International Journal of Business and Economics Volume 1, No. 1 April​, 2002

Market Opening and Stock Market Behavior: Taiwan's Experience

Qi Li

Department of Economics, Texas A&M University, U.S.A. and Department of Economics, Tsinghua University, P.R.C.

Abstract

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.

Keywords：market opening, volatility, market efficiency.

JEL Classifications：G14.

BACK