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    题名: Friend or Enemies? Foreign Investors in Taiwan
    作者: Lin, Cho-Min;Lee, Yen-Hsien;Chiu, Chien-Liang
    贡献者: 淡江大學財務金融學系
    日期: 2010
    上传时间: 2011-10-24 10:31:22 (UTC+8)
    出版者: Abingdon: Routledge
    摘要: This study investigates how foreign investors impact the Taiwanese stock market using the AutoRegressive Jump Intensity (ARJI) model proposed by Chan and Maheu (2002), in which stock volatility in Taiwan is classified as either normal or abnormal and the net purchases of foreign investors, together with the classified volatilities, are included in the bivariate Vector Autoregression (VAR) model for further analyses. The sample period comprises of two parts, namely before and after relaxation of the restrictions on Qualified Foreign Institutional Investor (QFII) investors on 2 October 2003 (pre- and post-QFII). The forecast error variance decompositions and impulse–response functions are obtained via simulating the VAR model. Our results indicate why previous studies, in which abnormal volatilities were not taken into account, confronted biased and inconsistent results. Biased results from previous studies tend to be caused by not differentiating between normal and abnormal volatilities, and the results of this study provide a valuable reference for efforts to end conflicting arguments for whether destabilizing or stabilizing stock markets of foreign investor transactions. Furthermore, the study results also indicate why Taiwan was less affected during the Asian financial crisis.
    關聯: Applied Economics Letters 17(10), pp.977-982
    DOI: 10.1080/17446540802599663
    显示于类别:[財務金融學系暨研究所] 期刊論文

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