A Study on the Relationship among Foreign Institutional Investors,Margin Trading and TSE
Date Issued
2014
Date
2014
Author(s)
CHANG, YU-HSUAN
Abstract
Foreign investment institutions is always the most important factor affect TSE index; on the other hand, market debit balance for financing and bearish reflect the viewpoints of investors. Therefore, this thesis discusses some relative variables, including foreign investment institutions net buy, foreign investment institutions open interest and net position, market debit balance for finance and bearish.
The data are from 2008/1/02 to 2013/12/31 , and we use unit root test to confirm all variables are stationary, and then construct vector autocorrelation model, Granger causality test. In the end, we construct a regression model based on the spread of TSE index as dependent variable in order to discuss the effect which caused by dependent variables including in the thesis.
From the regression model in the thesis , we found variables as foreign investment institutions net buy market , OI net position , debit balance for financing and bearish cause significant effect on spread of TSE.
The last part is suggestion to the field which is not cover in this thesis, such as including all positions of investment institutions or separating options and future positions, in order to make more deeply research.
Subjects
現貨市場
期權市場
市場融資
市場融券
單根檢定
向量自我迴歸模型
Granger因果關係檢定
Type
thesis
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