Lin Cho-Min, Lee Yen-Hsien, Chiu Chien-Liang
Department of Accounting, Providence University, 200 Chungchi Road, Shalu, Taichung Hsien 433, Taiwan, ROC.
Department of Finance, Chung Yuan Christian University, 200 Chung Pei Road, Chung-Li, Tao-Yuan 32023, Taiwan, ROC.
Res Int Bus Finance. 2009 Jan;23(1):78-89. doi: 10.1016/j.ribaf.2008.07.003. Epub 2008 Jul 31.
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).
本研究探讨了在结构变化时期，外国投资者预期和意外交易行为对回报波动率的影响。跳跃强度模型确定了影响股票市场的关键事件。实证结果发现，随着对外国交易限制的逐步放宽，外国投资对台湾股票市场产生了稳定作用，这与对合格境外机构投资者（QFII）限制的完全放宽情况相反。
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