| Summary: | 碩士 === 國立雲林科技大學 === 企業管理系碩士班 === 94 === This thesis employs the methodology of "Event Study" to research into whether QFII (qualified foreign institutional investors) large net buys/or net sells trading behavior on the Taiwan Securities Exchange (TSE) implies information content, and then to analyze how their trading influence stock prices. Furthermore, this thesis explores whether QFIIs'' trading reveals different information effects when examined by the following seven factors: the market trend, proportion of QFII holdings, the size of enterprises, the electronics industry or not, the net asset value per share of enterprises, the short-to-long ratio, and the turnover rate. This thesis also discusses what factors will affect stock prices bymeans of cross regression analysis of CAR (Cumulative Average Residual), and further finds out factors that will reverse the original price movement trend.Factors that determine the proportion of QFII holdings are also discussed inthis section.
The conclusions of this thesis are summarized as follows:
1) QFIIs net buys/sells in a large amount do imply information content. The stock prices and trading volumes of these stocks which QFIIs hugely net buy will respond to QFII''s trading behavior.
2) QFII net buys in a large amount have the parallel signal effect, and the market will respond to this for no longer than two days, QFII net sells in a large amount have the parallel signal effect, and the market will respond to this for no longer than seven days, As a result, this information seldom bring about abnormal return. Furthermore, QFIIs often net buy or sell a large amount of shares after stock prices have soared for a while, and usually the market over-reacts to hugeQFII net sells.
3) In comparison with QFII net buys, QFII net sells exhibit an more conspicuous information spill-over.
4) The results of the analysis of QFII net buys/sells in this thesis'' sample companies are as follows:
4.1<Net Buys>
4.1.1. In AR (t=0, +1), the information effects of high proportion of QFII holdings, small-sized companies,non-electronics stocks, the low short-to-long ratio and stocks with a high turnover rate are greater than that of overall QFII net buys.
4.1.2. Higher CAR can be detected in a bull market, low proportion of QFII holdings, small-sized companies, non-electronics stocks, and the low net asset value per share of enterprises, the low short-to-long ratio and the high turnover rate.
4.2<Net Sells>
4.2.1. In AR (t=0, +7), the negative information effects are more obvious in high proportion of QFII holdings than QFII net sells.
4.2.2. In a bear market, shares prices tend to movein a reverse direction in large-sized companies, the high proportion of QFII holdings,non-electronics companies with QFII net sells, the high QFII holdings, a low net asset value per share of enterprises, a low short-to-long ratio or a low turnover rate. After QFII net sells, share prices tend to go on drifting lower in a bull market, small-sized companies, the low proportion of QFII holdings, electronics stocks , a high net asset value per share of enterprises, a high short-to-long ratio or a high turnover rate.
5) Empirical results of cross regression analysis of CAR are as follows:
5.1. Share prices of companies with a high turnover rate and a high revenue growth rate tend to soar, boosted by QFII net buys in a huge amount. Prices may also beraised, but only slightly, by a high revenue growth rate, electronics companies, a high short-to-long ratio or by a bull market.However QFII net buys have an insignificant influence on electronics shares''movements.
5.2. Only share prices of companies with a high E/P ratio will be able to maintain high abnormal return after QFII net sells in a huge amount. Further, in a high E/P ratiotend to move reversely after QFII net sells in a big amount.
6)Revenue growth rates, high net asset value per share ,ROE, low Debt Ratio or electronics companies will boost QFII holdings, and vice versa. QFIIs may have higher holdings in bear market, but not significantly.
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