Foreign investors’ trading behavior and market conditions: Evidence from Taiwan
Li-Ju Tsai,
Pei-Gi Shu and
Sue-Jane Chiang
Journal of Multinational Financial Management, 2019, vol. 52-53
Abstract:
We investigate the trading behavior of foreign investors, and how it is related to stock prices under different market conditions in Taiwan. Specifically, we focus on two surrogates of market conditions: stock market turnover and return. Applying Hansen and Seo’s (2002) threshold cointegration model to avoid arbitrarily chosen cutoff values for market conditions, we find that foreign investors facilitate the price discovery function when the market is hot (e.g., high stock market turnover and/or high market return). In contrast, they become market followers when the market is cold (e.g., low stock market turnover and/or low market return).
Keywords: Market conditions; Foreign investors; Threshold cointegration (search for similar items in EconPapers)
JEL-codes: C32 G15 G23 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x19300490
DOI: 10.1016/j.mulfin.2019.100591
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