| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 83 === Much concern has been expressed as to whether the opening of the stock market to foreign capital will increase volatility of stock prices. However, few empirical studies with regard to the above topic have so far been performed. Consequently, the main purpose of this study is to find out through empirical analysis the effect of opening the market to first - stage indirect portfolio investments as well as to second - stage direct portfolio investments.
Firstly, by leaving the other factors uncontrolled, this study applies Modified Levene Statistics to test the variance of the rate of return of the stock price index, and looks to see if there are significant changes over periods of 100 days, 250 days, and 4 years, individually, before and after both the first - stage and the second - stage openings. The empirical evidence shows that: (1) after the first - stage opening, the volatility of the stock price decreases in the case of the 100 - day samples, while showing no significant changes in respect of the other sample; (2) after the second - stage opening, the volatility of the stock price decreases in the case of all samples.
Secondly, a VAR model and a multi - regression model to control the macroeconomic variables are applied, to see if a structural change would arise as a result of the interaction between macroeconomic variables and the rate of return of the stock price index before and after the opening. The empirical evidence shows that structural change takes place before and after both the first - stage and the second - stage opening.
Finally, in terms of volatility of the unexpected part, both the VAR and multi - regression models appear to arrive at the same result. The volatility of the stock price becomes larger after the first - stage opening, but smaller after the second - stage opening.
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