隨著台灣股票市場的自由化與國際化，信用交易與外資在台股的交易比重不斷的增加。本文旨在探討股價指數、信用交易指標之融資餘額與外資之關連性，利用Johansen共整合向量分析與誤差修正模型，以日資料進行實證分析研究，樣本期間為1998年1月2日起自2003年6月30日止，共1419個樣本觀測值。本研究結果如下：一、第t期的融資餘額與第t-2期的股價指數共整合程度最高，顯示股價指數領先融資餘額兩期，為其領先指標。二、同期的股價指數與外資持股共整合程度最高，且股價指數會受到前一期外資持股變量的影響，顯示外資在市場上的動作的確會造成其他投資人的跟進。三、同期的融資餘額與外資持股共整合程度最高，顯示兩者呈現同方向的變動，且外資持股會受到融資餘額前一期變量的影響，且方向相反。 / This paper examines the relationship between stock index, balance of margin trading, and stock holding of foreign investors. Using daily data from January 2 1998 through June 30 2003 we investigate the interactions among the three variables through Johansen cointegration analysis and error correction model. It is found that (1) balance of margin trading of time t and stock index of time t-2 have the highest level of cointegration, which means stock index leads the balance of margin trading for two days. (2) stock index and stock holding of foreign investors of the same time t have the highest level of cointegration, and stock index of time t is affected by the stock holding of foreign investors of time t-1. (3) balance of margin trading and stock holding of the same time t have the highest level of cointegration, and the stock holding of foreign investors at time t is adversely influenced by balance of margin trading of time t-1.