Dissertations / Theses on the topic 'Stock market price variations'
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Yeoh, Daniel Ghee Chong, and danielyeoh@cimb com my. "An Empirical Examination of Physical Asset Expenditure Announcements in Australia: Growth Opportunities, Free Cash Flow and Capital Market Monitoring." The Australian National University. Commerce, 2001. http://thesis.anu.edu.au./public/adt-ANU20010702.160428.
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This thesis examines the stock market price variations associated with physical asset expenditure announcements in Australia. With the exception of the study of Chen and Ho (1997) in Singapore, most capital expenditure studies in other markets investigate the announcement effects associated with changes in budgeted capital expenditures. The fact that there is almost never any firm level capital budget announcement in Australia presents a unique opportunity to examine individual physical asset expenditure announcements.
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Three primary hypotheses pertaining to growth opportunities, free cash flow theory, and the capital market monitoring argument are developed and tested. These arguments are formulated to explain the abnormal return variations associated with physical asset expenditure announcements. The growth opportunities hypothesis posits that the abnormal returns at physical asset expenditure announcements are positively related to a firm's growth opportunities. Both free cash flow theory and capital market monitoring hypothesis postulate that the abnormal returns at physical asset expenditure announcements are negatively related to a firm's free cash flow, and cash flow respectively. Other control explanators are incorporated from the merger and takeovers literature.
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Event study methodology is used to examine the abnormal returns associated with physical asset expenditure announcements. Two sets of data, intraday and daily, are used to investigate the market reaction. Intraday returns are calculated on a time-weighted approach and two methods are used to calculate intraday abnormal returns. The first method defines abnormal returns as the difference between actual returns and market returns. The second method defines abnormal returns as the difference between market-adjusted returns and market-adjusted returns on a control portfolio. Daily abnormal returns are calculated using the market model.
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Both univariate and multivariate analyses provide strong support for the growth opportunities hypothesis. The results suggest the quality of firms' growth opportunities is the key variable determining the direction and magnitude of the abnormal returns at announcement. Support for the capital monitoring argument and the free cash flow theory is mixed, generally with a lack of support. The free cash flow variable is found to be significantly negatively related to abnormal returns, only when a finer dummy is used in the multivariate regression. All other control variables are found to be insignificant in explaining the stock market variations once the growth opportunities variable is included in the regression.
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This thesis makes the following contributions. First, this thesis presents the initial empirical evidence concerning physical asset expenditure announcements in Australia. Second, the thesis shows that the quality of a firm's growth opportunities is the key factor in determining the direction and magnitude of abnormal returns around physical asset expenditure announcements. These results also suggest that the equity market in Australia reacts to physical asset expenditure announcements which contain information pertaining to growth opportunities rather than the relative size of the physical asset expenditure transactions to firm value. Third, support for the capital monitoring argument and the free cash flow theory is not strong. Fourth, all other control variables are found to be insignificant in explaining the stock market variations once market to book ratio is included in the regression. Fifth, the results suggest that prior research which fails to segregate market to book ratio and free cash flow proxy into finer partitions may have possibly underestimated the market to book and the free cash flow effects.
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Liu, Yuna. "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations." Doctoral thesis, Umeå universitet, Nationalekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-119873.
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This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market. In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. In Paper [II] we study whether the creation of a uniform Nordic and Baltic stock trading platform has affected weak-form information efficiency. The results indicate that the stock market consolidations have had a positive effect on the information efficiency and turnover for an average firm. The merger effects are, however, asymmetrically distributed in the sense that relatively large (small) firms located on relatively large (small) markets experience an improved (reduced) information efficiency and turnover. Although the results indicate that changes in the level of investor attention (measured by turnover) may explain part of the changes in information efficiency, they also lend support to the hypothesis that merger effects may partially be driven by changes in the composition of informed versus uninformed investors following a stock. Paper [III] analyzes whether the measured level of trust in different countries can explain bilateral stock market correlations. One finding is that generalized trust among nations is a robust predictor for stock market correlations. Another is that the trust effect is larger for countries which are close to each other. This indicates that distance mitigates the trust effect. Finally, we confirm the effect of trust upon stock market correlations, by using particular trust data (bilateral trust between country A and country B) as an alternative measurement of trust. In Paper [IV] we present the impact of the stock market mergers that took place in the Nordic countries during 2000 – 2007 on the probabilities for stock price jumps, i.e. for relatively extreme price movements. The main finding is that stock market mergers, on average, reduce the likelihood of observing stock price jumps. The effects are asymmetric in the sense that the probability of sudden price jumps is reduced for large and medium size firms whereas the effect is ambiguous for small size firms. The results also indicate that the market risk has been reduced after the stock market consolidations took place.
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Jeong, Heon Mok. "Stock price reversals : market microstructure and intraday price movements." Connect to resource, 1993. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1266069236.
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Nairac, Jean-Michel. "Stock price fragility in an emerging market." Master's thesis, University of Cape Town, 2013. http://hdl.handle.net/11427/10728.
