This paper applies structural equation modeling to investigate whether foreign capital investing on futures and stock market influences intraday or the following day’s return of Taiwan stock exchange (TWSE), Taiwan stock exchange capitalization weighted stock index (TX), and MSCI Taiwan stock index futures (STW). The study period is from 2009 to 2015. The empirical finding is that the operation of foreign capital investing on futures and stock market significantly influences intraday and the following day’s return on TWSE, TX, and STW.
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