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The defense date of the thesis is 2017-07-25
The current date is 2018-09-19
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URN etd-0725117-231651 Statistics This thesis had been viewed 220 times. Download 0 times. Author Ming-ren Ku Author's Email Address No Public. Department Graduate Institute of Design Science Year 2016 Semester 2 Degree Ph.D. Type of Document Doctoral Dissertation Language Chinese&English Page Count 147 Title THE STRUCTURAL CHANGE OF THE EFFECTS OF FOREIGN TRADING ON STOCK RETURNS AND VOLATILITY IN TAIWAN STOCK MARKET Keyword Structure Change Foreign Ownership Stock Returns Stock Returns Foreign Ownership Structure Change Abstract This study investigate the impact of growth of foreign investor's ownership and trading volume on Taiwan stock market. Based on Quandt-Andrews and Bai-Perron structure change test, we find years of 2000, 2003 and 2008 are the breakpoints for TWSE. Excluding the Electronic industry, the structure change year mainly is the year of 2008 which is the sub-prime mortgage financial crisis period.
The conditional variance estimated by weekly data had a down-ward trend before 1997. From 1997 to 2001, the conditional variance increase monotonically and with large volatility within year. Recently, the weekly conditional variance stay at a low level and the first and third quartile are nearby for each year.
The empirical result shows that the impact of lag foreign investor buy-sell difference on market return before 2003 is less than that after 2003. The impact of investment trust corporation is neither significant in both two period. The impact of dealer is positive significantly before 2003, but not significant after 2003. We further separate whole sample into two subsample by 20% or 5% foreign ownership. The result shows that in the large foreign ownership sample the impact of lag foreign investor's information on stock return is smaller gradually. The impact is positive significantly in early period but not significant in recent years. In the small foreign ownership sample, the impact is not significant in early year, but the impact increases persistently. We conclude that market may ignore the easily and frequently reachable information and pay more attention on less reachable information.
Advisor Committee Ruey-shii Chen - advisor
Files Date of Defense 2017-06-21 Date of Submission 2017-07-25