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Structural changes in foreign investors’ trading behavior and the corresponding impact on Taiwan's stock market |
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| Authors: | Cho-Min Lin Chien-Liang Chiu |
| Affiliation: | a Department of Accounting, Providence University, 200 Chungchi Road, Shalu, Taichung Hsien 433, Taiwan, ROC b Department of Finance, Chung Yuan Christian University, 200 Chung Pei Road, Chung-Li, Tao-Yuan 32023, Taiwan, ROC c Department of Banking & Finance, Tamkang University, 151 Ying-Cchuan Road, Tamsui, Taipei County 25137, Taiwan, ROC |
| Abstract: | This study investigates the impact of the expected and unexpected trading behavior of foreign investors on return volatilities during structural change periods. And the jump intensity model pinpoints crucial events that have influenced the stock market. The empirical results find that there has been a stabilizing effect of foreign investment on Taiwan's stock market as restrictions on foreign trading have been gradually relaxed, as opposed to there being a complete relaxation of the restrictions imposed on Qualified Foreign Institutional Investors (QFIIs). |
| Keywords: | C22 F21 G14 |
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