Do Taiwan Government-Owned Funds Really Stabilize Its Stock Market？
碩士 === 國立中興大學 === 統計學研究所 === 104 === Many researches have concluded that the trading behaviors of institutional investors can have impact on stock price trend and its investment performance. Hence, this study investigates the trading behaviors of all institutional investors in Taiwan (including brok...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/57729571611575179333 |
| Summary: | 碩士 === 國立中興大學 === 統計學研究所 === 104 === Many researches have concluded that the trading behaviors of institutional investors can have impact on stock price trend and its investment performance. Hence, this study investigates the trading behaviors of all institutional investors in Taiwan (including broker-dealer, foreign institutional investors, and government-owned fund) and their explanatory power to the weekly stock returns in the top 100 trading volume companies of the market from July 2000 to May 2012. The contribution of this study is to propose the network density based on institution investors’ trading network and construct the regression model combining with the Fama-French three factors. The empirical results find the network density can explain the weekly stock returns in which broker-dealer and foreign institutional investors are positively correlated and government-owned fund are negatively correlated. In particular, the government-owned fund trades against with the market when the market is in the bear market which suggests that the government-owned fund indeed stabilizes the stock market.
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