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|Other Titles: ||Research in Foreign investors influence the stock opening price of Taiwan stocks|
|Authors: ||林芸平;Lin, Yun-Ping|
|Keywords: ||外資;影響力;開盤價;Foreign;Influence;Open price|
|Issue Date: ||2016-01-22 14:47:43 (UTC+8)|
The study explores the foreign investors’ influence toward the opening price of Taiwan Stock between different sizes and industries by simulating the opening price of stocks through the pre-open orders of TWSE and predicting error based on the regression models including MAE, RMSE, MAPE, etc.
The empirical results found that,first, foreign investors not only prefer financial stocks and value weighted stocks, but also trading larger orders. Second, the influence of foreign investors on opening price of financial stocks is larger than that of electronics and non-finance non-electronics stocks. Third, the influence of foreign investors on the opening price of large cap stocks is larger than SME stocks. Fourth, the more the imbalance of foreign investors’ orders, the stronger the impact on opening price of financial stocks and large cap stocks.Fifth, the more the imbalance of local institutional investors’ orders, the weaker the impact of foreign investors on opening price of electronics and large cap stocks. Finally, as for the impact of foreign investors toward the volatility of stock price the day before between sizes and industries, it would influence the opening price of financial stocks and large cap stocks more when the volatility of stock price the day before is gradually larger.
Because of the shareholding preference, foreign investors prefer to hold value weighted stocks for asset allocation and earning higher risk premium by hedging with Taiwan Index Futures.
|Appears in Collections:||[財務金融學系暨研究所] 學位論文|
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