The Impact of Foreign Capital on the Interrelationship between Stock Markets and Futures Markets - The cases of Hong Kong, Malaysia and Taiwan

• Main Authors: Leap-Foi Tee, 鄭麗慧
• Other Authors: Ph. D. Shou-De Shyu
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/13383397669420902916

碩士 === 國立中山大學 === 財務管理學系研究所 === 89 === Abstract The purpose of this paper is to investigate the impact of foreign capital on the interrelationship between the stock markets and futures markets of Hong Kong, Malaysia and Taiwan. Malaysia stock market is under Exchange Control Mechanism, (ECM) while Taiwan futures market under foreign capital deregulation, both markets has extremely serious influence. The investment behavior of foreign capital, as superior informed investors, always imply their expectation to both stock and futures markets. Thus, this paper attempts to focus on three topics to analyze the investment behavior of the foreign capital. First, whether the degree of intervene of the foreign capital influences the lead-lag relationship. Second, whether after intervene of the foreign capital influence the lead-lag relationship, and third, whether the foreign capital net buying (selling) amount in the stock market influence the basis after deregulation of the Taiwan futures markets. This paper found that under over intervention on futures markets would restrained the stock index futures from price discovered, and after Taiwan futures markets deregulation, foreign capital net buying (selling) amount in the stock market does influence the basis. This study propose both Taiwan stock and futures markets exists foreign capital positive feedback trading.