The Adjustment of Stock Prices to New Information on the Taiwan Stock Exchange PDF Download
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Author: Jung Ling Chang
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 88
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Book Description
Author: Jung Ling Chang
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 88
Get Book Here
Book Description
Author: Chi-Wei Su
Publisher: LAP Lambert Academic Publishing
ISBN: 9783838315256
Category :
Languages : en
Pages : 88
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Book Description
This study investigates the relationship between stock prices and dividends in Taiwan stock market during the June 1991 to February 2005 period. We employ linear, nonlinear and panel techniques which provide a much stronger test to examine the relationship between stock prices and dividends. Our results suggest that there is a long-run nonlinear relationship between stock prices and dividends. We found that present value model is more suitable with time-varying expected returns provides an empirically valid description of Taiwan stock price behavior in the long-run, while short-run deviations of actual stock prices from present value prices are driven by rational bubbles. Compared to conventional cointegration approach this technique produces more convincing evidence of the time series properties of the dividend and price, the momentum threshold autoregressive (MTAR) method is flexible enough to capture non-linear adjustment patterns and support the existence of stock price increases relative to fundamentals in Taiwan stock market.
Author: 洪敏豪
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: 賴俊銘
Publisher:
ISBN:
Category :
Languages : zh-CN
Pages : 176
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Author: Ralph Lu
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
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This study investigates the relationship between the news effect and the abnormal returns. The content analysis is applied to quantify the public news related to the listed stocks in the Taiwan Stock Market. By Referring to Demers and Vega (2011), this study constructs the net optimism of public news (SR) and considers the SR as the proxy variable of news effect. The study samples are the listed stocks in the Taiwan Stock Exchange for the period from January 2004 through December 2012. The portfolios are established by sorting the SR and the news effect is measured by the high portfolio SR minus the low portfolio SR. By following the methodology of Florackis, Gregoriou and Kostakis (2011), we estimate the abnormal returns of SR portfolios by using the asset pricing models that involve the single-factor model of Black, Jensen and Scholes (1972), three-factor model of Fama and French (1993) and the four-factor model of Carhart (1997). The empirical results show that there is a significant positive relationship between the net optimism of public news (SR) and the abnormal returns. The strategy of positive excess returns could be generated by buying stocks with high SR and shorting stocks with low SR. In addition, the two-stage regression analysis of Fama and MacBeth (1973) is applied to examine whether the news effect could explain the portfolios abnormal returns in the Taiwan Stock Market. The empirical results show that the news effect extracted from the public information could increase the explanatory of abnormal returns. The public news could explain the anomalies in the financial theories if it is investigated properly which is consistent to the findings of Vega (2006), Tetlock (2007), Tetlock, Saar-Tsechansky and Macskassy (2008) and Demers and Vega (2011).
Author: Jack J. W. Yang
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 262
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Author: Aktham Issa Maghyereh
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We reexamine the effects of price limits on the stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.
Author: Ren-He Wang
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 78
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This paper investigates the price impact cost for MSCI constituents on the Taiwan Stock Exchange (TSE) from Jan. 2001 to Dec. 2004. While the behavior of price impact cost in U.S. security markets has been extensively analyzed, there are few studies about it in the pure limit-order markets. Unlike Breen, Hodrick, and Korajczyk (2002), a panel data model is applied to fit our cross-sectional and time series data. We find that the price impact cost is well predicted by predetermined firm characteristics and exhibits a Ushaped pattern over the trading day. Furthermore, the evidence suggests that the reformations of trading regulations and the improvements of information disclosures would have a significant effect on the price impact cost for overall stocks.
Author:
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Category :
Languages : en
Pages :
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