The Quarterly Review of Economics and Finance, 1997
In January, I991, I/2e Taiwan stack market was pa&u'ly opened to direc! investment br foreign inv... more In January, I991, I/2e Taiwan stack market was pa&u'ly opened to direc! investment br foreign investors. This paper examines the stork price effeeds of this market liberalrtiion. We use the GARCH methadology to tnvesligab the rmpacl of stock-ma&l liberalarolion on the distn&utum of stock relums y&&d by !he Tatwan Weighied Index over the period, 1988-1994. Thp w&/c show that Taiwan's stock market liberalizattan has indrrred some changes in the returns distnbulion. More importantly, the volairliry of s/ock returns ts lower posl-liberalizution.
The Quarterly Review of Economics and Finance, 1997
In January, I991, I/2e Taiwan stack market was pa&u'ly opened to direc! investment br foreign inv... more In January, I991, I/2e Taiwan stack market was pa&u'ly opened to direc! investment br foreign investors. This paper examines the stork price effeeds of this market liberalrtiion. We use the GARCH methadology to tnvesligab the rmpacl of stock-ma&l liberalarolion on the distn&utum of stock relums y&&d by !he Tatwan Weighied Index over the period, 1988-1994. Thp w&/c show that Taiwan's stock market liberalizattan has indrrred some changes in the returns distnbulion. More importantly, the volairliry of s/ock returns ts lower posl-liberalizution.
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