| Summary: | 碩士 === 國立臺灣大學 === 財務金融學系 === 86 === The objective of this study is to investigate if the China
investment policy of a listed firm can cause any change in the
relation between stock returns and market fundamentals.
In traditional studies of the subject, China investment
decision has been treated as a dummy variable and placed on the
right side of the equation. A regression analysis was then
performed to determine the significance of the China investment
decision variable. However, the study approach has falsely
ignored a fact that the China investment decision is evolved by
a firm independently. In other words, the China investment
decision is endogenous, not exogenous.
Therefore, in this study, the China investment decision has
been treated as a dependent variable. A two-stage model is
then designed to conduct the research. First stage determines
the factors affecting a listed firm''s China investment decision
and the probability of a China investment decision based on
each factor. Then, in the second stage, an investigation is
conducted to determine if, under the conditional probabilities,
the China investment policy can cause any change in the
relation between stock r
eturns and market fundamentals.
Empirical results are summarized as follows:
1. The higher the retained earning to capital ratio, the higher
the export ratio, or the longer the years of establishment,
the higher the probability a firm will invest in China.
2. The impact that fundamentals have on stock returns will not
vary between China-concept stocks and Non-China-concept
stocks.
3. Book-to-market ratio effect does exist in the Taiwan stock market.
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