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Languages : en
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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.
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Languages : en
Pages :
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Book Description
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.
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Languages : en
Pages :
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Author: 林詔瑩
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Languages : en
Pages : 31
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Languages : en
Pages :
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Author: Jung Ling Chang
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Category : Stock exchanges
Languages : en
Pages : 88
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Author: Da-Bai Shen
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Category : Stocks
Languages : en
Pages : 146
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Languages : en
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Author: Ralph C. Lu
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Languages : en
Pages : 29
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Easley, Hvidkjaer and O'Hara (2002) study the role of information-based trading in affecting U.S. asset returns. They find that information risk or the probability of information-based trading (PIN) is a determinant of the expected returns of NYSE listed stocks. In this paper, we investigate whether emerging financial markets also share similar findings. Specifically, we use transactions and quote data of Taiwan Stock Exchange to measure PIN. Cross-sectional asset pricing tests show that PIN is a significant pricing factor in Taiwan stock market. An increase of ten percentage point in PIN on average requires an additional of four to seven percent in annual stock returns.
Author: Ralph Lu
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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: 陳怡文
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Category :
Languages : en
Pages : 30
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