The Impacts of Foreign Capital Flows on Taiwan''s Stock Market

• Main Authors: Yu-Chen Huang, 黃于珍
• Other Authors: Sheng-Chi Gong
• Format: Others
• Language: zh-TW
• Published: 1999
• Online Access: http://ndltd.ncl.edu.tw/handle/58851765654795121428

碩士 === 輔仁大學 === 金融研究所 === 87 === This study investigates both information effect and destabilization effect of foreign capital flows on Taiwan''s stock market. It also compares the trading strategies of three main institutional investors --- foreign institutions (hereafter FI), domestic mutual funds, and domestic competitive traders. In addition, we separate the five-year (1994 ~ 1998) sample period into three stages according to FI''s trading activities, but not the timings of unbinding policies, which makes this article different from prior studies. The conclusions are as follows: (1) The degree of contemporaneous correlation of institutional investors'' trading activities gets higher and higher. (2) FI usually pursue positive feedback strategy and take several days to complete equity holding changes. (3) One-day lag and the current FI''s net buys (sells) have significant positive (negative) impacts on the current day''s returns of both market and the samples stocks, especially when the middle of 1996 to the middle of 1997. This can be somewhat explained by domestic investors'' following strategy. (4) One-day lag and the current FI''s net buys and net sells have significant positive impacts on the current day''s market volatility, especially after the Asian financial crisis occurred in 1997.