Analysis of the financial liberalization, Asian financial crisis, and the stock market in Taiwan: Evidence with an EGARCH model (China).

摘要

This study created a foundation for making future decisions related to liberalization policies and possible financial crisis. The study showed readers, investors, and financial institutions how the Taiwanese stock returns were influenced by the financial liberalization (1988) and the Asian financial crisis (1997--1998). Furthermore, this study showed readers, investors, and financial institutions which day or quarter is the steadiest and least steady, furthermore, when were the highest and lowest returns showed. The study helped the readers, investors, and financial institutions understand that under different economic backgrounds could have different conditional variances when uncertainty factors occurred. In addition, this study showed readers, investors, and financial institutions how to judge the impact of the positive shocks and negative shocks on the Taiwanese stock returns.; The AR(m)-EGARCH(p,q) model was used in this study. The results in this study indicated that the Taiwanese stock price returns were influenced by the financial liberalization and the Asian financial crisis, the volatility was higher and the return was less after the financial liberalization and the Asian financial crisis. During research period, the least steady day of the week was on Wednesday and the steadiest day of the week was on Monday. The least steady quarter was in the fourth quarter and the steadiest quarter was in the second quarter. In addition, the highest average return in a week was shown either on Saturday or on Friday and the lowest average return showed on Tuesday. The highest average return in a year was in the first quarter and the lowest average return was in the third quarter. Moreover, under different economic backgrounds, the volatility was no difference before the financial liberalization and the Asian financial crisis, but it was significantly different after these two factors.; The Taiwanese stock price returns had an asymmetric and leverage effect during the research period (1983--2003). The negative shocks always produced more volatility than the positive shocks in the Taiwanese stock market.; This study showed the investors and the financial institutions that uncertainty factors were the most significant factor to affect the investors' behavior.