The Investment Behavior of Foreign Investors in the Taiwan stock market
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...
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ndltd-TW-093FCU053230022015-10-13T11:20:16Z http://ndltd.ncl.edu.tw/handle/28857254787397755551 The Investment Behavior of Foreign Investors in the Taiwan stock market 外資在台灣股市投資行為之研究 Chih-Chen Kuo 郭芝禎 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. Yi-Chien Chiang 江怡蒨 2005 學位論文 ; thesis 61 en_US |
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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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author2 |
Yi-Chien Chiang |
author_facet |
Yi-Chien Chiang Chih-Chen Kuo 郭芝禎 |
author |
Chih-Chen Kuo 郭芝禎 |
spellingShingle |
Chih-Chen Kuo 郭芝禎 The Investment Behavior of Foreign Investors in the Taiwan stock market |
author_sort |
Chih-Chen Kuo |
title |
The Investment Behavior of Foreign Investors in the Taiwan stock market |
title_short |
The Investment Behavior of Foreign Investors in the Taiwan stock market |
title_full |
The Investment Behavior of Foreign Investors in the Taiwan stock market |
title_fullStr |
The Investment Behavior of Foreign Investors in the Taiwan stock market |
title_full_unstemmed |
The Investment Behavior of Foreign Investors in the Taiwan stock market |
title_sort |
investment behavior of foreign investors in the taiwan stock market |
publishDate |
2005 |
url |
http://ndltd.ncl.edu.tw/handle/28857254787397755551 |
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