Do Foreign Trading Patterns Cause Abnormal Information from Taiwanese Stock Markets?

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Title:	Do Foreign Trading Patterns Cause Abnormal Information from Taiwanese Stock Markets?
Authors:	李命志;Lee, Ming-chih;Lee, Yen-Hsien
Contributors:	淡江大學財務金融學系
Date:	2008
Issue Date:	2010-08-09 15:33:52 (UTC+8)
Publisher:	Oxon: Routledge
Abstract:	This study investigates whether foreign investors cause abnormal information by jump process in the Taiwanese stock market during before and after relaxation of the restrictions on QFII investors on 2 October 2003 (pre- and post-QFII). By conducting further analysis, this study conducts detailed analysis and explores how abnormal information and QFII behaviour are related by performing correlation and Granger causality analyses. This study concludes that the release of restrictions on QFII has been extremely helpful in improving the domestic investment environment and stabilizing the Taiwanese stock market.
Relation:	Applied Economics Letters 15(15), pp.1219-1224
DOI:	10.1080/13504850601018056
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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