To see the other types of publications on this topic, follow the link: Stock market behavior.
Dissertations / Theses on the topic 'Stock market behavior'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Stock market behavior.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Koh, Sung Soo. "The Korean stock market structure, behavior, and test of market efficiency /." Online version, 1989. http://ethos.bl.uk/OrderDetails.do?did=1&uin=uk.bl.ethos.352906.
Full text
2
FILHO, HERALDO PIMENTA BORGES. "STOCK MARKET BEHAVIOR PREDICTION USING FINANCIAL NEWS IN PORTUGUESE." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2014. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=25123@1.
Full textAbstract:
PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE EXCELENCIA ACADEMICA
Um conjunto de teorias financeiras, tais como a hipótese do mercado eficiente e a teoria do passeio aleatório, afirma ser impossível prever o futuro do mercado de ações baseado na informação atualmente disponível. Entretanto, pesquisas recentes têm provado o contrário ao constatar uma relação entre o conteúdo de uma notícia corrente e o comportamento de um ativo. Nosso objetivo é projetar e implementar um algoritmo de predição que utiliza notícias jornalísticas sobre empresas de capital aberto para prever o comportamento de ações na bolsa de valores. Utilizamos uma abordagem baseada em aprendizado de máquina para a tarefa de predição do comportamento de um ativo nas posições de alta, baixa ou neutra, utilizando informações quantitativas e qualitativas, como notícias sobre o mercado financeiro. Avaliamos o nosso sistema em um dataset com seis mil notícias e nossos experimentos apresentam uma acurácia de 68.57 porcento para a tarefa.
A set of financial theories, such as the eficient market hypothesis and the theory of random walk, says it is impossible to predict the future of the stock market based on currently available information. However, recent research has proven otherwise by finding a relationship between the content of a news and current behavior of an stock. Our goal is to develop and implement a prediction algorithm that uses financial news about joint-stock company to predict the stock s behavior on the stock exchange. We use an approach based on machine learning for the task of predicting the behavior of an stock in positions of up, down or neutral, using quantitative and qualitative information, such as financial. We evaluate our system on a dataset with six thousand news and our experiments indicate an accuracy of 68.57 percent for the task.
3
Monte, Brent M. "Chaos and the stock market." CSUSB ScholarWorks, 1994. https://scholarworks.lib.csusb.edu/etd-project/860.
Full text
4
Guo, Enyang. "An empirical examination of price behavior on the Hong Kong stock market." Diss., Virginia Tech, 1990. http://hdl.handle.net/10919/39803.
Full textAbstract:
This dissertation examines stock price behavior on the Hong Kong stock market in terms of normality of returns and the efficiency of that market. The results reveal that the Hong Kong stock market is efficient, although the degree of efficiency is somewhat different from what has been found for securities traded in the U.S. market. Moreover, it was found that as a small but active stock market, the Hong Kong market is sensitive and highly vulnerable to international events.
The study also analyzes the relationship among different national equity markets, i.e., the U.S., the U.K., Japan, and Hong Kong. The results show that a substantial amount of multi-lateral interaction is present among national equity markets. In addition, some common seasonal patterns of stock price movements appear across the different national markets, and innovation transmissions from market to market are significant and efficient. The study provides added support to the hypothesis of an integrated world financial market.Ph. D.
5
Nelson, Daniel B. "The time series behavior of stock market volatility and returns." Thesis, Massachusetts Institute of Technology, 1988. http://hdl.handle.net/1721.1/14363.
Full text
6
Pietarinen, J. (Juhani). "Overconfidence and investor trading behavior in the Finnish stock market." Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201404241308.
Full textAbstract:
Empirical studies have analyzed how investors trade and perform in the financial markets. The studies show that rational trading needs do not explain the excessive manner of trading shown by the investors. Theoretical models offer overconfidence as one of the explanations for irrational trading behavior. Overconfidence is a psychological trait, argued to cause the investors to misinterpret useful information, which leads to an increase in trading activity and hurts their performance.
In this study we analyze over 1.5 million Finnish trading records from the beginning of 1995 to the end of 2010. We evaluate the differences in trading behavior between males and females and with investors of diverse ages. We find that men trade securities more frequently and with higher turnover than females. Consistently with our reference studies we find that the level of turnover decreases as the investors age. We also analyze the profitability effects of trading by calculating raw returns and abnormal returns. The abnormal returns are adjusted with a passive benchmark portfolio. Earlier studies show that the more active trading of males reduces their abnormal returns. Our abnormal return ratios do not support this finding. However, we find consistently that the raw returns are higher for females than males. Females also hold portfolios with lower volatility than males. Finally, we find consistently with the models of overconfidence by Odean (1998b) and Gervais and Odean (2001) that the trading skill seems to get better with experience. Older investors receive higher raw returns and trade less, resulting in lower portfolio turnover. The transition in trading behavior may be an outcome of learning.
7
Tan, Lin Chiang Thomas C. "Empirical analysis of Chinese stock market behavior : evidence from dynamic correlations, herding behavior, and speed of adjustment /." Philadelphia, Pa. : Drexel University, 2005. http://dspace.library.drexel.edu/handle/1860/514.
Full text
8
Zhu, Jiang, and 朱江. "Stock market behavior in China: evidence fromrights issue and corporate restructuring." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B31246357.
Full text
9
Choi, Hyung-Suk. "Three essays on stock market seasonality." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/26597.
Full textAbstract:
Thesis (Ph.D)--Management, Georgia Institute of Technology, 2009.Committee Chair: Eun, Cheol; Committee Member: Jayaraman, Narayanan; Committee Member: Kilic, Rehim; Committee Member: Lee, Suzanne; Committee Member: Wang, Qinghai. Part of the SMARTech Electronic Thesis and Dissertation Collection.
10
Zhou, Ting Yu. "An examination of herd behavior in the Hong Kong stock market." Thesis, University of Macau, 2007. http://umaclib3.umac.mo/record=b1872933.
Full text
11
Anagho, Zillah, and Kenneth Tah. "THE EX-DIVIDEND DAY STOCK PRICE BEHAVIOR : FTSE 100 of the London Stock Exchange." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1229.
Full textAbstract:
In this thesis, we have analyzed the ex-dividend stock price behavior in the London Stock Exchange to see if the stock prices really drop by the same amount as the dividend on the ex-dividend day. Our sample data covers 80 FTSE100 companies of the London stock exchange for the period 2001 to 2006.
