A Study of Foreign Investors Influence on the Taiwan Stock and Futures Market

• Main Authors: Weng, Ching-Kai, 翁經楷
• Other Authors: 林泉源
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/18494209434432811683

碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 100 === 　　The main purpose of this study is to figure out the relationship between overbuy and oversell by foreign investors in Taiwan stock market and the movement of Taiwan stock market weighted index. The data of dealers and investment trust companies are also considered to compare. I test the regression models to measure the explanatory variables first, and apply the Vector Autoregression (VAR) model, the Granger Causality test, the impulse response functions, and the error variance decompositions technique, to analyze the relationships among Taiwan stock index, TAIEX futures, and the behavior of foreign investors’ overbuy. Finally, I construct a trading strategy to examine its practical availability for the result. The research data is from July 2, 2007 to March 30, 2012, for total 1184 data. The conclusions I find to be listed as following: 　(1)Positive significantly influence to Taiwan stock market weighted index: foreign investors overbuy at Taiwan stock market, dealers overbuy at Taiwan stock market, investment trust companies overbuy at Taiwan stock market, foreign investors overbuy at TAIEX futures, dealers overbuy at TAIEX futures, investment trust companies overbuy at TAIEX futures, foreign investors overbuy at Taiwan stock market(T-1), and foreign investors overbuy at TAIEX futures (T-1), totally 8 variables. 　(2)Positive significantly influence to Taiwan futures market: foreign investors overbuy at Taiwan stock market, dealers overbuy at Taiwan stock market, investment trust companies overbuy at Taiwan stock market, foreign investors overbuy at TAIEX futures, dealers overbuy at TAIEX futures, investment trust companies overbuy at TAIEX futures, and foreign investors overbuy at TAIEX futures(T-1), totally 7 variables. 　(3)The foreign investors overbuy at Taiwan stock market and TAIEX futures are found to have significant impact on the movement of Taiwan stock market weighted index and TAIEX futures. The movement of Taiwan stock market weighted index is shown to have significant one-way leading relationship and same direction to the movement of TAIEX futures and foreign investors overbuy at Taiwan stock market. On the other hand, the movement of Taiwan stock market weighted index and foreign investors overbuy at TAIEX futures have bi-directional feedback relationship. Finally, the impulse response functions and forecast error variance decompositions show that the movement of Taiwan stock market weighted index is affected by itself most.