The Impact of Foreign Institutional Trading on Stock Prices- An Empirical Study in Taiwan
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 96 === This paper investigates the asymmetric relationships between foreign institutional trading and stock price. I adopt the test of threshold cointegration developed by Hansen and Seo (2002) to discuss the threshold effects of the relationships. An empirical re...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45238301217863653938 |
| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 96 === This paper investigates the asymmetric relationships between foreign institutional trading and stock price. I adopt the test of threshold cointegration developed by Hansen and Seo (2002) to discuss the threshold effects of the relationships. An empirical results show that the threshold cointegation exists between foreign institutional trading and stock price. Furthermore, the causality between the foreign institutional trading and stock price in Taiwan will be different dependent on deviations of long-run equiilbrium.
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