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Market Opening and Stock Market Behavior: Taiwan's Experience

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  • Qi Li

    (Department of Economics, Texas A&M University, U.S.A. and Department of Economics, Tsinghua University, P.R.C.)

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    Abstract

    This paper studies the impact of market opening on stock market behavior. Taiwan opened its stock market in January 1, 1991. Using stock market data from Taiwan for both before and after the opening event, we found that while there is no significant changes in the stock mean returns, volatility is significantly reduced three months after Taiwan opened its stock market. As a result, the market efficiency, as measured by the Sharpe ratio, significantly increases three months after the opening event.

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    Bibliographic Info

    Article provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.

    Volume (Year): 1 (2002)
    Issue (Month): 1 (April)
    Pages: 9-16

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    Handle: RePEc:ijb:journl:v:1:y:2002:i:1:p:9-16

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    Postal: 100 Wenhwa Road, Seatwen, Taichung
    Web page: http://www.ijbe.org/
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    Related research

    Keywords: market opening; volatility; market efficiency;

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    1. Peter Blair Henry, 2000. "Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices," Journal of Finance, American Finance Association, vol. 55(2), pages 529-564, 04.
    2. Kawakatsu, Hiroyuki & Morey, Matthew R., 1999. "Financial liberalization and stock market efficiency: an empirical examination of nine emerging market countries," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 353-371, November.
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    Cited by:
    1. Mapa, Dennis S. & Briones, Kristine Joy S., 2006. "Measuring the Common Component of Stock Market Fluctuations in the Asia-Pacific Region," MPRA Paper 21247, University Library of Munich, Germany.

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