Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Person: pch286 
Author-Workplace-Name: Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan
Author-Name: Hui-Kuang Hsu
Author-Workplace-Name: Department of Finance and Banking National Pingtung Institute of Commerce, Taiwan
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Title: The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
Abstract: 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 univariate 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.
Keywords: Tourism, Firm size, Stock returns, Conditional volatility models, Volatility size effects, Asymmetry, 
	Tourism policy reform.
Note: For financial support, the first author is most grateful to the National Science Council, Taiwan, and the 
	third author wishes to acknowledge the Australian Research Council and the National Science Council, Taiwan.
Length: 35 pages 
Creation-Date: 2013 
Revision-Date: 2013-08 
Number: 2013-30 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1330.txt
File-URL: https://eprints.ucm.es/id/eprint/22714/1/1330.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1330