The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission between the Stock and Exchange Rates in Taiwan
學年 96
學期 1
出版（發表）日期 2007-11-01
作品名稱 The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission between the Stock and Exchange Rates in Taiwan
作品名稱（其他語言）
著者 Lee, Yen-hsien; Chiu, Chien-liang
單位 淡江大學財務金融學系
出版者 Nashville: Economics Bulletin
著錄名稱、卷期、頁數 Economics Bulletin 3(22), pp.1-10
摘要 This investigation adopts the Correlated Bivariate Poisson GARCH with Jump and Diffusion Volatility Spillover (CBP-GARCH-JDSV) model to determine whether the Qualified Foreign Institutional Investors (QFIIs) deregulation in Taiwanese stock markets influences normal and abnormal information transmission between stock and exchange rates. Empirical results demonstrated that the diffusion and jump process have significantly correlations and interacted with stock and exchange rates markets following the QFIIs deregulation. Finally, normal information transmission changed bi-directionally across markets and abnormal information supports the asset approach to determining exchange rates. Additionally, estimation results suggest that information transmissions are affected by removal of investment restrictions.
關鍵字
語言 en
ISSN 1545-2921
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 USA
公開徵稿
出版型式 電子版 紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72571 )

機構典藏連結
SDGS 優質教育