A Study on Volatility of the Three Major Institutional Investors and Individual Investors on Taiwan Securities Market

• Main Authors: Yueh-Nu Yeh, 葉月女
• Other Authors: Chien-Liang Chiu
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/48256105221740533580

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 91 === Abstract: To face the impulse of joining of WTO, the pressure of opening local capital market is getting harder. There are many policies to be examined. Can the behavior of foreign investor''s investment portfolio in different countries be a reliable sample for domestic investors? Will the government''s open policy, such as enhance the percentage of stock holding by institutional investors and release some investment restrictions for foreign investors, individual investors, security deals, may stabilize the TSE market as expecting? Those are one of the most important issues in nowadays. In this study, the author employs unit root test, GARCH model, impulse response function and variance decomposition to examine the influence of institutional and individual investor trading on stock market price and volatility. Samples are selected from daily index returns on the TSE from 1st Aug.1995 to 31st Dec.2002. Major results are as follows: 1. Concerning the investment behavior of institutional investors and individual investors, the behavior of foreign investors will have positive effect on security dealer and individual investors. The trade of investment trust and foreign investor will be diversified or be opposite on the TSE market. Security dealer’s behavior has more powerful effect to investment trust than to foreign investors. There is no effect between security dealers and individual investors. The behavior of investment trust will have no effect on security dealer and individual investors. The behavior of individual investors depends on their judgment and has 5 % positive effect on investment trust. In the long run, the behavior of all investors will be on the same direction. 2. Respecting the relationship of trading strategies and stock price index return of the three major institutional investors and individual investor, foreign investor and security dealer take positive feedback trading strategies, but investment trust and individual investor can take negative ones. 3. Institutional investor pursues long- term return on the TSE market, and the trading strategies are different from individual investor’s. 4. Regarding the effect of the three major institutional investors on the stock market volatility, a consistently negative relationship is found between institutional trading and index return volatility. So the three major institutional investors can slow down volatility on the TSE market.