Structural changes in foreign investors' trading behavior and the corresponding impact on Taiwan's stock market

Cho-Min Lin, Yen-Hsien Lee and Chien-Liang Chiu

Research in International Business and Finance, 2009, vol. 23, issue 1, 78-89

Abstract: This study investigates the impact of the expected and unexpected trading behavior of foreign investors on return volatilities during structural change periods. And the jump intensity model pinpoints crucial events that have influenced the stock market. The empirical results find that there has been a stabilizing effect of foreign investment on Taiwan's stock market as restrictions on foreign trading have been gradually relaxed, as opposed to there being a complete relaxation of the restrictions imposed on Qualified Foreign Institutional Investors (QFIIs).

Keywords: Structural; change; Expected; and; unexpected; net; purchases; of; foreign; investors; GARCH-ARJI; model (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:23:y:2009:i:1:p:78-89

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