To answer the research question: Do returns on the London Stock Exchange act in accordance with the efficient market hypothesis on the ex-dividend day? We used a deductive approach and test four hypothesis. The study was carried out by comparing the actual value of the raw price ratio, market adjusted price ratio, raw price drop and market adjusted price drop to their theoretical values. The difference was tested for significance using the one sample t-test.
The results showed that there are significant differences in the observed figures from their theoretical or expected values. The observed raw price ratio is higher than the expected value of 1, implying that the stock price on the ex-dividend day drops by an amount that is lower than the dividend paid. Similarly, the market adjusted raw price ratio is also higher than the expected value of 1. The raw price drop and market adjusted price drop are lower than the dividend yield, indicating again that the stock price drops by an amount that is lower than the dividend paid.
Our results indicated that the null hypotheses stated are rejected since the drop in the stock prices is not equal to the amount of the dividend on the ex-dividend day.
12
Biswas, Joydeep. "Financial liberalisation and stock market behaviour : experiences of India and select Asian countries." Thesis, University of North Bengal, 2007. http://ir.nbu.ac.in/handle/123456789/239.
Full text
13
So, Man Shing. "The recent price behavior of the Hong Kong stock market, 1990-1993." Thesis, University of Macau, 1995. http://umaclib3.umac.mo/record=b1636772.
Full text
14
Chan, Chun Keung. "A study of index-futures arbitrage and the intraday behavior of the mispricings." HKBU Institutional Repository, 2003. http://repository.hkbu.edu.hk/etd_ra/510.
Full text
15
Islam, Md Amirul, Biplob Chowdhury, and Md Amirul Islam. "The behavior of stock price on ex-dividend day : A study on New York Stock Exchange and London Stock Exchange." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-44996.
Full textAbstract:
The main aim of this thesis is to analyze the behavior of stock price on ex-dividend day in London Stock Exchange and New York Stock Exchange and draw a conclusion about the market efficiency based. We collect 200 sample companies dividend, ex-dividend day and cum dividend day stock price to compare with NYSE composite index and FTSE 100 for London Stock Exchange. To answer the research question and specific purpose of our thesis we developed five null hypothesis based on raw price ratio (RPR), market-adjusted price ratio (MAPR), raw price drop ratio (RPD), market-adjusted price drop ratio (MAPD) and market-adjusted abnormal return (MAAR). We used t-statistic to find the mean differences between observed values and standard values. We also show multiple regression analysis to show the relationship between ex-dividend day stock price and dividend, cum-dividend day stock price. This thesis documented that same amount of stock price drop in 2008 New York Stock Exchange compare with dividend amount. In this case our null hypothesis accepted. On the other hand in London Stock Exchange shows higher drop of stock price than dividend amount in 2008 against the taxation rate rules of prior study. In 2007 both stock market shows the less drop of stock price than dividend amount. Therefore our null hypothesis rejected. We also documented that London Stock Exchange more volatile than New York Stock Exchange to consider the MAAR, tax rate and standard deviation. So we find significant evidence of market abnormal return which create an opportunity of market inefficiency and arbitrage opportunity for investors. So, our thesis output shows mixed evidence for London Stock Exchange and New York Stock Exchange.
16
De, Santis Massimiliano. "Time-varying risk premia, sources of macroeconomic risk, and aggregate stock market behavior /." For electronic version search Digital dissertations database. Restricted to UC campuses. Access is free to UC campus dissertations, 2005. http://uclibs.org/PID/11984.
Full text
17
Martin, Flores José Maria. "Non-Regulatory Incentives and Bank Behavior : the Stock-market, Taxes and Social Capital." Thesis, Paris 1, 2019. http://www.theses.fr/2019PA01E022.
Full textAbstract:
Dans le premier chapitre de cette thèse, nous étudions l’impact du marché boursier sur la résistance des banques en temps de crise. Comme pour les banques cotées, nous observons que les banques privées qui sont vulnérables dans une crise financière tendent à le rester dans la crise suivante. Toutefois, pour les banques privées, il existe également un groupe de banques résilientes à des chocs successifs. L’examen des banques devenant cotées révèle que les banques davantage exposées à des investisseurs de court terme tendent à accroître leurs risques. Les banques résilientes aux chocs quand elles étaient privées, deviennent alors plus vulnérables aux crises lorsqu’elles sont soumises à certaines pressions à court terme du marché. Dans le deuxième chapitre, nous examinons l’impact d’un changement fiscal visant à réduire le traitement fiscal déséquilibré entre capitaux propres et dettes en ce qui concerne la déductibilité de leurs coûts respectifs. Nous observons que la mise en place d’un tel changement fiscal induit une augmentation de fonds propres des banques. La suppression de cette mesure induit chez les banques un comportement inverse de réduction du capital. Dans le troisième chapitre, nous étudions comment le niveau de capital social (mesuré par l’adhésion aux normes civiques et la densité des réseaux sociaux) peut influer le comportement des banques. Nous mettons en évidence le fait que le capital social réduit la probabilité qu'une banque commette une fraude. Nous montrons également qu’une fois que la faute est révélée, les banques perdent davantage des parts de marché dans les zones géographiques caractérisées par des niveaux de capital social plus élevésIn the first chapter of this thesis, we study how stock-market forces determine the persistence of bank performance across crises. In this analysis, we observe that the persistence of business models that make banks more vulnerable across crises is not a specificity of publicly held banks but also applies to privately held institutions. However, for privately held banks, there is a group of banks that perform well across crises. This result suggests that stock-market listing may have adverse effects on the ability of banks to withstand crises well. To deepen this analysis, we look at banks that make a private-to-public transition between crises. Our results indicate that, after becoming publicly held, banks more subject to short-termist market pressures increase risk which makes top performer banks in one crisis more vulnerable to ubsequent shocks. In the second chapter, we study the effect of tax incentives on bank capital. We exploit a tax change that reduces significantly the unequal tax treatment between equity and debt with respect to interests and cost of equity deductibility and show that banks increase their equity ratios following this tax change. When this tax incentive is removed we observe a reduction of bank capital ratios. In the third chapter, we focus on bank misconduct. We document that social capital (defined as strength of civic norms and density of social networks where a bank is headquartered) is negatively related to the probability that a bank is involved in misconduct Moreover, we show that once misconduct is revealed, banks tend to lose greater percentages of deposits market-share in areas higher social capital areas
18
Werth, Luca Camilla. "Brazil’s 2014 presidential elections: the interconnection between election news and stock market behavior." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/15269.
