An Empirical Investigation on the Determinants of Foreign Stock Returns in Taiwan
Date Issued
2014
Date
2014
Author(s)
Ou, Chia-Ming
Abstract
The continued rising labor and land costs in the 1980s have forced Taiwanese companies to look for cheaper manufacturing base overseas to maintain their competitiveness among other foreign competitors. The ideal location for them was Mainland China and Southeastern Asian Nations. Since companies were engaged in lots of business activities, it is likely that they would tap into local capital market and choose to go public abroad in order to raise money, or gain name recognition. Hong Kong, Singapore, Thailand, Mainland China and Vietnam are currently the most common destination for overseas listing.
The phenomenon takes a toll on Taiwan capital market, since 2002 the number of newly public listings has been on a dramatic decline. To solve this problem and encourage more foreign issuers apply for primary stock listing in Taiwan, the administration has passed few bills since 2008. At present, there are 38 foreign companies take the advantage and go public. Their shares are not only frequently being traded, but in a pretty huge volume.
The research chooses 9 out of these 38 companies, separated into two groups by amount of paid-up capital, and collects a time span of two years trading-related data from TWSE. Since the data is cross-section and time-series, which is called panel data, it is appropriate and legit for us to use panel data model to analyze. The research incudes six variables, which are TAIEX, Dow Jones Industrial Average Index, foreign shareholding ratio, turnover rate, revenue growth rate and blockholder shareholding ratio, to determine whether they can influence the performance of stock returns. The results are shown below:
1. Smaller company: Three variables, Dow Jones Industrial Average Index, turnover rate and blockholder shareholding ratio have a statistical significant positive effect on the stock returns.
2. Larger company: Three variables, foreign shareholding ratio, turnover rate and revenue growth rate have a statistical significant positive effect on the stock returns.
Subjects
第一上市
橫斷面時間序列分析法模型
外資持有比率
周轉率
營收成長率
大股東持有比率
Type
thesis
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