Abstract
Mainland China is the most important source of tourism for Taiwan in recent years. The purpose of this paper is to investigate the changes in the long-run demand for tourism in Taiwan by Mainland China. Using program trading and three different data sources, including the stock prices of Regent Taipei (2707), weighted index of the tourism sector (2700) and CSI ETF (0061), we find support for our hypotheses. That is, Taiwan’s tourism market does not fulfil the conditions of a strong-form efficient market hypothesis. Also, positive feedback trading does exit in Taiwan’s tourism market.
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