Impacts of Foreign Investor Sentiment on Taiwan’s Stock and Futures Markets

Abstract

本文運用市場調整的相對周轉率並建立臺灣的「外資情緒指標」，探究其對臺灣期現貨市場之影響。主要發現為外資情緒對市場超額報酬率及期現貨市場相關性有正向影響，但對於市場波動性則有負向效果。再者，外資情緒指標及外資淨匯入金額對現貨市場超額報酬率有良好的預測績效。

By utilizing the market-adjusted relative turnover to filter out the macroeconomicBy utilizing the market-adjusted relative turnover to filter out the macroeconomic impacts, we construct ＂foreign investor sentiment index＂ in Taiwan and analyze how excess returns, volatility, and cash-futures market correlation are affected by this index. Our results show that foreign investor sentiment has a positive effect on excess returns and cash-futures market correlation, but has a negative impact on volatility. Moreover, both foreign investor sentiment index and net inward remittance of foreign investor (NIRFI) have a good prediction power in cash market`s excess returns.