How to Invest Safely in Emerging Markets during the Global Financial Crisis: A Case Study of Taiwan

How to Invest Safely in Emerging Markets during the Global Financial Crisis: A Case Study of Taiwan

Yu-Wei Lan

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Dan Lin

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Lu Lin

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Takming University of Science and Technology

How to Invest Safely in Emerging Markets during the Global Financial Crisis: A Case Study of Taiwan

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Abstract

Following the globalization of financial markets, Taiwan opened up for security lending in July 2007 to attract Qualified Foreign Institutional Investors (QFIIs) to participate in Taiwan’s equity markets. Based on the security lending data, this paper uses systematic trading and generalized autoregressive conditional heteroscedasticity model (EGARCH) to investigate the volatility of returns in Taiwan futures market. The evidence suggests that during the financial crisis, the leverage effect has declined due to the involvement of QFIIs in security lending. The Taiwan futures market has become more stabilized. Secondly, including the security lending data, we find that the leverage effect is the Granger cause of short selling by QFIIs. Finally, the Multi Charts program trading experimental results show that QFIIs are informed traders and the investment performance can be improved with the information of security lending.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Yu-Wei Lan. 2014. \u201cHow to Invest Safely in Emerging Markets during the Global Financial Crisis: A Case Study of Taiwan\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 14 (GJMBR Volume 14 Issue C4): .

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GJMBR Volume 14 Issue C4
Pg. 29- 41

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

EGARCH granger causality program trading security lending short selling

Submission ReceivedDecember 15, 2013
Peer Review Double Blind
Handling Editor
Accepted January 5, 2014
Published January 15, 2014

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September 4, 2014

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Article Matrices

Total Score: 143

Country: Taiwan

Subject: Global Journal of Management and Business Research - C: Finance

Authors: Yu-Wei Lan, Dan Lin, Lu Lin (PhD/Dr. count: 0)

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Publish Date: 2014 09, Thu

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