This study examines whether nonlinear adjustment of short-term deviations impacts US real estate market returns by applying an exponential smooth transition threshold error-correction model with Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) (ESTECM-GARCH). Empirical results...

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,...

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...