頁籤選單縮合
題 名 | The Impact of Qualified Foreign Institutional Investors on Taiwan's Stock Market |
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作 者 | 林恩從; 陳志遠; | 書刊名 | 中華管理評論 |
卷 期 | 9:2 2006.05[民95.05] |
頁 次 | 頁(1)1-(1)27 |
分類號 | 563.54 |
關鍵詞 | Qualified foreign institutional investors; Optimal portfolio; Risk-adjusted performance measures; Markowitz's portfolio theory; |
語 文 | 英文(English) |
英文摘要 | This study explores the relationship between qualified foreign institutional investors (QFIIs) and Taiwan’s stock market and evaluates the effect of QFIIs’ investment transactions on Taiwan’s stock market. By taking the date of easing regulatory restrictions on foreigners’ stock investment holdings as a cutoff point, the research uses the highest and lowest 10 stocks of QFII holdings in three industry sectors as sample portfolios to study the prior- and post-event returns. A statistically significant difference in returns represents the impact of the QFII regulation on Taiwan’s stock market. The empirical evidence in this paper yields two results. First, the investment performance of QFIIs’ high holdings stocks is significantly better than that of QFIIs’ low holdings stocks, indicating an interesting and cheap investment strategy to individual investors. Second, the investment performance of QFIIs’ trading behavior during the post-liberalization period is higher than that during the pre-liberalization period. The evidence shows that QFIIs’ trading behavior has generated better returns and portfolio performance since the stock market’s full liberalization. |
本系統中英文摘要資訊取自各篇刊載內容。