The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission between the Stock and Exchange Rates in Taiwan

機構典藏 > College of Business and Management > Graduate Institute & Department of Banking and Finance > Journal Article > Item 987654321/72571

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/72571

Title:	The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission between the Stock and Exchange Rates in Taiwan
Authors:	Lee, Yen-hsien;Chiu, Chien-liang
Contributors:	淡江大學財務金融學系
Date:	2007-11
Issue Date:	2011-10-24 10:34:04 (UTC+8)
Publisher:	Nashville: Economics Bulletin
Abstract:	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.
Relation:	Economics Bulletin 3(22), pp.1-10
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

Files in This Item:

File	Size	Format
1545-2921_3(22)p1-10.pdf	130Kb	Adobe PDF	229	View/Open
index.html	0Kb	HTML	314	View/Open
index.html	0Kb	HTML	92	View/Open