淡江大學機構典藏:Item 987654321/72577
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    题名: The Relationships among Three Major Institutional Investors, General Individual Investors, and the Stock Market
    作者: Lin, Cho-min;Huang, Bor-yi;Cheng, Wan-hsiu;Wu, Pei-shan
    贡献者: 淡江大學財務金融學系
    关键词: Three major institutional investors;General individual investors;Multivariate GRACH model
    日期: 2007-01
    上传时间: 2011-10-24 10:34:18 (UTC+8)
    出版者: New Delhi: TARU Publications
    摘要: This study investigates the correlation among the three institutional investors, general individual investors, and the stock market using the multivariate GARCH model. We also analyze the effect of releasing the restriction of foreign investment. The empirical results reveal that trading behavior of foreign institutional investors holds a crucial influence on domestic dealers and general individual investors, and the counter-trading phenomenon of foreign institutional investors and domestic institutional investors is due to different investment judgments. A verification of the impulse response equation reveals institutional investors perform at a faster information transmission effect. Overall, a full opening up of foreign capital might not be as powerful as expected.
    關聯: Journal of Statistics and Management Systems 10(1), pp.87-102
    DOI: 10.1080/09720510.2007.10701241
    显示于类别:[財務金融學系暨研究所] 期刊論文

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