Foreign Ownership and Market Volatility: A Case Study of Taiwan Security Market

[[abstract]]本文探討台灣證券主管機關開放外國機構投資人投資台灣市場，是否能達到降低股市波動，穩定市場之功能？本研究隨機抽取30間台灣上市公司，並藉由Sias（1996）, Faugere and Shawky（2003）研究方法，分析開放外國機構投資人進入台灣市場後之市場波動變化。研究發現，1）在控制公司市場規模狀況下，外國機構投資人在小市值規模公司具降低市場波動之能力。2）開放初期（1994/1/2～1995/3/3），外國機構投資人對市場波動無明顯影響；但自完全放寬外資投資限制後（2003/7/9～），外國機構投資人即具顯著之降低市場波動能力。最終，本文認為開放外國機構投資人來台投資，是具有穩定市場功能的。 This paper discusses the Taiwan securities authority allow foreign institutional investors to invest in Taiwan market, whether it can reduce stock market volatility and achieve the goal of market stabilization. This study is randomly selected 30 listed companies in Taiwan, following Sias (1996), Faugere and Shawky (2003) research methods to examine market volatility changes after permitting foreign institutional investors enter Taiwan market. The study found that 1) foreign institutional investors possess the ability to reduce market volatility in the scale of small market value companies for the control of company's market value. 2) In the initial opening up stage (1994/1/2 ~ 1995/3/3), foreign institutional investors do not have significant influence for market volatility; after completely relaxing the restrictions of foreign investment (2003/7/9~), foreign institutional investors is statistically significant in reducing market volatility. Ultimately, the paper argues that foreign institutional investors possess the ability of market stabilization