The Impacts of Political Events on Foreign Institutional Investors and Stock Returns: Emerging Market Evidence from Taiwan
24 Pages Posted: 1 Apr 2005
Abstract
This study investigates the possible impact of various political events on Taiwan's stock performance. When market-adjusted techniques are applied, seemingly Taiwan's stock market often reacts to the occurrences of political incidents with a significant abnormal price performance. Nevertheless, after employing an MVRM framework that accounts for market risk differences across firms and for distributional tendencies in daily returns, we find that price reactions to most of the political events are rather insignificant, implying those events be largely uninformative with only a few exceptions. The abnormal return behaviors are also frequently comparable between firms with small - and large foreign institutional ownerships. Some considerable volatility shifts in portfolio returns, however, are observed after specific events occur.
Keywords: Political risk, QFII, emerging markets, event studies
JEL Classification: F21, F30, G15
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Why is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan
By Jun-koo Kang and René M. Stulz
-
By Gur Huberman
-
Home Bias and the High Turnover
By Linda L. Tesar and Ingrid M. Werner
-
The Determinants of Cross-Border Equity Flows
By Richard Portes and Hélène Rey
-
Corporate Governance and the Home Bias
By Lee Pinkowitz, Rohan Williamson, ...
-
The Determinants of Cross-Border Equity Flows
By Richard Portes and Hélène Rey
-
The Portfolio Flows of International Investors, I
By Kenneth Froot, Paul G.j. O'connell, ...
-
The Information Content of International Portfolio Flows
By Kenneth Froot and Tarun Ramadorai
-
The Information Content of International Portfolio Flows
By Kenneth Froot and Tarun Ramadorai