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This study investigates the impact of hot money on stock and exchange rate markets and the returns and volatility spillover between the stock and exchange rate market in China by using the monthly data covering the period from July 2005 to June 2013. This paper also uses the quantile approach to determine whether the hot money influences the stock and exchange rate markets. The results first reveal the long-run equilibrium relationship that is exhibited between the stock and exchange rate market. Second, hot money has an impact on the stock market but has no effect on the exchange rate market, according to the VECMBEKK model. Third, regarding the volatility spillover effects on the stock and exchange rate markets, there is a spillover effect on the Shanghai stock and exchange rate markets. Hot money has an impact on the stock and exchange rate markets. Finally, we apply the quantile regression to determine the impact of hot money on low quantiles of the exchange rate and high quantiles of the Shanghai and Shenzhen stock market. [ABSTRACT FROM AUTHOR]

This study examines whether herding exists among foreign institutional investors (FIIs), what is the cause of their herding, and whether both foreign and domestic institutional investors are more likely to follow their similar types in the Taiwan stock market. By testing the cross-sectional dependence for FIIs’ stocks in two adjacent months, we demonstrate that the FIIs’ cascades mainly result from their herding. We find little evidence that FIIs’ herding behavior is driven by habit investing. The momentum trading of FIIs is found to account for little of their herding. Moreover, investigative herding, rather than informational cascades is the main reason for FIIs’ herding. One of our contributions may be to find that FIIs’ cascades mainly resulting from their herding does not change in the bullish and bearish Taiwan stock market. This study further finds that FIIs and dealers are more likely to follow similar-type institutions than different-type institutions, respectively. [ABSTRACT FROM PUBLISHER]

Abstract: This study extends the univariate Weibull conditional autoregressive range (CARR) model to establish a bivariate Weibull CARR (BWCARR) model to investigate the range-based volatility spillover effect. The empirical results indicate that a conditional autoregressive range relationship exists on the US, Japan, mainland China, Hong Kong and Taiwan stock markets. The new BWCARR model is more credible and efficient than the CARR model. Moreover, the range-based volatility for the US and Japan has an impact on Taiwan, indicating that there exists a range-based global and regional stock market spillover effect that has an impact on the Taiwanese stock market. [Copyright &y& Elsevier]

The modern tendency of Japanese politics-economy interaction has affected emerging countries. This article examines the influence of the House of Representatives sessions on returns to Nikkei 225. The conventional linear regression can only describe the impact of averages on returns, but cannot completely present all the possible relationships between the two. In order to avoid the restrictions of the above mentioned method, this article performs quantile regression to analyze the influence of the House of Representatives sessions on the returns of Nikkei 225. Meanwhile, quantile regression provides a more complete description of analysis on relationships between stock market behavior and parliament effects. [ABSTRACT FROM AUTHOR]

Abstract: We develop a two-step methodology to facilitate an examination of the impact of oil shocks on stock returns. Oil price volatility is monitored in this study through the use of a regime-switching model, with the presence of jumps subsequently being taken into consideration to examine the asymmetric effects of oil prices on stock returns. Our analysis provides quite conclusive results based upon the use of a regime-switching model with consideration of jumps; that is, when there are significant fluctuations in oil prices (West Texas Intermediate; WTI), the resultant unexpected asymmetric price changes lead to negative impacts on S&P 500 returns. However, the same result does not hold in a regime of lower oil price fluctuations. We therefore suggest that the achievement of a well diversified portfolio should involve the consideration of oil price shocks, which, as a consequence, should also help to improve the accuracy of hedging against oil price risks. [ABSTRACT FROM AUTHOR]

This study investigates how foreign investors impact the Taiwanese stock market using the AutoRegressive Jump Intensity (ARJI) model proposed by Chan and Maheu (2002), in which stock volatility in Taiwan is classified as either normal or abnormal and the net purchases of foreign investors, together with the classified volatilities, are included in the bivariate Vector Autoregression (VAR) model for further analyses. The sample period comprises of two parts, namely before and after relaxation of the restrictions on Qualified Foreign Institutional Investor (QFII) investors on 2 October 2003 (pre- and post-QFII). The forecast error variance decompositions and impulse-response functions are obtained via simulating the VAR model. Our results indicate why previous studies, in which abnormal volatilities were not taken into account, confronted biased and inconsistent results. Biased results from previous studies tend to be caused by not differentiating between normal and abnormal volatilities, and the results of this study provide a valuable reference for efforts to end conflicting arguments for whether destabilizing or stabilizing stock markets of foreign investor transactions. Furthermore, the study results also indicate why Taiwan was less affected during the Asian financial crisis. [ABSTRACT FROM AUTHOR]

Abstract: Our study distinguishes itself from the prior studies within the oil and financial literature by not only examining the asymmetric effects of oil prices on stock returns, but also exploring the importance of structure changes in this dependency relationship. We retrieve daily data on S&P 500 and West Texas Intermediate (WTI) oil transactions covering the period from 1 January 1992 to 7 November 2006, and then transform the available data into daily returns. In contrast to the extant literature, in this study, consideration of expected, unexpected and negative unexpected oil price fluctuations is incorporated into the model of stock returns; we also focus on the ways in which oil price volatility, as opposed to general macroeconomic variables, can influence the stock market. We go on to implement the ARJI (Autoregressive Conditional Jump Intensity) model with structure changes, from which we conclude that high fluctuations in oil prices have asymmetric unexpected impacts on S&P 500 returns. [Copyright &y& Elsevier]

This article uses parametric and nonparametric Variance Ratio (VR) tests of Lo and Mackinlay (1988) and Wright (2000) to re-examine the weak-form Efficient Market Hypothesis (EMH) for the large- and small-capitalization stock indices of TOPIX (Tokyo Stock Price Index) and FTSE (Financial Times Stock Exchange). Unlike the previous studies, the multiple VR test of Chow and Denning (1993) is the first extended to the nonparametric VR test of Wright (2000) as suggested by Luger (2003). The empirical results show that the weak-form EMH is supported for large-cap stock indices, but rejected for small-cap ones. This conclusion is further confirmed by using a rolling multiple VR tests. [ABSTRACT FROM AUTHOR]

This study investigates whether foreign investors cause abnormal information by jump process in the Taiwanese stock market during before and after relaxation of the restrictions on QFII investors on 2 October 2003 (pre- and post-QFII). By conducting further analysis, this study conducts detailed analysis and explores how abnormal information and QFII behaviour are related by performing correlation and Granger causality analyses. This study concludes that the release of restrictions on QFII has been extremely helpful in improving the domestic investment environment and stabilizing the Taiwanese stock market. [ABSTRACT FROM AUTHOR]