The Affect of Foreign Investments Turnover for Taiwan Stock Price Volatility

• Main Authors: Wun-Jie Jheng, 鄭文傑
• Other Authors: Yung-Leih Yang
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/40640414581560756606

碩士 === 嶺東科技大學 === 財務金融研究所 === 94 === Recently, the government of Taiwan are already open the Taiwan stock market, the foreign investments turnover will affect to the Taiwan stock market and its affect will be until raised appearance. The model structure concept of adjustment dynamically of stock price is set up under the assumption of reason expects of Blanchard (1981), this paper will do a practical research, the studying materials are adopts period from January 1, 1999 to December 31, 2005 such that of the stock price index of Taiwan and the foreign investments turnover, the GRACH model is utilized to study the affect of foreign investments turnover for the stock price index of Taiwan. Practical results are shown that AR(1)-GARCH(1,1) is suitable for the affect of the foreign investments turnover for the stock price index of Taiwan. Besides, from the asymmetric test of join test, practical results are also shown that the stock price market of Taiwan does have the asymmetric effects. In this paper, the TAR-GRACH model is utilized to study the asymmetric affect of foreign investments turnover for the stock price index of Taiwan.