| Summary: | This paper uses daily data to investigate the behavior of institutional
investors in Taiwan’s stock market. We adopted TGARCH and EGARCH models to
test various news. We found that, for the entire sample, a significant
clustering phenomenon exists in the investment behavior of three
institutional investors, and the impact due to a change of news content shows
significant asymmetry and leverage effects. That is, the impact of bad news
from the market is stronger than that of good news. In addition, an
asymmetric phenomenon can also be seen for the international news aspect as
responded to by foreign institutional investors. This phenomenon is more
significant than those of the dealers and institutional trust investors.
Moreover, the asymmetric phenomenon as responded to by the dealers for
domestic news is more significant than those of foreign investors and
institutional trust investors.
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