Full textAbstract:
Submitted by Luca Werth (luca.camilla.werth@gmail.com) on 2016-02-13T14:21:02Z
No. of bitstreams: 1
Thesis_Luca_Werth_IMF_FGV.pdf: 13602681 bytes, checksum: 08724741af45a494cd2781c7b14906f7 (MD5)Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-02-15T11:43:25Z (GMT) No. of bitstreams: 1 Thesis_Luca_Werth_IMF_FGV.pdf: 13602681 bytes, checksum: 08724741af45a494cd2781c7b14906f7 (MD5)
Made available in DSpace on 2016-02-15T15:01:53Z (GMT). No. of bitstreams: 1 Thesis_Luca_Werth_IMF_FGV.pdf: 13602681 bytes, checksum: 08724741af45a494cd2781c7b14906f7 (MD5) Previous issue date: 2016-01-19
This study researches whether there has been abnormal stock market behaviour in Brazil as a consequence of election news (observed via opinion polls), regarding the last Brazilian presidential election, held in October 2014. Via applying event study methodology, the research on the Ibovespa and Petrobras suggests that events in which Rousseff was gaining in share have been subject to negative abnormal returns, and events where Rousseff was loosing in share have led to positive abnormal returns. Moreover, volatility has been significantly elevated during the election period and volume has been found to have slightly increased.
Este estudo investiga se houve comportamento anormal no mercado de ações no Brasil decorrente de notícias sobre as últimas eleições presidenciais brasileiras (através da utilização de sondagens), realizadas em outubro de 2014. Utilizando uma metodologia de estudos de evento (event studies), a investigação sobre o Ibovespa e a Petrobras sugere que, nos períodos em que Dilma melhorava a sua posição nas sondagens existiram retornos anormais negativos e, nos períodos em que Rousseff piorava a sua posição, existiram retornos anormais positivos. Além disso, a volatilidade foi bastante elevada durante o período eleitoral tendo o volume de transações aumentado ligeiramente.
19
Lehenkari, M. (Mirjam). "Essays on the effects of gains and losses on the trading behavior of individual investors in the Finnish stock market." Doctoral thesis, University of Oulu, 2009. http://urn.fi/urn:isbn:9789514290459.
Full textAbstract:
Abstract
The behavior of investors is often at odds with the assumptions of traditional finance theory. Research conducted over the past half-century or so abounds with examples in which the central axioms of traditional theory are systematically violated. One of the most well-established behavioral patterns in this context is the disproportionate tendency of investors to sell stocks that have appreciated in value since purchase (‘winners’) rather than stocks that have declined in value (‘losers’); this phenomenon is known as the disposition effect and most commonly attributed to Kahneman and Tversky’s (1979) prospect theory. The overall aim of this doctoral thesis is to investigate the robustness of this phenomenon, its underlying mechanisms, and its potential implications for individual investors.
The four independent but related essays of this thesis were designed to answer the following research questions: (1) Does the disposition effect ‘survive’ bear markets, in which investors may not be able to realize gains even if they wish to do so? (2) Is there any supporting evidence for prospect theory-based explanation of the disposition effect in the form of other observed behavior consistent with the theory? (3) Is prospect theory the most feasible explanation for the disposition effect? (4) What are the implications of the disposition effect from the point of view of individual investors?
Using comprehensive data covering virtually all trades executed in the Finnish stock market during 1995–2003, this thesis demonstrates the following: (1) As robust as the disposition effect appears to be in light of previous studies, the phenomenon is only partially detected in bear markets. (2) The relationship between prospect theoretic preferences and investor behavior is not easily generalizable to other behavioral patterns besides the disposition effect. (3) In fact, even the relationship between prospect theory and the disposition effect is not as strong as is generally believed. Our results instead suggest an explanation based on escalation of commitment, according to which the disposition effect is caused above all by self-justificatory concerns. (4) Finally, although the disposition effect is generally inconsistent with economic rationality, it does not appear to be detrimental to investment performance.
20
Johansson, Henrik, and Niklas Wilandh. "Trading volume : The behavior in information asymmetries." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-238.
Full textAbstract:
According to theory, trading volume decreases in information asymmetries, i.e. when there are differences in information. This is due to the fact that uninformed investors delay their trades when they are facing adverse selection. When the asymmetry is resolved there should be a corresponding increase in trading volume. Around earnings announcements (scheduled an-nouncements) this asymmetry is greater than normal, hence one can expect a decrease in trading volume. Around unexpected announcements such as acquisition announcement (unscheduled announcements) a total increase is instead expected because of an increase in trading by informed investors. All these effects are likely to be greater for smaller stocks.
The purpose of this thesis is to investigate the trading volume before- and after scheduled announcements and the trading volume before unscheduled announcements in order to investigate how informed- and uninformed investors behave in information asymmetries on Stockholmsbörsen.
The method is quantitative with secondary data from the Stockholm Stock exchange from 1998-2004. The method is the same as Chae (2005) uses with paired-samples t-tests. It tests whether the change in trading volume is different from a benchmark consisting of an average of the trading volume 30 days before the announcement.
We found a statistically significant decrease in trading volume in 6 of 10 days before a scheduled announcement and an increase also on 7 of 10 days after the announcement. For unscheduled announcements we found an increase before it was released but were not able to prove it statistically. We conclude that uninformed investors behave strategically before scheduled announcements in order to avoid adverse selection. We could not conclude that the effects are greater for smaller stocks.
21
Glushkov, Denys Vitalievich. "Two essays on market behavior." Thesis, 2006. http://hdl.handle.net/2152/2869.
Full text
22
Chang, Yang-Jui, and 張洋瑞. "Herd Behavior in Taiwan Stock Market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/84974411867660457090.
Full textAbstract:
碩士國立臺灣大學
經濟學研究所
99
Traditionally, economists hypothesize people, involving in economic activities, are of full rationality; however, as the rise of behavioral economics, scientists have found that human behaviors are between rationality and irrationality. In financial markets, randomly selected, a person makes decision of transactions by his own will, as conventional analyses said. Unfortunately, most of the time, more and more empirical evidence shows that people are influenced by other investors’ actions, and change their minds to herd others. This article is to investigate the herd behavior in the Taiwan stock market, using the daily data, from 2006 to 2009, sample size of 995, of the trading conditions of all kinds of investors, with Quandt-Andrews test, univariate and multivariate GARCH models, the VAR model, and Granger causality test. The major findings are as follows: First, no matter what kinds of investors are, they all herd themselves. Second, investors, except the foreign brokers, herd other types of investors.
23
Tu, Hsiao-chu, and 涂曉竹. "Herding Behavior in China Stock Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/53789709102615029600.
