Chien-Liang Chiu () (Department of Banking & Finance, Tamkang University, 151 Ying-Chuan Road, Tamsui 251, Taipei County, Taiwan, Republic of China) Yen-Hsien Lee () (Department of Finance, Vanung University, 1 Van-Nung Road, Chung-Li, Tao-Yuan (32061), Taiwan, Republic of China)
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.
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Article provided by Economics Bulletin in its journal Economics Bulletin.
Volume (Year): 3 (2007) Issue (Month): 22 () Pages: 1-10 Download reference. The following formats are available: HTML,
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Handle: RePEc:ebl:ecbull:v:3:y:2007:i:22:p:1-10
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Find related papers by JEL classification: C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables G1 - Financial Economics - - General Financial Markets
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