The Relationships among Three Major Institutional Investors, General Individual Investors, and the Stock Market
學年 95
學期 1
出版（發表）日期 2007-01-01
作品名稱 The Relationships among Three Major Institutional Investors, General Individual Investors, and the Stock Market
作品名稱（其他語言）
著者 Lin, Cho-min; Huang, Bor-yi; Cheng, Wan-hsiu; Wu, Pei-shan
單位 淡江大學財務金融學系
出版者 New Delhi: TARU Publications
著錄名稱、卷期、頁數 Journal of Statistics and Management Systems 10(1), pp.87-102
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.
關鍵字 Three major institutional investors; General individual investors; Multivariate GRACH model
語言 en
ISSN 0972-0510
期刊性質 國外
收錄於 EI
產學合作
通訊作者
審稿制度 是
國別 IND
公開徵稿
出版型式 紙本
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