Full textAbstract:
碩士國立高雄第一科技大學
金融研究所
101
Due to the extension of market selectivity of investors and the rapid economic growth of China, the herding behaviors of investors may play an essential role in China stock market. According to the investigations of the degree of internationalization, openness of national policy and law limitation, we are able to analyze whether the herding behavior of the investors exist or not. The empirical result shows that SHZ300 market doesn’t exist herding while SHB does. Hence, the companies of SHZ300 market could exhibit higher liquidity, stability and information transparent. In contrasts, due to the lack of local information SHB market which consists of foreign investors would lead to herding behaviors. In addition to the mentioned goal above and globalization scene, we can examine the behavior changing effect as well on dramatically market fluctuation by considering the sub-prime mortgage in American and Euro debt crisis in 2008 and the end of 2009 respectively. As a result, being one of the dominant countries, the market are capable of preventing large fluctuation from crisis, either SHZ300 market or SHB market. Further, this study characterizes the herding behavior of investors and the finer difference between investors by means of quantile regression analysis.
24
Chih-Sheng, Lai, and 賴志昇. "Herding Behavior in China Stock Market." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/41791393531130075228.
Full textAbstract:
碩士嶺東科技大學
財務金融系碩士班
103
This paper studies the herding behavior in the Chinese A and Hong Kong H stock markets during extreme market condition and different financial crisis periods. The results indicate that the A-share market exhibit significant herding behavior, in particular, herding strongly exists in the down market. When the turnover and negative bias of market are the extremely low, the herding behavior of A-share market is no significantly changed, however, H-share market exists significant herding behavior. Both A-share and H-share markets have significantly herding behavior during the extreme high volatility period. Finally, the herding behavior in the Chinese A stock market became stronger in US subprime mortgage crisis, slowed down in European debt crisis, and had no significantly change in Chinese credit crunch period.
25
Chan, Chih-Chi, and 詹致齊. "Herding Behavior in Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/04945827348527850656.
Full text
26
"Ex-dividend behavior of stock price in Hong Kong market." Chinese University of Hong Kong, 1991. http://library.cuhk.edu.hk/record=b5886652.
Full textAbstract:
by Au Yuk Mui, Kitty, Lo King Yuen, Simon.Thesis (M.B.A.)--Chinese University of Hong Kong, 1991.
Includes bibliographical references.
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iii
ACKNOWLEDGEMENT --- p.v
Chapter CHAPTER I --- INTRODUCTION --- p.1
Hong Kong Stock-Market --- p.2
History of Hong Kong Stock Market --- p.2
Stock Indexes in Hong Kong --- p.4
Process in Granting Dividend to Investors --- p.6
Transaction Cost in Stock Trading --- p.7
Chapter CHAPTER II --- HYPOTHESES --- p.10
Chapter CHAPTER III --- LITERATURE REVIEW --- p.14
Review of Hong Kong Taxation System --- p.14
Literature Review --- p.16
Survey on the Shareownership --- p.22
Chapter CHAPTER IV --- METHODOLOGY --- p.26
Data Collection --- p.26
Stock price & Dividend --- p.26
Market Index --- p.28
Regression equation --- p.30
Chapter CHAPTER V --- STATISTICAL FINDING --- p.36
Practice of dividend payment --- p.36
Stock price drop vs Dividend --- p.40
Adjusted Ex-date Return vs Dividend Yield --- p.46
Multiple regression analysis on the CAPM equation for ex-date return --- p.60
Chapter CHAPTER VI --- LIMITATION --- p.73
Abnormal crisis --- p.73
Market Index --- p.74
Portfolio approach --- p.75
Transaction Cost --- p.76
Chapter CHAPTER VII --- CONCLUSION --- p.77
Chapter APPENDIX A --- "REGRESSION RESULT FOR RATE OF STOCK PRICE DROP AND DIVIDEND YIELD, IN ACCORDING TO THE DIVIDEND TYPE, WEEKDAY AND TIME LAPSE BETWEEN CUM-DATE AND EX-DATE" --- p.79
Chapter APPENDIX B --- "REGRESSION RESULT FOR ADJUSTED EX-DATE STOCK RETURN AND DIVIDEND YIELD, IN ACCORDING TO THE DIVIDEND TYPE, WEEKDAY AND TIME LAPSE BETWEEN CUM-DATE AND EX-DATE" --- p.80
Chapter APPENDIX C --- "RESULT OF MULTIPLE REGRESSION ANALYSIS FOR ADJUSTED EX-DATE STOCK RETURN AND DIVIDEND YIELD, ACCORDING TO THE DIVIDEND TYPE, WEEKDAY AND TIME LAPSE BETWEEN CUM-DATE AND EX-DATE" --- p.82
Chapter APPENDIX D --- THE IMPLIED RISK FREE RATE --- p.84
REFERENCES --- p.85
27
Peng, Kang-Lin, and 彭康麟. "Nonlinear Chaotic Behavior of Taiwanese Stock Market." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/b44fun.
Full textAbstract:
博士國立臺北大學
企業管理學系
92
Traditionally, market returns have been assumed to be consistent with the random walk hypothesis. However, explaining anomalies in market returns, such as seasonal effects, the weekend effect, and the January effect, is difficult. This study examined time series data on Taiwan Weighted Index returns from the perspective of chaos theory. A topological method, the close returns test and recurrence quantification analysis (RQA), were applied to test whether Taiwan stock market returns exhibited chaotic behavior. The main findings of this study are that close returns test outperformed the traditional BDS (Brock, Dechert, Scheinkman) test and that Taiwan stock market returns exhibit recursive behavior rather than random walk behavior. Furthermore, RQA outperformed the close returns test by its detail of the chaotic behavior and its prediction ability. The RQA predictive model can explain the major variance of Taiwanese stock market. More noteworthy is the critical implication of endogenous information set of chaotic behavior in financial markets.
28
Su, Jhih-Sin, and 蘇志欣. "The Herding Behavior in Taiwan Stock Market." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/72991567293118480673.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
100
This study investigats the impact of herd behavior for the Taiwan stock market. We choose two types of traders’(institutional and individual investors) behavior as proxies of herding behavior on individual stocks, and design the indicator as measure of individual stocks'' herding behavior. In addition, we discusse the relation between herding behavior and individual stocks. The major findings are as follows:(1) Many individual stocks exist herding behavior in Taiwan stock market. (2) However, Use institutional aspect as a proxy of herding. In the long term or short term, the relation with herding and stock return is U shape linear. If we use individual aspect as a proxy of herding, herding are negatively correlate with individual stocks'' return (3) When institutional aspect as a proxy of herding, we can find that herding are negatively correlate with individual stocks'' volatility, no matter in the long term or short term. When use individual to aspect a proxy of herding, that herding are negatively correlate with individual stocks'' volatility in the short term, but the result is opposites when in the long term. (4) When use institutional to aspect a proxy of herding. The individual stocks'' return and volatility all impact herding behavior when lags are 1 and 2 both. When use individual to aspect a proxy of herding, then the return and volatility are both impact herding behavior when lag 2.
