The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission Between the Stock and Exchange rates in Taiwan

Yen-Hsien Lee () and Chien-Liang Chiu ()
Additional contact information
Yen-Hsien Lee: Department of Finance, Vanung University, 1 Van-Nung Road, Chung-Li, Tao-Yuan (32061), Taiwan, Republic of China
Chien-Liang Chiu: Department of Banking & Finance, Tamkang University, 151 Ying-Chuan Road, Tamsui 251, Taipei County, Taiwan, Republic of China

Economics Bulletin, 2007, vol. 3, issue 22, 1-10

Abstract: This investigation adopts the Correlated Bivariate Poisson GARCH with Jump and Diffusion Volatility Spillover (CBP-GARCH-JDSV) model to determine whether the Qualified Foreign Institutional Investors (QFIIs) deregulation in Taiwanese stock markets influences normal and abnormal information transmission between stock and exchange rates. Empirical results demonstrated that the diffusion and jump process have significantly correlations and interacted with stock and exchange rates markets following the QFIIs deregulation. Finally, normal information transmission changed bi-directionally across markets and abnormal information supports the asset approach to determining exchange rates. Additionally, estimation results suggest that information transmissions are affected by removal of investment restrictions.

Keywords: The; Qualified; Foreign; Institutional; Investors; Deregulation; Jump; Intensity; Spillovers; CBP-GARCH-JDSV; Model (search for similar items in EconPapers)
JEL-codes: C3 G1 (search for similar items in EconPapers)
Date: 2007-06-15
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2007/Volume3/EB-07C30060A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-07c30060

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().