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Includes bibliographical references.This research project examines stock price fragility, a measure developed by Greenwood and Thesmar (2011), which serves as a proxy for non-fundamental risk i.e. it aims to isolate the drivers of stock price volatility beyond traditional fundamental drivers, in particular examining the impact of concentrated stock ownership and correlated liquidity shocks on price volatility. Here, the measure is applied to the South African financial market. Subject to data complications, it is nevertheless shown that stock price fragility is a significant predictor of total return volatility owing to the ownership structure of South African funds, even when controlling for endogeneity, autocorrelation and heteroskedasticity in the model.
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Tang, Leilei. "International market issues in Shanghai stock price behaviour." Thesis, University of Southampton, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.364728.
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Hou, Jianwei. "Price variations in online auctions : evidence from a thick market /." Full text available from ProQuest UM Digital Dissertations, 2006. http://0-proquest.umi.com.umiss.lib.olemiss.edu/pqdweb?index=0&did=1410676371&SrchMode=1&sid=3&Fmt=2&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1218562039&clientId=22256.
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Liang, Jing. "Market segmentation and dual-listed stock price premium - an empirical investigation of the Chinese stock market." Thesis, University of St Andrews, 2009. http://hdl.handle.net/10023/894.
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This thesis comprises, firstly, a careful and detailed description of the institutional workings of the Chinese stock market; secondly, a literature review of the Chinese segmented markets and dual-listed shares price premium; and thirdly, three evidence-based contributions designed to cast new light on the Chinese A-shares premium puzzle. Publicly-listed firms in China, under certain criteria, can issue two different types of shares, namely A-shares and B-shares, to local and foreign investors respectively. These shares carry the same rights and obligations, but are however priced differently due to market segmentation. After a review of the literature on determinants of the premium, the first contribution offers a complementary explanation. I propose that the premium reflects the difference in valuation preferences between the local and foreign investors, i.e., local investors pay more attention to stock liquidity, while foreign investors pay more attention to firm’s intrinsic value, and so firms having more favorable fundamentals tend to have lower premia. The second contribution involves the examination of a controversial question that which investor group is better informed about local assets, by testing the direction of information flows between the A- and B-shares markets. Both time series methods, and panel data techniques which are used for the first time in this context, are employed, in order to get a distinct and more insightful picture against the current literature. The third contribution compares and contrasts institutional settings of China, Singapore and Thailand which have similar market segmentation and dual-listing systems; examines whether or not the premia in the three countries are caused by same factors; and tries to answer why foreign investors in China pay less, rather than more, as commonly observed in other segmented markets, for identical assets. It provides the first cross-country comparison evidence after 1999 with updated data.
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Putniņš, Tālis J. "Closing price manipulation and the integrity of stock exchanges." University of Sydney, 2010. http://hdl.handle.net/2123/5925.
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Doctor of Philosophy (PhD)Allegations of market manipulation abound in the popular press, particularly during the recent financial turmoil. However, many aspects of manipulation are poorly understood. The purpose of this thesis is to enhance our understanding of market manipulation by providing empirical evidence on the prevalence, effects and determinants of closing price manipulation. The first issue examined in this thesis is the prevalence of closing price manipulation. This thesis uses a hand collected sample of prosecuted closing price manipulation cases from US and Canadian stock exchanges, and methods that explicitly model the incomplete and non-random detection of manipulation. The results suggest that approximately 1.1% of closing prices are manipulated. For every prosecuted closing price manipulation there are approximately 300 instances of manipulation that remain undetected or not prosecuted. Closing price manipulation is more prevalent on larger exchanges than smaller ones, but is detected at a higher rate on small exchanges. Second, this thesis examines the effects of closing price manipulation. Using a sample of prosecution cases, this thesis finds that closing price manipulation is associated with large day-end returns, subsequent return reversals, increases in day-end spreads and increases in day-end trading activity. At the broader level of market quality, this thesis provides evidence from a laboratory experiment that closing price manipulation decreases both price accuracy and liquidity. Even the mere possibility of manipulation decreases liquidity and increases trading costs. The third issue analysed in this thesis is the determinants of closing price manipulation and its detection. Estimating an empirical model of manipulation and detection, this thesis finds that the likelihood of closing price manipulation is increased by smaller regulatory budgets, greater information asymmetry, mid to low levels of liquidity, month-end days and lower volatility. Manipulation is more likely to be detected when regulatory budgets are larger and when the manipulation causes abnormal trading characteristics. Further evidence from laboratory experiments suggests that regulation helps restore price accuracy by deterring some manipulation and making remaining manipulation less aggressive. These experiments also show that regulation has an insignificant effect on liquidity because participants in regulated markets still face relatively high uncertainty about the presence of manipulators. This thesis also examines how closing price manipulation is conducted and how other market participants respond. It develops an index of closing price manipulation that can be used to study manipulation in markets or time periods in which prosecution data are not available. It also provides a tool for the detection of manipulation, which can be used by regulators in automated surveillance systems. Finally, this thesis has implications for economic efficiency and policy. Closing price manipulation is significantly more prevalent than the number of prosecution cases suggests. Further, it harms both pricing accuracy and liquidity and therefore undermines economic efficiency. The prevalence of closing price manipulation can be reduced by increasing regulatory budgets, improving the accuracy of market surveillance systems by using the detection tools developed in this thesis, structuring markets such that participants are better able to identify manipulation, and implementing closing mechanisms that are difficult to manipulate. These actions would enhance market integrity and economic efficiency.