29
Tze-Wei, Fu, and 傅澤偉. "Stock Price Behavior under Price Limits:Evidences From the Taiwan Stock Market." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/96425297841636228937.
Full textAbstract:
博士國立臺灣科技大學
企業管理系
89
Whether the stock market follows the efficient market hypothesis is an important topic. It is an interesting topic to test whether Taiwan stock market, constrained by price limits, follows the efficient market hypothesis. If the stock price hits up-limits or down-limits, the impact of information on stock prices will be truncated and this truncated information value will be delayed to the next trading day. Moreover, investors tend to overreact to new information. If so, the truncated impact of new information will contain the overreaction effect. The null hypothesis is that the stock price follows the efficient market hypothesis. In contrast, the alternative hypothesis, or the overreaction hypothesis, is that investors overreact to new information. This dissertation examines the two hypotheses by separating the abnormal return into two components, the overnight abnormal return and the trading period abnormal return, to analyze the stock price behavior under price limits. The overnight abnormal return is used to measure the extent of price continuation. The trading period abnormal return is used to measure the degree of price overreaction. Under the overreaction hypothesis, the overnight abnormal return should be positively related to the event day return, and the trading period abnormal return should be negatively related to the event day return. Other topics tested in this research include the magnet effect and the price behavior under different price ranges. This dissertation employs daily return data from the Taiwan Stock Exchange and uses two different sample periods to test the magnet effect. The findings are as follows: (1)The overreaction effect exists in the Taiwan stock market. After controlling factors such as the ask-bid spread, company size ,and the benchmark models, the stock price continues its trend during the overnight period and reverses during the next trading period. Thus the price limits delay both the price continuation and the overreaction to the next trading day. (2)The price behavior of different price ranges is very similar to the price behavior of up-hits and down-hits. (3)The magnet effect does not exist.
30
"Risk aversion and determinants of stock market behavior." Sloan School of Management, Massachusetts Institute of Technology, 1986. http://hdl.handle.net/1721.1/2146.
Full text
31
Lin, Wen-Chien, and 林文健. "Evidence of Predictable Behavior of Stock Returns in the Chinese Stock Market." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/t2az99.
Full textAbstract:
碩士朝陽科技大學
財務金融系碩士班
91
Since China is the most important emerging market in the world, shares listed in Shanghai and Shenzhen stock exchanges are examined in this study. By using the time series model of ARMA(p,q) incorporates GARCH(s,m), the lead and lag relationships between share returns and turnover ratios are found, and then investment strategies is formed. It is intended to see whether the investment rewards based on these strategies can beat the buy-and-hold returns on the very next day, before and after transaction cost. The two-step procedure is then rolled forward one day, as well as many days into the future. Results show that the investment returns are capable of beating the market at the level of index futures, but not in the level of single shares after transaction cost. Plausible reasons are that the trading costs for index futures are cheaper than for single shares spot. The Asia financial crisis occurred during the study period which made shares become too volatile to predicted. And since China is still on the stage of developing, the markets may work inefficiently in comparison with the markets of world major countries.
32
Wu, Ting-Yi, and 吳訂宜. "Evidence of Predictable Behavior of Stock Returns in the Taiwan Stock Market." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/14118958620294710050.
Full textAbstract:
碩士朝陽科技大學
財務金融系碩士班
90
Abstract This thesis uses the two-step procedure as Fama and MacBeth (1973). In the first step, the methodology of vector autoregression (VAR) is adopted to explore the lead and lag relationships among stock returns, trading volume, margin purchases, short sales and transactions of foreign investors. According to the relationships found, stock return forecasting models are formed, and investment strategies are developed. The in the second step, investment strategies formed in the first step are preformed after transaction costs are introduced, to see whether they are capable of outperforming the buy-and-hold strategy for the next day. The two-step procedure is rolled forward one day and many days after. That is, the experiment design of this thesis is on an ex-ante basis or out-sample forecast. Findings are follows. (1) The investment strategies beat the market at the portfolio level (including the market index and sector indices). (2) At the single share level, the strategies beat the market on margin, but cannot beat the market without margin trades. (3) Stock returns are predictable.
33
Wu, Pei-Yi, and 吳姵誼. "The Feedback Trading Behavior for Stock Market Investors under Different Market Structures." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/89492138462141593041.
Full textAbstract:
碩士東海大學
財務金融學系
97
This paper uses GJR-GARCH model to develop the investment behavior structure of stock markets investors. Specifically, we hope to test whether investors tend to have positive feedback trading behavior in stock markets with different structures. Empirical results show that stock investors have negative feedback trading behavior in Taiwan, Hong Kong, Korea, and the investors in Taiwan are the most negative. In the other side, we consider the threshold value to the feedback model, and found that investors incline to behave positive feedback trading with volatility rises and low stock returns. Additionally, in the crash periods , we also found that investors tend to have positive feedback trading in Hong Kong and Korea stock markets. Finally, this paper also takes up-down asymmetry into considerations. We found that investors in the four stock markets all have positive feedback trading, and investors have stronger positive feedback trading behavior with volatility rises.
34
Lu, Hsin-ying, and 呂昕穎. "Margin Netting Behavior Analysis Under Different Market Conditions in Taiwan Stock Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/00077312655194644988.
Full textAbstract:
碩士國立臺灣科技大學
財務金融研究所
101
In Taiwan stock market, day trading is so called “Margin Netting”. This study focus on the day traders’behavior under different market situations form April, 2008 to Auguest, 2010. Also, there are some information asymmetry factors discussed in this study. While using the difference between effective spread and realized spread to measure information asymmetry, this study analysis investors doing margin netting under different market conditions while information asymmetry exists. In the findings, which show that when there was financial crisis in 2008, stocks being heavily day traded also with high information asymmetry; when market went up and unchanged, the heavily day traded stocks were with low information asymmetry. Also, we can find that the heavily day-traded stocks were those with high price volatility, high turnover rate, high institutional ownership, and with more analysts following. In the final part of this study, we apply standardized unexpected earnings and cumulative abnormal returns to analysis the pattern of heavily day-traded stocks. It turns out that investors can choose the companies which have positive and highest standardized unexpected earnings, forming the portfolio by buying stocks with low day-traded and selling heavily day traded stocks, keeping this portfolio about one to two months, thus would generate positive returns. The scale of margin netting in Taiwan is quite small than other countries, from this study, investors can refer to it and form their own portfolio , or, use margin netting as an indicator to measure information asymmetry content about the companies. For Financial Supervisory Commision, this study can be refered to using different regulations on margin netting when markets under different conditions, thus making Taiwan stock market to be well-developed in the near future.
