、'，J
l
f1、、
Taiwan Stock Exchange index Taiwan Stock Exchange Dependant variable retums electronics indust立 indexreturns
Coefficient T-statistics Coefficient τ:'statistics
Fi.t_l 2.7983 5.3720'" 1.7838 3.7097'''
B
i.t-l 2.9727 0.9330 0.2178 。 0547IU_I 4.7209 2.2163" 7.5149 2.7997'"
Interpret (αo ) 0.0384 1.6470 。.0368 0.9526
Interp目t( lÐ o) 0.0253 4.2447'" 0.0206 2.5466"
片{2,t-l 0.0746 11.2233'" 0.0531 6.8103'"
hU_l 0.9157 126.7220'" 0.9401 111.1559'"
N。但s:*Significant at the 10 percent level.料 Significant at 也e5 percent level. ***Significant at
血e1 perc叩tlevel.
From the GARCH regression results, the coe缸icient of mutual funds' buy-sell difference (α3 = 4.7209) is greater than those offoreign institutions' (a
,
=2.7983). These findings imply that mutual funds have more a significant influence on Taiwan's Stock Exchange Index stock retums th組 foreign investors.
Furthermore, dealers are perceived to be insignificantly positive with Taiwan Stock Exchange Index stock retums.6 The reason for this may be owing to the
6 Although the coefficient of dealerα2 is larger than the coefficient of foreign investment a1,
Chiao Da Management Revi，叫，Vol. 29 No. 1, 2009 197
fact that from 2001 to 2006 the proportion of foreign institutional investors were between 16.88% and 33.40%, but no more than 0.5% for dealers. As such, the trading behaviors of dealers would merely hold limited influence on stock retums,
so 也ecoefficient of buy-sell difference for dealers is insigni自cant.
From the regression results of Taiwan Stock Exchange elec仕onic industry index stock re個rns on the three institutional investors' buy-sell difference as depicted in Table 2, the coefficient of foreign investors, dealers and mutual funds are 1.7838, 0.2178 and 7.5149 respectively.τbeτ~statistic shows that the coefficient of foreign investments buy-sell difference (α1 ) and that of mutual funds (α3 ) are significantly positive at 1 % level. This means that the buy-sell difference of foreign investments and mutual funds have a positive relationship with stock returns of the elec甘onicsindustry. This in turn implies that if there is a buy-sell surplus of foreign investments and mutual funds in Taiwan Stock Exchange elec仕onics industry stocks, then general individual investors will follow their investment strategy and buy electronics stocks
,
thus increasing the demand of stock in the electronics industry and raising its stock returns.Conversely, if foreign inves個lents' buy-sell difference was to be negative in the electronics indus仕y， general individual investors would sell their electronics stocks, resulting in an increase in electronics industry stock supply and a decrease in stock returns of electronics stocks. From the above analysis, hypothesis 1 (Hl) is supported.
In addition, for both Taiwan Stock Exchange Index and Elec仕onic Indus仕y Index，也ecoefficient of mutual fund instiωtional investors' buy-sell difference is always greater (α3 ) than those of foreign investors (α1 )的 well. The reason behind this could b巳 because mutual fund investors and their related-party members periodically release their analysis of Taiwan stock trends to the media, allowing their investment strategies to become one of th巳 leading indicators to Taiwan's general investors. The trading behavior of mutual fund investors is hence directly related to stock trends. Furthermore
,
dealers are observed to have athe standard deviation of the coefficientα2 is also much greater 由an that of the coefficient
αI . As a result, the coefficientα2 is still insignificant
198 The Structural Change ofStock Returns and Volatility Subsequent
的 theDe阿~gulationforForeign Investment in Taiwan MG1如ts
much lower average buy-sell difference in our sample. The extent of dealers' influence on Taiwan Stock Exchange Index and Taiwan Stock Exchange Electronics Industry Index is substantially minor compared to the other two major institutional investors. Thus, we concluded the unobvious relations between
dealer法甘adingbehavior and stock returns.
5.2
Results of the Structural Change GARCH Model 5.2.1 Structural Change Analysis of Stock ReturnsThis research investigated the structural change in stock returns and volatility for five major groups when the government enacted the deregulation policy in 2003. The five major groups include firms in Taiwan Stock Exchange, electronics firms in Taiwan Stock Exchange, firms with high FPI proportions, firms with high FDI proportions, and firms with little foreign investment (control sample firms). The structural change GARCH regression results are displayed in Table 3. The results ofthe Taiwan Stock Exchange index stock returns and Taiwan
Elec仕onicIndustry index stock returns, from Table 3, show the coefficients ofthe interaction terms (F,.t-1 x Dt) between foreign investments' buy-sell difference and the dummy variable are negatively related to stock returns. After the markets opened, the influence of foreign investment buy-sell difference on stock returns diminished. This supports our fourth hypothesis (H4): after the deregulation of foreign investment, the impact of foreign trading activities on stock returns is reduced in firms high in FD I.
Table 3 depicts the results of the Wald statistics. After the policy deregulation, the coe在icient of foreign investors' buy-sell di臨時nce on the Taiwan Stock Exchange Index and Electronic Industry were 1.9561 7 and 1.51258
respectivel弘 Wald Statistic exhibits the two coefficients significantly positive at 5% level. From our research findings, we observed that despite the fact that market deregulation may reduce the impact of foreign investments on stock returns; however, there remains significant impact of foreign institutional buy-sell
7β\+β'2 =6.5406-4.5845=1.9561
8β\+β'2 =3.4166-1.9041 =1.5125
ChiaoDaManα'gement Review Vol. 29 No. 1, 2009 199
difference on the Taiwan's stock returns. Ifthere is a buy-sell surplus, local Table 3
Notes: *Significant at the 10 pe阻entlevel 紳副研 ificant 前也e5 pe四 ent level 料 *Significa刮目
the 1 percent le、 el.
demand (and supply) for Taiwan stock wi11 sti11 increase and stock retums