A Study on the Conversion of Foreign Institutions’ Stock Holdings to Exchange-Traded Fund During the Ex-dividend Period

• Main Authors: Chen,Hsin-Hung, 陳新宏
• Other Authors: Yu, Min-Teh
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/09977828220080681954

碩士 === 國立交通大學 === 管理學院財務金融學程 === 103 === The subject of this study is to explore foreign investor activity in the Taiwan stock market (TAIEX) during the ex-right / ex-dividend period. We want to explore if there is a change in shareholder ratio for the Yuanta/P-shares Taiwan Top 50 ETF (hereinafter referred to as 0050) which is significantly correlated to the rate of change in total number of units of 0050.We observe whether foreign investors in Taiwan market conduct primary market purchases or buybacks during the ex-right / ex-dividend period of Taiwan stock market, converting a basket of stock investments into ETF holdings. Then after majority of Taiwan stocks complete ex-rights and ex-dividends, convert the 0050 ETF holdings back into the basket of stocks, thus avoiding or reducing their tax liabilities. The study found that the rate of change in foreign ownership is significantly related to the overall change in the total number of beneficiary units. Further analysis has uncovered that during the TAIEX's ex-right / ex-dividend period, the change in foreign investor's shareholder ratio is significantly positively correlated with change in total beneficiary units.Thus, it is reasonable to infer that foreign investors utilize the difference in ex-rights and ex-dividends periods for various financial products in order to avoid and reduce their tax liabilities.