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Mean‐reverting and Asymmetric Volatility Switching Properties of Stock Price Index, Exchange Rate and Foreign Capital in Taiwan

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  • Hsiang‐Hsi Liu
  • Teng‐Tsai Tu

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  • Hsiang‐Hsi Liu & Teng‐Tsai Tu, 2011. "Mean‐reverting and Asymmetric Volatility Switching Properties of Stock Price Index, Exchange Rate and Foreign Capital in Taiwan," Asian Economic Journal, East Asian Economic Association, vol. 25(4), pages 375-395, December.
    • Handle: RePEc:bla:asiaec:v:25:y:2011:i:4:p:375-395
    DOI: j.1467-8381.2011.02069.x
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    Cited by:

    1. Mohsen Bahmani-Oskooee & Sujata Saha, 2019. "On the effects of policy uncertainty on stock prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 764-778, October.
    2. Sikhosana, Ayanda & Aye, Goodness C., 2018. "Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa," Economic Analysis and Policy, Elsevier, vol. 60(C), pages 1-8.
    3. Yutaka Kurihara & Shinichiro Maeda, 2019. "Do Volatility Indexes and Historical Volatility Influence Stock Prices? The Japanese Case," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(6), pages 1-6.

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