A Study of Interaction Among Taiwan Stock Market, Margin, and Institutional Investors
Date Issued
2008
Date
2008
Author(s)
chen, Wen-Ling
Abstract
This thesis studies the affections of the adjusted debit balance for finance/bearish and the net buy/sell for three major institution investors (the dealers, the domestic institutions, and the foreign investment institutions) on TSE index and its trading volume to verify if there exists a long-term equilibrium among them. Besides, the volume for finance/bearish and the variation of net buy/sell volume for the three major institution investors are assumed as another affected factors in this study. Some econometrical methodologies such as the unit root test of Augmented Dickey-Fuller, Granger causality test, cointegration test, and the VECM estimation are employed in this research. The main results are shown as follows:. Granger causality testmong the market indicators of the non-economic factors, the TSE index is affected by its past performance significantly. The other factors such as the trading volume, the finance/bearish volume, and the operation of the foreign investment institutions are not the leading indicators. Besides, the trading strategy of the foreign investment institutions is independent and is not affected by the variation of the market.. Cointegration testor all trading periods, there exists the relationship significantly under 1% confidence level between the TSE index and other variables such as the adjusted debit balance for finance, the net buy/sell for the dealers, the domestic investment institutions, and the foreign investment institutions. However, the adjusted debit balance for bearish is an exclusion.. VECM estimation1). The interaction between TSE index and the three major investment institutionshe empirical result proves that the speed toward the long-term equilibrium for the three major investment institutions is faster than for the TSE index, even the latter plays a leading role.2). The operation for the retail investors and the three major investment institutions.he empirical result proves that the speed toward the long-term equilibrium for the adjusted debit balance of finance is faster than for the net buy/sell of the foreign investment institution, even the latter plays a leading role.
Subjects
Cointegration
Granger causality test
Vector Error Correction Model
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-97-P95323024-1.pdf
Size
23.53 KB
Format
Adobe PDF
Checksum
(MD5):38c7408eddce31b02bedfea939615278