A Study on the Interactions between Institutional and General Public Investors and Its Relationships to Stocks Market-An Application of Multivariate VAR GJR-GARCH MODEL-

• Main Authors: Chen Sheh Ping, 陳世平
• Other Authors: Liu, Hsiang-Hsi
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/80104092258017129327

碩士 === 國立臺北大學 === 合作經濟學系 === 93 === The purpose of this thesis is to analyze the relationships of the investment behaviors between institutional and general public investors in Taiwan Stock Market and their effects on the index of Taiwan weighted stock price. The above relationships have been tested and examined by the VAR GJR-GARCH Model. The research objects include the general public investors and the institutional investors which including dealers, securities investment trust companies, foreign investors and general public. The daily purchase on margin transactions in stock market used as a proxy for general public investors behavior and the buy-sell-differences in foreign and institutional investors daily trading value in stock market used as a proxy for the institutional investors behaviors. The model is estimated by daily data from August 1st,1995 to December 12th, 2004. The major conclusions of this empirical research are as follows：Firstly, the empirical evidences shows that all relationships of investment behaviors between institutional and general public investors have feedback causality in stock market. Secondly, the volatility clustering effects and asymmetric effects have existed in Taiwan stock market. Finally, the foreign investors’ behavior dominated other institutional investor behaviors and it might be thought as the information agency in Taiwan stock market.