35
Chiu, Jun-Mauo, and 邱敬貿. "A Study on the intraday pattern of market depth and stock price behavior of Taiwan Stock Market." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/53664901221843092273.
Full textAbstract:
碩士東海大學
企業管理學系碩士班
94
A Study on the intraday pattern of market depth and stock price behavior of Taiwan Stock Market ABSTRACT This paper examines the intraday pattern of market depth, and the relation between the market depth, bid-ask spread, and order imbalance. First we use Brockman model and Kyle model to investigate the intraday pattern of market depth. Second, we study the relation between the market depth, bid-ask spread, and order imbalance. Last, the thesis investigates the sensitivity analysis of intraday pattern of market depth. We focus on the Taiwan Stock Exchange between July 2004 to December 2004. The empirical result show as follows: (1). the intraday pattern of market depth follow a reversed U shaped pattern. The results cause market closure theory and adverse selection theory. (2). the intraday pattern of bid-ask spread and order imbalance are both U shaped that the result cause information asymmetry and market closure theory. (3). we use correlation coefficient and GMM to investigate the relation between the market depth, bid-ask spread, and order imbalance. We find the same result that the spread have the negative impact on market depth and order imbalance have positive impact on spread, and the market depth are minimized when order are imbalanced. (4) the sensitivity analysis of intraday pattern of market depth that we find the market depth of Monday is lower on the week, and the market depth of Thursday and Friday are higher on the week; the big size firm have higher market depth than small size firm, and big size group have more significant reversed U shaped; the market depth of financial industry are higher than electronic and other company. The significant factor may be the financial firms have higher size; Low BE/ME firms have higher market depth, and high BE/ME firms have more significant reversed U shaped. Key word: market depth, bid-ask spread, order imbalance, intraday pattern, generalized method of moment-GMM
36
Tan, Lin. "Empirical analysis of Chinese stock market behavior evidence from dynamic correlations, herding behavior, and speed of adjustment /." 2005. http://catalog.hathitrust.org/api/volumes/oclc/70871874.html.
Full text
37
Yi-Yun, Shih, and 施依芸. "A study in investing behavior in TWN's stock market." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/13344046076082177099.
Full textAbstract:
碩士輔仁大學
應用統計學研究所
93
Due to the fast growth of the stock market, the stock becomes a kind of topic goods. So I want to understand the investitive behavior. The purpose of the study is to understand whether investor have different preferences when they choose stocks and what information they dependent when they choose the stocks. The study finds that the life style of investors has been discriminated into two groups, “life of fashion Group”, and “life of law Group” based on the behavior of investors’ life. “Disperse the risk and use the money useful” and “Gain the more profit” are the main factors which influence whether investors will invest stocks or not. The “life of law group” sees tax avoidance as the important consideration of stock investment more than “life of fashion Group”. When investors buy stocks, they will consider the growth in the future as priorities and the favorite is high growth. The situation of share stock dividend in the past is next and the fluctuation of stocks is the last. In the information of investment, “The past experience of business transactions” and “The technologic index” are the investors more dependence on. The “life of fashion Group” uses the information in the net as the important information of stock investment more than “life of law group”.
38
Wu, Ang-Syuan, and 吳昂璇. "A study of herding behavior in U.S. stock market." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/01918911294101763814.
Full textAbstract:
碩士國立高雄第一科技大學
金融系碩士班理財組
104
This paper aims to explore the herding behavior of investors in the US after a financial tsunami. We adopted Standard and Poor''s (S&P) financial index as the research object and the CSAD method proposed by Chang et al. to test investors'' herding behavior. The results indicate that there has been no herding behavior taking place in the US stock market. Because the method of minimum squares can only result in one mean number, the method is unable to provide more-in-depth results, such as variances under different quartiles. Therefore, this study goes one step further to add the number of quantile regressions into outcomes arising from an analysis of the statistical dispersion of returns demonstrated in S&P. The goal is to examine the various types of investor behavior to understand the different dispersion situations observed in S&P. The empirical result shows no herding behavior has ever been observed under different quantile. This is able to suggest that by using the methods of minimum squares and quantile regression, no herding behavior has ever been observed in the US stock market. This is because the US stock market is a mature market and the monitoring and supervising systems are strictly observed in the US stock market. In addition, the information disclosure level is quite high. Therefore, it is difficult to produce investor herding behavior in the US stock market.
39
Oliveira, Nuno Miguel da Rocha. "Mining social media sentiment to forecast stock market behavior." Doctoral thesis, 2017. http://hdl.handle.net/1822/58341.
Full textAbstract:
Tese de Doutoramento (Tecnologias e Sistemas de Informação)This thesis proposes a novel and fast procedure for creating stock market lexicons based on statistical measures applied over a vast set of labeled messages from a stock market microblog (StockTwits). Using StockTwits, we show that the new lexicons are competitive for measuring investor sentiment when compared with six popular lexicons. This thesis also presents a robust methodology to assess the value of microblogging data to forecast stock market variables: returns, volatility and trading volume of diverse indices and portfolios. The methodology uses sentiment and attention indicators extracted from microblogs. Such indicators were obtained using a large Twitter data set and the proposed financial microblog lexicon. The methodology also includes the usage of survey indices, several forms to aggregate sentiment indicators, a Kalman Filter to merge microblog and survey sources, a realistic rolling windows evaluation, several Machine Learning methods and the Diebold-Mariano test to validate if the sentiment and attention based predictions are valuable when compared with an autoregressive baseline. Experimental results show that Twitter sentiment and posting volume were relevant for forecasting the returns of the S&P 500 index, portfolios of lower market capitalization and some industries. Additionally, Kalman Filter sentiment was informative for the forecasting of returns. Moreover, Twitter and Kalman Filter sentiment indicators were useful for the prediction of some survey sentiment indicators. These results confirm the utility of microblogging data for financial decision support systems, allowing the prediction of stock market behavior and providing a valuable alternative for existing survey measures with advantages (e.g., fast and cheap creation, daily frequency).
