An Examination on the Ex-Dividend Date Investment Behavior of Foreign Institutions: The Case of Taiwan Stock Market.

• Main Authors: Wei-zhi Hung, 洪瑋志
• Other Authors: Jin-Sheng Huang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/61912434946536976716

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 100 === This study mainly examines the investment behavior of foreign institutions on ex-dividend dates in Taiwan stock exchange during the period, 2007-2011. An arbitrage boundary model and a regression model are employed in analyzing the investment strategies of foreign Institutions during the designated event periods. Specifically, this study first creates an arbitrage boundary model which taking account of security transaction tax and related trading costs of arbitrage portfolios during ex-dividend periods. The study next empirically compares the actual investment strategies with those predicted by the arbitrage boundary model and also investigates the influences of foreign institution on the investment returns during the period. Our empirical results first indicate that a wide divergence emerges between the actual investment behavior and the predicted behavior. The multiple regression analysis uncovers that the actual investment strategies of foreign institutions are significantly affected by market returns of ex-dividend period, shares holding proportion before ex-dividend, and firm size as well.