Has the Asian crisis changed the role of foreign investors in emerging equity markets: Taiwan's experience

摘要

This paper examines whether the 1997 Asian crisis changed the trading behaviors of foreign investors and of local institutional investors in Taiwan's stock market. There is little evidence that the Asian crisis changed the relationship between equity flows and market returns in Taiwan's stock market but there is evidence that volatility effects and volatility spillover were strengthened after the crisis. The general findings are (ⅰ) feedback trading arguments are much stronger than information arguments; (ⅱ) relationships between returns and sale changes are the weakest but volatility effects using sale measures are the strongest; (ⅲ) strong volatility effects and volatility spillover are found after the crisis; and (ⅳ) the results for domestic institutional investors are slightly stronger than those for foreign investors.