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Cointegration analysis of tourism demand by Mainland China in Taiwan and stock investment strategy

Author

Listed:
  • Yu-Wei Lan

    (Associate Professor, Department of Banking and Finance, Takming University of Science and Technology, Taipei, Taiwan)

  • Dan Lin

    (Assistant Professor, Department of Banking and Finance, Takming University of Science and Technology, Taipei, Taiwan)

  • Lu Lin

    (Assistant Professor, Department of Public Finance and Taxation, Takming University of Science and Technology, Taipei, Taiwan.)

Abstract

Mainland China is the most important source of tourism for Taiwan in recent years. The purpose of this paper is to investigate the changes in the long-run demand for tourism in Taiwan by Mainland China. Using program trading and three different data sources, including the stock prices of Regent Taipei (2707), weighted index of the tourism sector (2700) and CSI ETF (0061), we find support for our hypotheses. That is, Taiwan’s tourism market does not fulfil the conditions of a strong-form efficient market hypothesis. Also, positive feedback trading does exit in Taiwan’s tourism market.

Suggested Citation

  • Yu-Wei Lan & Dan Lin & Lu Lin, 2015. "Cointegration analysis of tourism demand by Mainland China in Taiwan and stock investment strategy," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 3(5), pages 1-9, October.
    • Handle: RePEc:lrc:lareco:v:3:y:2015:i:5:p:1-9
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    More about this item

    Keywords

    Cointegration analysis; Error correction model; Program trading.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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