A Study of Non-linear Co-relation between Foreign Investors'' Holding Rate and Stock Price

• Main Authors: Ching-Hui Huang, 黃競輝
• Other Authors: Chien-Chung Nieh
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/77132190113879364581

碩士 === 淡江大學 === 財務金融學系碩士班 === 96 === This paper examines the non-linear relationship between the foreign investors’ holdings and the sector index in Taiwan Stock Exchange. Applying the panel smooth transition regression model (PSTR) for the data available period (Jan 2, 2001 to Mar. 28, 2008), the findings indicate that the foreign investors’ holdings has the smooth transition threshold effect with the sector index return. The transition function has two transition threshold value respectively is 8.95% and 24.79%. Also, the transition speed of the two regions is 0.7486 and 0.2322 respectively and makes the model form a smooth transfer process close to transition threshold value. In addition, the interest rate has a positive effect on the sector index return and there is no asymmetric effect between these two variables. The exchange rate has a negative effect on the sector index return when the foreign investors’ holdings rise. The foreign investors’ net buy-sell, changing in foreign investors’ holdings, institutional investors’ holdings and trading volume have a positive effect on the sector index return.