Esta tese propõe um novo e rápido procedimento para criar recursos léxicos para mercados financeiros baseado em medidas estatísticas aplicadas num vasto conjunto de mensagens classificadas de um microblog para mercados financeiros (StockTwits). Utilizando StockTwits, demonstrou-se que os novos recursos léxicos são competitivos quando comparados com seis léxicos populares. Esta tese apresenta ainda uma metodologia robusta para avaliar o valor de dados de microblogging para prever variáveis de mercados financeiros: rendibilidades, volatilidade e volume de transação de diversos índices e portefólios. A metodologia usa indicadores de sentimento e atenção extraídos de microblogs. Estes indicadores foram obtidos aplicando dados do Twitter e o recurso léxico financeiro proposto. A metodologia também inclui o uso de índices de surveys, várias formas de agregar os indicadores de sentimento, Kalman Filter para combinar dados de microblogs e surveys, uma avaliação realista de janelas deslizantes, diversos métodos de Machine Learning e o teste Diebold-Mariano para validar as previsões em comparação com um modelo auto-regressivo. Os resultados experimentais mostram que o sentimento e o numero de mensagens do Twitter são relevantes para a previsão das rendibilidades do index S&P 500, portefólios de menor capitalização e algumas industrias. Adicionalmente, o sentimento extraído pelo Kalman Filter foi informativo para a previsão de rendibilidades. Além disso, os indicadores de sentimento do Twitter e do Kalman Filter foram uteis para prever alguns valores de sentimento de surveys. Estes resultados confirmam a utilidade dos dados de microblogging para sistemas financeiros de apoio à decisão, permitindo prever o comportamento dos mercados financeiros e fornecendo uma alternativa para medidas de survey existentes com vantagens adicionais (e.g., criação rápida e económica).
40
Ku, Chi-Hung, and 辜琦紘. "Day trader behavior and performance-U.S stock market evidence." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/27840792566666440251.
Full textAbstract:
碩士國立高雄第一科技大學
財務管理所
98
Behavioral Finance in the field of so many scholars began to study the cause of the main reasons is that, without a criterion able to fully predict or measure of human behavior, so the financial markets has injected more variables, which is the main motive for promoting cost study. In this study, under the theory of Behavioral Finance, trying to personal qualities as the main input variables in order to explore when the impulse from the U.S. stock market performance, the impact of traders. Hope that the findings by a successful trader of personal qualities. The results found that (1) The dealer will be a result of overconfidence and disposition effect, which will affect earnings. (2) if traders believe their own views, resulting in bias of the assertive, for the inevitable return profoundly affected the tendency to excessive self-confidence. (3) The early traders to sell stocks to make money, and the reluctant sellers lose money in the stock of behavior patterns, known as the disposition effect. Traders in order to avoid regret, would tend to continue to hold money-losing stocks, while the realization of capital gains of the winner portfolio. Most traders want to avoid making the wrong decision brings remorse and the consequent responsibility, tend to continue to hold the loss, while the realization of profits. (4) dealers engaged in buying and selling stocks cycle phenomenon, not easy to estimate in advance when the turning point, but once the turning point, traders rapid response, make a profit. Therefore, control the flow characteristics for the short-term and long-term extremes meet the return of both the number of features, actually engaged in when the red staff required to repair the deep issues.
41
TsaiKun-Chih and 蔡冠鋕. "Gender, Overconfidence and Investment Behavior in Taiwan Stock Market." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/68249571852747024212.
Full textAbstract:
碩士崑山科技大學
企業管理研究所
95
Literature shows that investors exhibit overconfidence, disposition and tend to momentum trading. DHS model shows that investors overconfidence trading will result in short-term return momentum and long-term reversal. Therefore, we posit that overconfidence investors can profit from momentum trading. The main purpose of this article is trying to understand the association between overconfidence investors, disposition effect, momentum trading strategy and investors gender. Investors from central Taiwan are surveyed and we have found that: (1) male investors outperform female investors in stock market. We also find that male investors are more overconfidence than female investors. (2) the empirical results show that 90% of the overconfidence investors can profit from momentum strategy. (3) overconfidence investors with the disposition effect also have positive returns which is inconsistent with earlier literature. We attribute this findings to the bullish stock market.
42
Chu, Yi-Huei, and 朱憶惠. "Research in the herding behavior of Taiwan’s stock market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/55381089415772230359.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士班
98
In the late 1960s and early 1970s, Eugene Fama''s efficient market hypothesis asserts the price of securities can be sufficiently and immediately responded by all available information. Therefore, investors cannot defeat the market continuously to obtain excess profits. In the actual trading market, prices not always reflect all the information efficiently and the information which investors held could be behind the time. And when new information is launched, prices cannot respond right away (There is a change extent under the trading market in Taiwan.) Under this kind of trading environment, the insider can obtain excess profits because of the high-exposure to the private information. Due to the different information held by institutional investors and individual investors, there are differences between their behaviors of investment. However, owing to the restriction on information gathering and research method, it is unable to compare the differences in behavior of herding between institutional investors and individual investors. In stock trading market nowadays, since the individual investors’ trading volume accounts for 70% of the whole market, in this study, we compare the herding behavior between institutional investors and investors of whole market. In this study, we analyze the trading information of 1,308 companies in the trading market from Jan. 2005 to Dec. 2009 and discuss if Foreign Investment Institution, Domestic Institution, and Dealer have herding behavior. This study focuses on the fluctuation interval of stock price and discusses the herding behavior between the investors of whole stock market and institutional investors. We then study the interactive relationship between the institutional investors’ herding behavior and the return of TAIEX as well as that among Foreign Investment Institution, Domestic Institution, and Dealer. The study result shows the herding behavior of whole market is obvious when the market under both acute decline and rise. This study defines the fluctuation according to the sequence of change extent. We found when TAIEX is under severe fluctuation, the herding behavior of the investors of whole market is more obvious than that of institutional investors. Also, when the market is under the decline tendency, the investors’ herding behavior is more obvious that it is under the rise tendency.
43
Häfner, David. "Market Efficiency, Behavior and Information Asymmetry: Empirical Evidence from Cryptocurrency and Stock Markets." Phd thesis, 2021. https://tuprints.ulb.tu-darmstadt.de/17495/1/Dissertation_David_Haefner_final.pdf.
Full textAbstract:
This dissertation is dedicated to the analysis of three superordinate economic principles in varying market environments: market efficiency, the behavior of market participants and information asymmetry.
