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Market Opening and Stock Market Behavior: Taiwan's Experience

Author

Listed:
  • Qi Li

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

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.

Suggested Citation

  • Qi Li, 2002. "Market Opening and Stock Market Behavior: Taiwan's Experience," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 9-16, April.
    • Handle: RePEc:ijb:journl:v:1:y:2002:i:1:p:9-16
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    File URL: https://ijbe.fcu.edu.tw/assets/ijbe/past_issue/No.01-1/pdf/vol_1-1-2.pdf
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    References listed on IDEAS

    as
    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, April.
    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.
    Full references (including those not matched with items on IDEAS)

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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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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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