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Structural changes in foreign investors' trading behavior and the corresponding impact on Taiwan's stock market

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  • Lin, Cho-Min
  • Lee, Yen-Hsien
  • Chiu, Chien-Liang

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).

Suggested Citation

  • Lin, Cho-Min & Lee, Yen-Hsien & Chiu, Chien-Liang, 2009. "Structural changes in foreign investors' trading behavior and the corresponding impact on Taiwan's stock market," Research in International Business and Finance, Elsevier, vol. 23(1), pages 78-89, January.
  • Handle: RePEc:eee:riibaf:v:23:y:2009:i:1:p:78-89
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    References listed on IDEAS

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    Cited by:

    1. Lowe, Alpha, 2014. "The demand-side explanation for commonality in liquidity: The role of institutional ownership in the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 59-85.
    2. Wu, Pei-Shan & Huang, Chien-Ming & Chiu, Chien-Liang, 2011. "Effects of structural changes on the risk characteristics of REIT returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 645-653, October.

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