Abstract
The trading of qualified foreign institutional investors (QFII) in the Taiwan’s stock market is considered as an important indicator for many individual investors. The study attempts to investigate whether net buying (selling) amount of QFII in the stock market leads the indices of Taiwan spot stock market and futures stock market. We collect daily closing indices of above two markets from 1999/11/1 to 2002/9/30, and use the two-stage cointegration method to examine the interrelation between QFII's net buying (selling) amount and the two indices. We conclude that there're not the relationships of cointegration between the above variables. We also find that the two indices lead QFII's net buying (selling) amount by Granger Causality test. From our findings, we get the following conclusion that the timing of QFII's trade, as most investors do, is also affected by the previous market's performance. Furthermore, we examine whether the performances of American Dow Jones Industrial index and Nasdaq index have the same relations with the Taiwan's spot stock index.
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