The Structural Change of Stock Returns and Volatility Subsequent to the Deregulation for Foreign Investment in Taiwan Markets

Abstract

過去文獻鮮少探討開放外資投資限制之後，外資的行為對股市的增額影響。本文採用結構性變遷的GARCH模型捕捉民國九十二台灣全面開放外資前復，台灣股市報酬率與波動性的轉變，本研究主題為：一、政府開放外資後，外資買（賣）超對台灣股票報酬率的影響是否產生結構性變化。二、比較政府開放外資前後，台灣股市波動性的差異。三、針對外國證券投資與外國直接投資比重高的公司，探討政府全面開放外資投資後，該公司外資買（賣）超對其報酬率或波動性的影響，並和其他外資投資比重低的公司加以分析比較差異之處。 本研究中模型配適度的檢定證實結構性變遷GARCH模型的解釋能力較傳統模型為佳，該結構性變遷模型實證結果顯示外資買賣超影響台灣股市報酬率，而在政府全面放寬外資管制之後，外資交易行為對股市報酬率影響程度呈現結構性下降的趨勢；研究結果隱含台灣投資人會參酌外資的投資策略作投資，而當台灣證券市場投資環境更為開放時，外資進入台灣股市交易頻繁，外資買賣行為對投資大眾指標意義下降，故外資交易行為對台灣股市邊際影響力因而隨之縮小。尤其，外人證券投資與外人直接投資比重高的股票群組股價波動性隨著放寬外資限制制度而顯著縮小，本研究結果隱含開放外資來台從事證券投資可穩定台灣證券交易市場，由於新興國家（例如中國大陸）仍管制外國人到其資本市場從事外人證券投資，該實證研究可作為這些政府開放證券市場的政策參考。

Since 2003, Taiwan has relaxed the restrictions for foreign investment and permitted foreign investors to freely invest in Taiwan stock markets. The purpose behind enacting this policy was the belief that foreign investors could promote Taiwan investors to come up with sound investment strategies through greater awareness of the fundamental information of public companies. However, previous studies did not meticulously investigate the incremental impact of foreign behavior on market returns nor did they look into the volatility many years after the deregulation. Hence, the purpose of this paper is to compare the effect of foreign buy-sell difference on the stock returns and the volatility prior and subsequent to Taiwan's deregulation of the foreign investment. The aims of the research are to examine whether structural change is present in both stock returns and volatility in the Taiwanese markets after the restriction relaxed. First, this paper explores whether foreign buy-sell difference is positively related to stock returns in the Taiwan Stock Exchange. Second, this article examines whether smaller correlation exists between foreign buy-sell difference and stock returns after the lifting of foreign portfolio investment. In addition, we analyze whether volatility significantly decreases after the foreign investment restriction has relaxed. The results show that foreign buy-sell difference is positively related to stock returns in the Taiwan Stock Exchange. This suggests that foreign institutions may lead Taiwanese investors to buy or sell Taiwanese stocks, which may in turn affect the demand for Taiwanese stocks. Such relations declined after the lifting of foreign investment limit, suggesting that the influence of foreign investment strategies on investment decisions of many Taiwanese investors mitigated after foreign investment restrictions were relaxed. Furthermore, the long-term volatility substantially decreased for firms with larger foreign ownership, which points out the stabilization of stock markets during post-deregulation periods.