The Effect of RMB exchange rate fluctuation on Taiwan’s Financial Stock and Buy/Sell of Institutional Investors

• Main Authors: Shu-Nien Chan, 詹淑年
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/20713746660636385402

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 104 === In recent years, Taiwan RMB deposit expansion is very rapid.It has exceeded 300 billion yuan until November 2014, and becomes the only time for the US dollar is all foreign currency deposits rank in the second place. It is also the global offshore RMB center only in Hong Kong''s second largest capital pool. But the people''s Bank of China in 2015 laissez faire RMB to depreciate heavily, tipping the global financial market volatility, lead to stocks and the stock plunged, and plunged the Taiwan stock market in financial stocks decline in the deep. So the study in January 4, 2010 to January 13, 2016 (a total of 1,483, 29 domestic files listed financial stocks) as samples, using PSTR (panel smooth transition regression model) model to investigate the RMB exchange rate change on the influence of Taiwan financial stocks, shares and institutional investors'' behavior. Empirical results show that prior to March 13, 2012, legal person of financial stocks traded super amount and the financial returns of stock price is not significantly affected, prior to this date the RMB exchange rate on financial stocks had no effect; and after March 13, 2012, the RMB exchange rate on financial stocks have significant negative to the influence that the RMB exchange rate appreciation in recent years the domestic financial sector the importance more. In addition, this thesis empirically found that when the RMB appreciation (depreciation) value more than 0.0582%, legal to buy (sell) super financial stocks return significantly rise (fall), and corporation will actively traded financial stocks behavior, and the behavior of sensitivity, to investment trust, dealers times and foreign minimum. The reason but investment trust corporation performance due to the pressure, the operation tendency in short-term trading, chasing Shadie. Therefore, investment trusts adjust mostly the financial stock behavior due to RMB appreciation (depreciation) value in three institutional investors.