| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 86 === Title of Thesis ：The Information Contest And Total
pages：63 Reference Value Of The
Foreign
Investments Block Trading
Key word：Foreign Investment, Block Trading , Stock Prices.
Name of Institute：Tamkang University Graduate Institute of
Money, Banking and Finance
Graduate date：1998/6 Degree conferred：Master
Name of Student：Chung-Li Weng Advisor：Dr. Shun-Chieh Liu
翁忠立 劉順傑 博士
Abstract：
With the trend of deregulation , the security market is opened
up gradually to foreign fund .Because its high return rate ,
we expected that international fund would be more important
and rapidly involving in domestic stock trading. We need to
understand how foreign institutions''investment decision will
affect our stock market.
My research , from July 1,1995 to April 30, 1997, is focused on
if we can predict the volatility of stock price by the
information of buyer''s and seller''s over of foreign fund.
Further more, to see if individuals will profit by
following this information.
A summary to the major conclusion is as follows：
1. Buyer''s over of foreign fund is a leading indicator of stock
price . The access return rate is significantly greater
than 0 as this information being published.
2. We don''t find any evidence that seller''s over foreign is
relative to stock prices.
3. Individuals make investment decisions following buyer''s over
foreign fund (1 month, 3 months, 6 months) will get
significant excess returns. We can take buyer''s over of
foreign fund as an investment reference.
4. Individuals make investment decisions following buyer''s over
foreign fund when Taiwan stock exchange index goes up (3
months, 6 months) will get significant excess returns
.
5. Seller''s over foreign fund (1 month, 3 months, 6 months) is
not a good for reference to invest, because it''s not
significant in statistics. The same as TSE index drops .
|
|---|
