The Effect of Foreign Investment in Taiwan Stock Prices Volatility Due to the Financial Crisis

• Main Authors: Shih, Shun-Te, 施順德
• Other Authors: Tang, Qi-Fa
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/25822651513453070784

碩士 === 大葉大學 === 會計資訊學系碩士班 === 100 === The study aims to analyze the effect of foreign investment in Taiwan stock prices volatility due to the financial crisis. It uses daily data ending January 1, 2006 to December 31, 2011, the day before and after the financial tsunami, with the outbreak of financial tsunami assumed to be on September 15, 2008. A total of 107,496 data of foreign trading information, foreign impact of the super trading, and foreign ownership and financial stocks were analyzed. The empirical results show that: A. In the non-financial holding companies： 1. There was no mutual feedback of two-way relationship between the foreign ownership rate and the company's share price before and after the crisis. 2. There was no trend of over trading on foreign investors after the crisis. B. In the financial holding company: 1. There was mutual feedback of two-way relationship between the foreign ownership rate and the company's share price before and after the crisis. 2. There was trend of super trading on foreign investors after the crisis. 3. There was a trend of foreign ownership ratio and the company's share price fell in the crisis, except for Cosmos Bank and ING Bank. 4. Suggest investors while investing in financial market to consider the rate of foreign ownership, the foreign super trading, and the trend of the company's stock price, and as well as the major international events inferred.