淡江大學機構典藏:Item 987654321/72511
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/72511


    Title: Friend or Enemies? Foreign Investors in Taiwan
    Authors: Lin, Cho-Min;Lee, Yen-Hsien;Chiu, Chien-Liang
    Contributors: 淡江大學財務金融學系
    Date: 2010
    Issue Date: 2011-10-24 10:31:22 (UTC+8)
    Publisher: Abingdon: Routledge
    Abstract: 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.
    Relation: Applied Economics Letters 17(10), pp.977-982
    DOI: 10.1080/17446540802599663
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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