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| Volume 1,
No. 1, April
2002 |
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Market Opening and Stock Market Behavior:
Taiwan's Experience |
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| Qi
Li
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Department
of Economics, Texas A&M University, U.S.A.
and
Department
of Economics, Tsinghua University, P.R.C. |
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| Abstract |
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| This
paper studies the impact of market opening on stock market
behavior. Taiwan opened its stock market in January 1, 1991. Using
stock market data from Taiwan for both before and after the
opening event, we found that while there is no significant changes
in the stock mean returns, volatility is significantly reduced
three months after Taiwan opened its stock market. As a result,
the market efficiency, as measured by the Sharpe ratio,
significantly increases three months after the opening event.
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Key words:
market opening; volatility; market efficiency |
| JEL
classification: G14 |
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