The Impact of Foreign Investment Behaviour on the Forecast TAIEX and TX

• Main Authors: TSAO, CHI-WEI, 曹豈瑋
• Other Authors: LIN, HONG-YU
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/srjy35

碩士 === 明志科技大學 === 經營管理系碩士班 === 105 === This study is mainly to see whether there are differences in the performance of the foreign investment behavior on forecasting Taiwan stock index and Taiwan stock index futures. The raw data is from Taiwan Stock Exchange and Taiwan Futures Exchange. Range of obtained data is from the July of 2007 to the February of 2017. Total of 9 independent variables are Foreign investor net buy/sell, Foreign investor futures open interest, Foreign investor option open interest, MSCI Taiwan stock index, NTD/USD exchange rate, Dow Jones industrial average index with one day lag, Shanghai A share, Federal funds rate, the index price with one day lag, and compare with monitoring indicator. Predictions of future index prices are made by both Back-propagation Neural Networks and Genetic Algorithm. The empirical results show the performance of foreign investment behavior variables are better than the monitoring indicator variables. And in the foreign investment behavior variables, MSCI Taiwan stock index is the most important factor for foreign manipulation of Taiwan stock market.