| Summary: | 碩士 === 國立臺灣大學 === 農業經濟學研究所 === 96 === The object of this study is to apply quantile regression method (QR) to examine the effects of margin purchase /sales, and net foreign buying/selling on Taiwan’s stock prices, which are cement, food, electronic and electric machinery, textile, plastic and chemical, paper, construction, and financial and insurance. The data employed in this study is from January 2, 2006 through December 31, 2007.
The empirical results show that purchase /sales, and net foreign buying/selling have different impacts on upper price limit and lower price limit among various categories. Margin purchase has significantly positive impacts on most of categories in the case of either upper or lower price limit. The influences on upper limit price and on lower limit price are not symmetrical. Margin sales have positive significantly impacts on both price limits for most of industrial categories such as cement, food, electronic and electric machinery, financial and insurance. The impacts of net foreign buying are positive but not significant, which indicates the influence of foreign institute investors are overlooked by general investors.
Finally, this study compares the estimation results of QR with those by applying ordinary least square method (OLS). It shows that the estimated coefficients by OLS could overestimate or underestimate the impacts of margin purchase /sales, and net foreign buying/selling on upper price limit or lower price limit. The findings of this study are expected to provide insights of stock prices for individual investor in Taiwan.
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