Market Opening and Stock Market Behavior: Taiwan's Experience
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.
Volume (Year): 1 (2002)
Issue (Month): 1 (April)
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- 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.
- 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.
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