The Information Contest And Reference Value Of The Foreign Investments Block Trading

• Main Authors: Weng, Chung-Li, 翁忠立
• Other Authors: Liu Shung-Chieh
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/18731918192000466144

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 .