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|Other Titles: ||The effect of the changing of foreign investment holding change on stock return of FHC : panel threshold analysis|
|Authors: ||羅友均;Lo, Yu-chung|
聶建中;Nieh, Chien-chung;莊孟翰;Chuang, Meng-han
|Keywords: ||金融控股公司;外資;股價報酬率;門檻效果;financial holdings;foreign investments;stock return;panel threshold|
|Issue Date: ||2010-01-11 01:31:00 (UTC+8)|
|Abstract: ||長期以來，在台灣金融市場中扮隨著重要的角色的不外是外國專業投資機構，而外資的選股方式也多重視財務數字的特性及高報酬率的投資表現。此外，自2001年開始，金控公司陸續獲准成立，截至2003年1月己有十四家取得金控公司執照，這十四家金控總資產約新台幣八‧一兆，佔了台灣金融總資產的四分之一。這些新的金融勢力集團影響將愈來愈大，同時也成為影響台灣經濟的新主角。故本研究運用Hansen（1999）縱橫門檻（Panel Threshold）迴歸方法，探討外資持股變動率對金控股價報酬率是否存在門檻效果，檢定是否存在一上下不對稱之非線性關係。研究分別以外資持股變動率、金控股價報酬率、匯率變動率三個變數來探討其相關性。|
For a long time, foreign & institutional investors have been playing an important role in Taiwan financial market; they choose stocks mostly basing on fine financial numbers and high-ratio ROI. Besides, financial holdings have been established one after another since 2001. By January 2003, 14 licenses have been issued to these financial holdings, who have their total assets up to 8.1 trillions NT dollars, one-fourth of total Taiwan financial assets. This new power in financial world is becoming more and more influential, and will be the new leading role in Taiwan financial market. Therefore, in this paper, the researcher used Panel Threshold regression method of Hansen(1999) to test whether the variation of foreign investor shareholding would generate threshold effect to the return of investment of financial holdings, and whether there exists asymmetric non-linear correlation. The research has used three variables - the variation of foreign investor shareholding, the return of investment of financial holdings, and the variation of foreign exchange rate - to test their correlation.
The result has showed that when the threshold effect is -0.12 between the variation of foreign investor shareholding and the return of investment of financial holdings, its coefficient would be negative correlation below threshold rate, and positive correlation above threshold rate. It testified the speculation in this paper that the variation rate of foreign investors would have negative effect on share price index variation rate when the variation rate of foreign investor shareholding is below threshold γ rate -0.12,and the negative variation rate of shareholding increases; on the contrary, when the variation rate of foreign investor shareholding is above threshold γ rate -0.12, the variation rate of foreign investors would have positive effect on share price index variation rate. Further, when the variation rate of foreign investor shareholding is between -0.12 and 0, the market expects foreign selling slows down and push share price to rebound and therefore results in the positive effect.
|Appears in Collections:||[國際企業學系暨研究所] 學位論文|
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