Impact of Institutional Investors and Market Factors on the Taiwan Stock Exchange Electronic and Financial Sector Indices
Date Issued
2008
Date
2008
Author(s)
Chiang, Yen
Abstract
Abstracthe purpose of this thesis is to explore the relation among the Taiwan Stock Exchange Electronic Sector Index , the Taiwan Stock Exchange Financial Sector Index and foreign stock exchange markets , macroeconomic variables (such as quantity of money and foreign exchange rate ,etc.) , net buy or net sell of institutional investors , and the interaction between all of these factors above. The empirical results could be useful for investors.irst , we employ the ADF unit root test to check if the variables have stochastic trend ,and then to remove their unit root in order to make them stationary. Then , examine the correlation between the variables. The results of our empirical research which is based on the multiple index model are as follows : Monetary policy (change in quantity of M_1b) has strong positive influence on Taiwan Stock Exchange Electronic Sector Index and Taiwan Stock Exchange Financial Sector Index, and the effect will last one to two months. The relation among Taiwan Stock Exchange Electronic Sector Index , Taiwan Stock Exchange Financial Sector Index andforeign stock exchange markets are different. The influences of interactions among institutional investors and foreign exchange markets on the two indexes are different. Only foreign institutional investors have influences on the Taiwan Stock Exchange Electronic Sector Index, while the others do not have statistical significance.egardless, we should still take the insignificant variables into account whene make our investment decisions. because a variable doesn’t have statistical significance , it doesn’t mean that it cannot influence stock price index at all.
Subjects
unit root test
multiple index model
statistical significance
stochastic trend
stationary
Type
thesis
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