| Summary: | 碩士 === 逢甲大學 === 國際貿易所 === 93 === Abstract
Taiwan’s stock market is one of the most important emerging stock market in the world. Foreign investor transactions in the Taiwan stock market have increased gradually these years since Taiwan cancel restrictions on capital flows and release limitations on foreign ownership of Taiwan stocks.
Using firm’s data from 2001 to 2003 in the Taiwan stock market, this paper proceeds in two steps. In the first step, I characterize foreign ownership in the Taiwan stock market using firm-specific attributes under the classical multivariate analysis on three-year average and pooled cross-section/time-series data. In the second step, I am going to investigate the herding behaviors of foreign investors.
Our results show that foreign investors tend to have preference for firms with certain attributes, such as large size, issuing foreign securities, high ROE, low leverage, and low employee stock bonuses. They also like MSCI-concept and China-concept stocks. In addition, they seem to follow positive-feedback trading, and their herding impact the stock price. Furthermore, their ownership is not mean-reverting, and subsequent return reversals imply that their trades may not be related to information.
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