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    题名: The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission between the Stock and Exchange Rates in Taiwan
    作者: Lee, Yen-hsien;Chiu, Chien-liang
    贡献者: 淡江大學財務金融學系
    日期: 2007-11
    上传时间: 2011-10-24 10:34:04 (UTC+8)
    出版者: Nashville: Economics Bulletin
    摘要: This investigation adopts the Correlated Bivariate Poisson GARCH with Jump and Diffusion Volatility Spillover (CBP-GARCH-JDSV) model to determine whether the Qualified Foreign Institutional Investors (QFIIs) deregulation in Taiwanese stock markets influences normal and abnormal information transmission between stock and exchange rates. Empirical results demonstrated that the diffusion and jump process have significantly correlations and interacted with stock and exchange rates markets following the QFIIs deregulation. Finally, normal information transmission changed bi-directionally across markets and abnormal information supports the asset approach to determining exchange rates. Additionally, estimation results suggest that information transmissions are affected by removal of investment restrictions.
    關聯: Economics Bulletin 3(22), pp.1-10
    显示于类别:[財務金融學系暨研究所] 期刊論文

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