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Price effects of stock market liberalization in Taiwan

  • Kwan, Felix B.
  • Reyes, Mario G.
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 37 (1997)
    Issue (Month): 2 ()
    Pages: 511-522

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    Handle: RePEc:eee:quaeco:v:37:y:1997:i:2:p:511-522
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    1. Bera, Anil K. & Jarque, Carlos M., 1982. "Model specification tests : A simultaneous approach," Journal of Econometrics, Elsevier, vol. 20(1), pages 59-82, October.
    2. Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers 8803, Michigan State - Econometrics and Economic Theory.
    3. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
    4. Chou, Ray Yeutien, 1988. "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 279-94, October-D.
    5. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    6. Koot, Ronald S. & Padmanabhan, Prasad, 1993. "Stock market liberalization and the distribution of returns on the jamaican stock market," Global Finance Journal, Elsevier, vol. 4(2), pages 171-188.
    7. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    8. Chen, Yea-Mow, 1993. "Price limits and stock market volatility in Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 1(2), pages 139-153, May.
    9. John Mullin, 1993. "Emerging equity markets in the global economy," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 54-83.
    10. Sang W. Kim & John H. Rogers, 1995. "International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States," International Finance Discussion Papers 499, Board of Governors of the Federal Reserve System (U.S.).
    11. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    12. Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October.
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