Cointegration analysis of tourism demand by Mainland China in Taiwan and stock investment strategy

Yu-Wei Lan (), Dan Lin and Lu Lin
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Yu-Wei Lan: Associate Professor, Department of Banking and Finance, Takming University of Science and Technology, Taipei, Taiwan
Dan Lin: Assistant Professor, Department of Banking and Finance, Takming University of Science and Technology, Taipei, Taiwan
Lu Lin: Assistant Professor, Department of Public Finance and Taxation, Takming University of Science and Technology, Taipei, Taiwan.

Journal of Economic and Financial Studies (JEFS), 2015, vol. 3, issue 5, 1-9

Abstract: Mainland China is the most important source of tourism for Taiwan in recent years. The purpose of this paper is to investigate the changes in the long-run demand for tourism in Taiwan by Mainland China. Using program trading and three different data sources, including the stock prices of Regent Taipei (2707), weighted index of the tourism sector (2700) and CSI ETF (0061), we find support for our hypotheses. That is, Taiwan’s tourism market does not fulfil the conditions of a strong-form efficient market hypothesis. Also, positive feedback trading does exit in Taiwan’s tourism market.

Keywords: Cointegration analysis; Error correction model; Program trading. (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:lrc:lareco:v:3:y:2015:i:5:p:1-9

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