Who is Leader in Taiwan Stock Market, Foreign Investors or Security Investment Trust Companies?

• Main Authors: Che Ming Chen, 陳哲明
• Other Authors: Guei-Yan Wu
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/17072353175071570040

碩士 === 輔仁大學 === 管理學研究所 === 95 === The data used in this study include Taiwan stock price index return rate, trade behavior of the foreign investors and security investment trust companies data from January 1996 November to December 2003. Then separated in to five subperiods based on the limitation of the proportion of open the foreign capitals in Taiwan stock market gradually to discuss the relation among the foreign investors, security investment trust companies and Taiwan stock price index. Conclusions are as follows: 1. The trade behavior of the foreign capitals and security investment trust companies has obvious effect for the stock price index in Granger causation test. In some part of time, the stock price index lead foreign capitals and security investment trust companies, so they have the momentum strategy. 2. The proportion of foreign investors comprising the market trading, the leading relationship is more obvious in lead-lag test. But since the third part of time, variables lead relationship only one day. 3. The lead-lag relationship of the foreign capitals and security investment trust companies, they don’t have any lead-lag relationship in the one part and two part of time, foreign capitals lead security investment trust companies in the third part, but reversal in part four and part five. 4. Finally, we do the regression test with foreign capitals, security investment trust companies and stock price index. This test finds limitations release on foreign ownership of Taiwan stocks, foreign investors has more obvious effect on the stock price index.