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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/6117

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6117

Title:	On the Effect of Stock Stabilization Fund: A Case of Taiwan
Authors:	Liu, Yu-Jane 劉玉珍
Keywords:	Stock stabilization fund;Mainland China`s military exercise;Morgan-Stanley event;ARIMA models;Intervention analysis;Outlier adjustment
Date:	2002
Issue Date:	2008-11-05 17:00:25 (UTC+8)
Abstract:	The purpose of this paper is to investigate the effect of Taiwan`s stock stabilization fund on the stock market. Stabilization funds have long been used by many countries to achieve the goal of market stabilization. However, the actual impacts of the funds still remain a puzzle. This is the first paper that empirically examines the effect of the stabilization fund on the stock market. Taiwan`s stock stabilization fund, which was inaugurated in February 1996 after the panic selling induced by the announcement of military exercise by mainland China, provides an experimental environment for investigating whether this alternative mechanism is effective in stabilizing the stock price when the market is in panic. By intervention analysis, we find that in the short run, the stabilization fund is statistically significant in preventing the market price from further declining after the announcement of the mainland China`s military exercise. This evidence still holds after controlling the effects of the following two events: Morgan-Stanley`s announcement to include Taiwan stock index into its worldwide equity market indices, and the event of U.S. aircraft carrier sent to Taiwan Strait to secure this area during the period of military exercise by mainland China.
Relation:	Review of Pacific Basin Financial Markets and Policies, 1, 93-109
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1142/S0219091502000687
DOI:	10.1142/S0219091502000687
Appears in Collections:	[財務管理學系] 期刊論文

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