| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 100 === This paper investigates the influence of the net traded position of three institutional investors in the share returns of Taiwan stock market TAIEX index from April 2009 to March 2010 in Taiwan, i.e., at the ending of 2008 international financial turmoil. We estimate the relationship between trading pattern of three institutional investors and the TAIEX by the VIX indicator using the vector autoregression model (VAR). It shows that foreign institutional investors cannot granger-cause other institutional investors, and the TAIEX index cannot granger-cause foreign institutional investors. Thus, it seems that foreign institutional investors don’t purchase at ever-high share prices and sell at ever-low prices. It’s possibly that global capital flows from safety assets into risky assets at the ending of international financial turmoil. The increase/decrease of foreign purchasing Taiwan’s shares doesn’t depend upon specific local factors, rather than its globally portfolio strategy to cover the position.
In addition, our empirical findings show that there exits a bilateral causality between the TAIEX index and the net position of investment trusts companies. It possibly results from the redemption of equity funds, because investors inversely purchase back rather than invest more at the ending of financial turmoil. Managers of equity funds could only reduce the holding position. Therefore, the net position of investment trusts companies could significantly and laggardly be influenced by the change of the TAIEX index, rather than lead the TAIEX index. This evidence seems to be in contradiction to those of previous literature that dealers only continue to buy at ever-high prices and sell at ever-low prices, rather than they don’t lead the TAIEX index. We suggest that dealers usually set down a stop-loss mechanism, when the TAIEX index is launched a stop-loss mechanism in a bear market. It could be understood that dealers follow the TAIEX index and buy at ever-high prices and sell at ever-low prices. Because the sample period is at the ending of international financial turbulence, the TAIEX continuously increase, and doesn’t trigger the stop-loss mechanism. Therefore, dealers lead to granger-cause the TAIEX index.
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