and is from July 1996 to March 2005. The conclusion can be summarized as follows:(1)The foreign buy orders has continuous effects no matter bull market or bear market.(2)The foreign buy orders has positive relation to the rate of returns of weighted stock price index, and has evidences show that influences exist on the fluctuation of the rate of returns of weighted stock price index.(3)For electronic stocks, higher the shareholding ratio of foreign investors is, bigger the influences of the foreign buy orders to the rate of return.