Sustainability and social responsibility have gained importance as investment criteria in recent years. However, responsible investing can lead to conflicting goals with respect to utility-maximizing behavior and portfolio diversification in efficient markets. Conducting a meta-analysis, this thesis presents evidence that positive (non-monetary) side effects of responsible investing can overcome this burden. Next, the impact of the EU-wide regulation of investment research on the interplay between information asymmetry, idiosyncratic risk, liquidity and the role of financial analysts in stock markets is investigated. An empirical analysis of the emerging primary and secondary market for cryptocurrencies yields further insights about the effects of information asymmetry between investors, issuers and traders. The efficient allocation of resources is dependent on the market microstructure, the behavior of market participants, as well as exogenous shocks. Against this background, this thesis is dedicated to the empirical analysis of limit order books, the rationality of traders and the impact of COVID-19. Due to its young history, the market for cryptocurrencies yields a suitable research subject to test classical financial theories. This doctoral thesis reveals parallels between the microstructure of cryptocurrency and stock markets and uncovers some previously unknown statistical properties of the cryptocurrency market microstructure. An initial examination of the impact of COVID-19 further shows that cryptocurrencies with a high market capitalization seem to react to macroeconomic shocks similar to stock markets.
This cumulative dissertation comprises six stand-alone papers, of which three papers have already been published.
44
Wang, Teng-Yuan, and 王登元. "The Research on Relationship among Institutional Investors' Behavior, Stock Market and Future Market." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/48585602738256065386.
Full textAbstract:
碩士輔仁大學
科技管理學程碩士在職專班
100
A Study on the Relationship between Investment Behaviors of the Three Major Institutional Investors and Stock and Futures Market in Taiwan This study discusses the relationship between investment behaviors of the 3 institutional investors (foreign investors, mutual fund, security dealers) and the stock market and the futures market, revealing the effects on the ups and downs of the stock market in Taiwan. Previous researches focus on the trading behaviors of the 3 major institutional investors in the stock market while TAIFEX futures is taken into account in this study. As for the collected data, net buy and sell amount in stock market, open interest of futures market, ups and downs in stock market, and price on settlement date of TAIFEX futures are utilized to disclose the interrelations of foreign investors, mutual fund, security dealers’ manipulations of stock market and futures market. The following conclusions are acquired via the empirical study: 1. Stock market highs and lows can be seen from net buy and sell of the 3 major institutional investors and stock market ups and downs. Peaks and troughs of the wave in the stock market can be detected from the relationship between stock market’s ups and downs and foreign investors’ net buy and sell. However, the trading behavior of mutual fund only reflects peaks of the wave; that of security dealers barely unveils peaks of the wave. 2. The results show foreign investors detect a better reference in trading at long only and short only of TAIFEX futures, but such reference isn’t such distinguishing in the cases of mutual fund and security dealers.
45
楊世芳. "Ex-dividened (right) day behavior of stock prices:an empirical study of Taiwan stock market." Thesis, 1988. http://ndltd.ncl.edu.tw/handle/45067527706722973521.
Full text
46
Teh, Lillyn L. "Investor trading behavior and stock market returns an empirical analysis /." 1993. http://catalog.hathitrust.org/api/volumes/oclc/31255202.html.
Full text
47
Chen, Ying-Ju, and 陳映如. "Herding Behavior in Taiwan Stock Market—Analysis on Different Characteristics." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/xdk8x3.
Full textAbstract:
碩士國立中興大學
財務金融系所
99
From the point of view on price, we use CSAD (Cross-Sectional Absolute Dispersion) method proposed by Chang, Cheng and Khorana (2000) to examine that under different characteristics, if there''s any herding behavior in Taiwan stock market. In addition, from the point of view on volume, we want to know whether there are different degrees of buy/sell herding among three institutional investors. The empirical results show that the Fama-French three factor model explains stock return with limited ability. We use the residual of three factor model to calculate idiosyncratic volatility as described in Ang, Hodrick, Xing, and Zhang (2006), and we find that there are different degrees of buy/sell herding with different idiosyncratic volatility among three institutional investors. Besides, Taiwan stock market exist significant herding behavior. Different degrees of factors and industries have different significant impacts on three institutional investors’ herding behavior. And it exists asymmetric effect in Taiwan stock market.
48
Lin, Jui Tang, and 林瑞堂. "The Trading Behavior of Foreign Investors in Taiwan Stock Market." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/26497987572772769779.
Full textAbstract:
碩士輔仁大學
經濟學研究所
88
Because of the number of foreign investors increasing year by year in Taiwan, we can find that sock markets are affected much, especially some new markets. As this situation, it is important for us to know the role how the foreign investors play in Taiwan’s stock market. We use Taiwan stock market data, and the empirical result shows that foreign investors cause the movement of stock price in different open degree depends on the different measure methods and timing choice, and the effects in transaction are not better than domestic investors , and also no contrary.
49
Chen, Chih-hung, and 陳志宏. "An Empirical Study on Herd Behavior in Taiwan Stock Market." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/5j2p72.
Full text
50
Hsu, Tien-shin, and 許恬忻. "Study of Stock Market Analysis Television Programs and Viewer Behavior." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/72369675575863657128.
Full textAbstract:
碩士國立政治大學
傳播學院碩士在職專班
95
This analysis will 1) examine the current format for Stock Market Analysis Television Programs, the program content, the program hosts types, and the host speaking styles. 2) Examine program viewer behavior, based on viewer ratings, audience profile, and the role that these programs play in the daily lives of its viewers. 3) Ascertain the key elements of these programs and provide recommendations based on conclusions reached through cumulative analysis of such television programs and the behavior of their viewers. Based on text analysis, in-depth interviews, and second-hand data, viewers appear to have clear utilitarian motivations for watching these television programs, they are active listeners, and their primary objective is to profit on their stock market investments. Program design should take into consideration the following elements: 1) Viewer Demographics: even proportion of male and female viewers, higher age-bracket, highly educated, living primarily in Northern Taiwan, high household incomes, strong demand for new information, split on whether such programs provide educational value. 2) The Nature of the Domestic Stock Market: information changes quickly, factors affecting the rise and fall of stock prices are many, professional market insight and analysis is needed. Stock Market Analysis Television Programs, which are quite different from other television programs, fall into one of two main types: Investment Consulting Company-produced Analysis Programs, Real-time Market Data and Analysis Programs, with very little variation between competing programs in each category. The former generally relies on a string of new program hosts in an attempt to maintain viewer interest. There are currently only four of the latter type of program currently running with only two of them showing even mild success. This report will recommend that producers of such programs should offer more in-depth content so as to better attract and maintain viewers. Competing programs should also distinguish themselves from one another by offering different types of data and analysis content, and different levels of educational content in their programs.