||Impact of Deregulation of QFII on Stock Prices, Exchange Rates and Basis
||Department of Banking and Finance
The Qualified Foreign Institutional Investors
Smooth Transition AutoRegression Model
將此三部份的內容如下。第一部分研究在外資開放後，外資是否對台灣股市產生異常資訊。本研究利用ARJI (Autoregressive Jump Intensity)模型捕捉異常資訊，再解釋外資買賣超與異常資訊的相關性與因果關係。實證結果發現，解除外資投資限制有助於對國內穩定投資環境。第二部份本文利用雙變量跳躍模型來研究外資開放後，對於股匯市的正常資訊與異常資訊的傳遞影響。實證結果發現在外資開放後，股市與匯市存在顯著的正常與異常的共變數。在外資開放後正常資訊傳遞改變相互影響，而異常資訊的傳遞則為股市會影響匯市。因此，研究結果發現外資的開放會影響資訊傳遞效果。第三部份本文研究外資行為是否造成非線性的基差行為。實證結果發現邏輯式平滑移轉模型優於指數平滑移轉模型，本研究利用邏輯式平滑移轉的GARCH模型發現外資行為對基差存在著不對稱的影響，並發現有許多樣本落在平滑轉換函數，表示不存著不同的投資觀點，即支持異質性的投資者與套利者以及非同步交易行為。
||This dissertation focuses on how Qualified Foreign Institutional Investors (QFII) impacts the Taiwanese stock market, foreign exchange market and basis to comprise three parts. The first part is titled “Do Foreign Trading Patterns Cause Abnormal Information in Taiwanese Stock Market?”, the second part is titled “The Impact of QFII Deregulation on Transmission of Normal and Abnormal Information between the Stock Market and Foreign Exchange Market in Taiwan”, and the last pert is titled “The Impact of QFII Trading Behavior on the Smooth Transition of Nonlinear Basis in the TAIEX Index and Taiwan Index Futures”.
These three parts are briefly introduced below: The first part of the dissertation examines whether foreign investors cause abnormal information in the Taiwanese stock market before and after the relaxation of restrictions on QFII investors on October 2, 2003 (pre- and post- QFII deregulation). We further investigate the relationship between abnormal information and QFII behavior via correlation and Granger causality analyses. This dissertation concludes that the removal of restrictions on QFII has been extremely helpful in enhancing the domestic investment environment and stabilizing the Taiwanese stock market.
The second part of the dissertation adopts the Correlated Bivariate Poisson GARCH with jump and diffusion volatility spillover model to determine whether QFII deregulation in the Taiwanese stock markets influenced normal and abnormal information transmission between stock and exchange rate markets. Empirical results demonstrated that the diffusion and jump processes are significantly correlated and moreover displayed interactions with stock and exchange rate markets following QFII deregulation. Finally, normal information transmission changed bi-directionally across markets, and abnormal information supports the asset approach to exchange rate determination. Furthermore, empirical results suggest that information transmissions are influenced by the removal of investment restrictions.
The final part of the dissertation investigates whether QFII trading behavior caused a smooth transition of nonlinear basis in the TAIEX index and Taiwan index futures. Empirical results demonstrate that the logistic smooth transition model outperforms the exponential smooth transition model. This dissertation also employs the LSTAR-GARCH model to investigate the influence of QFII behavior on basis and finds that a large proportion of sample points decline in the smooth transition regime, implying different perspectives towards trading and differing investment objectives among QFII. These phenomena provide evidence of heterogeneous investors, arbitrageurs, and non-synchronous trading in the Taiwanese equity market.
||TABLE OF CONTENTS
ABSTRACT IN CHINESE ii
ABSTRACT IN ENGLISH iii
LIST OF TABLES vii
LIST OF FIGURES viii
1. Introduction 1
1.1 Motivations 1
1.2 Objectives 5
1.3 Flow Chart 7
2. Literature Review 8
2.1 Literature on Stock Market Liberalization 8
2.2 Literature on Transmissions between Stock and Foreign Exchange 12
2.3 Literature on Basis Behavior 15
3. Econometric Methodology 19
3.1 The Autoregressive Jump Intensity Model 19
3.2 The Correlated Bivariate Poisson GARCH Model 23
3.3 The Smooth Transition Autoregressive GARCH Model 27
4. Empirical Results and Analysis 31
4.1 Do Foreign Trading Patterns Cause Abnormal Information in Taiwan Stock
4.2 The Impact of the QFII Deregulation on Normal and Abnormal Information
Transmission between the Stock and Exchange Rate in Taiwan 37
4.3 The Impact of QFII Trading Behavior on Smooth Transition of Nonlinear
Basis in TAIEX Index and Taiwan Index Futures 43
5. Conclusions 50
Appendix: A Brief History of Liberalization 57
LIST OF TABLES
Table 4.1.1 Descriptive Statistics 32
Table 4.1.2 ARJI(1,1) Model 33
Table 4.1.3 Nonparametric Correlation Analysis 34
Table 4.1.4 Granger Causality Test 35
Table 4.2.1 Descriptive Statistics of Daily Return 37
Table 4.2.2 CBP-GARCH Model Estimation Results 39
Table 4.3.1 Descriptive Statistics of Basis and QFII 43
Table 4.3.2 Linear and Nonlinear Tests 45
Table 4.3.3 LSTAR vs. ESTAR Model Tests 45
Table 4.3.4 FBS of LSTAR-GARCH Model Results 46
LIST OF FIGURES
Figure 1. Flow Chart .7
Figure 2. Returns of TAIEX and FX during the Pre- and Post-QFII Periods 38
Figure 3. Logistic Smooth Transition Process of Basis Adjustment Caused by QFII
Trading Behavior 48
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