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首页> 外文期刊>The North American journal of economics and finance >The impact of China on stock returns and volatility in the Taiwan tourism industry
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The impact of China on stock returns and volatility in the Taiwan tourism industry

机译：中国对台湾旅游业的股票收益率和波动性的影响

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摘要

This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional uni-variate GARCH models are used to estimate the volatility in the stock indexes for large and small firms in Taiwan. Daily data from 30 November 2001 to 27 February 2013 are used, which covers the period of Cross-Straits tension between China and Taiwan. The full sample period is divided into two subsamples, namely prior to and after the policy reform that encouraged Chinese tourists to Taiwan. The empirical findings confirm that there have been important changes in the volatility size effects for firm performance, regardless of firm size and estimation period. Furthermore, the risk premium reveals insignificant estimates in both time periods, while asymmetric effects are found to exist only for large firms after the policy reform. The empirical findings should be useful for financial managers and policy analysts as it provides insight into the magnitude of the volatility size effects for firm performance, how it can vary with firm size, the impacts arising from the industry policy reform, and how firm size is related to financial risk management strategy.
机译：本文研究了台湾旅游业的股票收益和波动幅度对公司业绩的影响，特别是旅游政策改革所带来的影响，该政策允许中国大陆游客来台旅游。四个条件单变量GARCH模型用于估计台湾大小企业股票指数的波动性。使用2001年11月30日至2013年2月27日的每日数据，涵盖了中国和台湾之间的两岸紧张时期。整个抽样期间分为两个子样本，即在鼓励中国游客到台湾的政策改革之前和之后。实证结果证实，无论公司规模和估计时间长短，对公司业绩的波动率大小影响都有重要变化。此外，风险溢价显示了两个时期的估计都微不足道，而政策改革之后，发现仅对大公司存在不对称效应。经验性发现对于财务经理和政策分析师来说应该是有用的，因为它可以洞悉波动率大小对公司业绩的影响的大小，它如何随公司规模变化，行业政策改革产生的影响以及公司规模如何变化。与财务风险管理策略有关。

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