The Effect Caused by Foreign Investors'' Net Buy and Trading Volume on the Return and Fluctuation of Taiwan Stock Market

• Main Authors: Bei-fen Wu, 吳貝芬
• Other Authors: Tzung-min Pai
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/84212504906877620431

碩士 === 南華大學 === 財務管理研究所 === 94 === 　　This paper discusses foreign investors'' influences on the returns and fluctuation of stock market in Taiwan. We analyze the continuous effects of foreign buy orders at first, and then using two variables, foreign buy orders and the trading volume, to understand the influences on the rate of returns and fluctuation of stock market in Taiwan through GARCH model. Samples adopt from TEJ database and is from July 1996 to March 2005. 　 　　The conclusion can be summarized as follows: (1)The foreign buy orders has continuous effects no matter bull market or bear market. (2)The foreign buy orders has positive relation to the rate of returns of weighted stock price index, and has evidences show that influences exist on the fluctuation of the rate of returns of weighted stock price index. (3)For electronic stocks, higher the shareholding ratio of foreign investors is, bigger the influences of the foreign buy orders to the rate of return .