The Impact of Foreign Investors' Trading on Taiwan Stock Market

[[abstract]]近年來，我國因要使市場國際化與金融自由化，逐步開放外資投資台股的比例，使得外資在股市的地位逐年增加，對股市影響力日增，而外資的買賣超資訊就成為散戶追逐及大眾關注的焦點，所以本文就針對外資買賣超對我國加權股市有何種的衝擊與影響來做研究。 本研究資料是以金融風暴中雷曼兄弟公司倒閉前後19個月，外資買賣超與台灣加權股價指數期間為2006年12月至2008年8月及2008年10月至2010年6月的日資料，深入探討外資買賣超與台灣加權股價指數漲跌的相互關聯性，本文之結論如下： 1 外資買賣超行為與台灣加權股價指數的漲、跌存在顯著性的影響，外資的投資行為與大盤的走勢存在著一個長期均衡的共移關係。 2 在金融風暴前，外資買賣超與台灣加權股價指數互不影響；在金融風暴後，台灣加權股價指數不影響外資買賣超，但外資買賣超會影響台灣加權股價指數，表示在金融風暴後，外資買賣超對台灣加權股價指數的影響性更為加劇。 3 外資買賣超與台灣加權股價指數受到來自於本身衝擊時反應較為激烈，約略在3天左右完全收斂。[[abstract]]With the influence of foreign investment on the domestic stock market increasing year by year due to internationalization and financial liberalization in our country information on foreign investment catches public’s eyes The paper studied the influence on foreign trade-weighted stock market The paper investigated the mutual relation between Foreign trade over the Taiwan Weighted Stock Index Change in the 19 month when the Lehman Brothers Company bankrupted from December 2006 to August 2008 and from October 2008 to June 2010 respectively We had the conclusions as following: 1 There has been a balanced relationship between foreign investment and Taiwan Weighted Stock market in a long run The trend of Taiwan Weighted Stock market has long influenced by the behavior foreign investment 2 There were two periods to be compared In the first period when the financial crisis did not occurred yet there was no significant connection between foreign investment and TWS; however when the crisis took place in the second period the behavior of the foreign investment highly affected the performance of Taiwan Weighted Stock According to the observation we believe that the impact from the foreign investment is dramatically increased over Taiwan Weighted Stock 3 The responses would be more intense when the markets was hit by themselves and would end completely in about three day