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Yan, Pui-hung Victor, and 忻培雄. "Relation between earnings and price: Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B31268419.
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Yan, Pui-hung Victor. "Relation between earnings and price : Hong Kong stock market /." Hong Kong : University of Hong Kong, 1997. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18836331.
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Dappiti, Ramana Reddy, and Mohan Krishna Thalluri. "Brownian Dynamic Simulation to Predict the Stock Market Price." Thesis, Blekinge Tekniska Högskola, Sektionen för datavetenskap och kommunikation, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-2627.
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Stock Prices have been modeled using a variety of techniques such as neural networks, simple regression based models and so on with limited accuracy. We attempt to use Random Walk method to model movements of stock prices with modifications to account for market sentiment. A simulator has been developed as part of the work to experiment with actual NASDAQ100 stock data and check how the actual stock values compare with the predictions. In cases of short and medium term prediction (1-3 months), the predicted prices are close to the actual values, while for longer term (1 year), the predictions begin to diverge. The Random Walk method has been compared with linear regression, average and last known value across four periods and has that the Random Walk method is no better that the conventional methods as at 95% confidence there is no significant difference between the conventional methods and Random Walk model.Prediction of stock markets has been the research interest of many scientists around the world. Speculators who wish to make a “quick buck” as well as economists who wish to predict crashes, anyone in the financial industry has an interest in predicting what stock prices are likely to be. Clearly, there is no model which can accurately predict stock prices; else markets would be absolutely perfect! However, the problem is pertinent and any improvement in the accuracy of prediction improves the state of financial markets today. This forms the broad motivation of our study.
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Choi, Hyung-Suk. "Three essays on stock market seasonality." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/26597.
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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.
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Råsbrant, Jonas. "The price impact of open market share repurchases." KTH, Entreprenörskap och Innovation, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-122239.
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This paper examines the stock performance around initiation announcements of open market share repurchase programs, the price impact of repurchase trading and the long-run abnormal stock performance following the initiation announcements in a European regulatory framework. The study uses a unique dataset on initiation announcements and actual repurchases conducted by firms listed on the Stockholm Stock Exchange during the period 2000-2009. The results show that initiation announcements of open market repurchase programs exhibit a two-day abnormal return of approximately 2%. The price impact on the actual repurchase days is positively correlated with the daily repurchase volume, and is both statistically and economically significant during the first 3 repurchase days in a repurchase program. The long-run abnormal stock performance is positively associated with the fraction of shares bought in the program and is approximately 7% the first year following the initiation announcement. The results indicate that repurchase trading provides price support and that the market participants detect and perceive the initiation announcement and the first repurchase days in a repurchase program as a signal of undervaluation.QC 20130515
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Karlsson, Christopher, and Renteln Alexander von. "Stock price volatility and dividend policy: The German stock exchange." Thesis, Jönköping University, IHH, Nationalekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-53018.
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The objective of this research is to analyse if there is a negative relationship between dividend policy and stock price volatility in the German stock market. The data that was collected for this research consists of the 30 biggest companies listed on the German stock exchange Deutscher Aktienindex known as DAX 30 for the period 2000-2020. Fixed effect model estimated by panel data was applied to find the results of this research. The findings showed that the main variables of dividend policy (dividend yield and payout ratio) were negatively significant correlated with stock price volatility which provides evidence for our hypothesis. The results showed that the control variable earnings volatility had a positive significant relationship with stock price volatility. However, asset growth resulted in an insignificant relationship but the rest of the control variables such as leverage, market value and free float percentage showed a significant negative relationship with stock price volatility.
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Mikhailitchenko, Serguei, and na. "The Australian Housing Market: Price Dynamics and Capital Stock Growth." Griffith University. Department of Accounting, Finance and Economics, 2008. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20100729.074134.
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This study was motivated by the desire to contribute to the understanding of the movement of house prices and the role of the so-called economic fundamentals in the housing market, especially within an Australian context. The core objective of this thesis is to aid understanding of the economic and other mechanisms by which the Australian housing market operates. We do this by constructing an analytical framework, or model, that encompasses the most important characteristics of the housing market. This thesis examines two important aspects of the Australian housing market: movements of house prices and changes in the net capital stock of dwellings in Australia. Movements of house prices are modelled from two perspectives: firstly, using the fundamental approach, which explains the phenomena by changes in such fundamental explanatory variables as income, interest rates, population and prices of building materials, and secondly, by analysing spatial interdependence of house prices in Australian capital cities. Changes in stock of dwellings were also modelled on the basis of a fundamental approach by states and for Australia as a whole...
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Yam, Chan-yin Rua, and 任燦賢. "Earnings/price ratio anomaly of the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1988. http://hub.hku.hk/bib/B31264190.
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Hansen, Patrik, and Sandi Vojcic. "Stock Market Forecasting Using SVM With Price and News Analysis." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-293854.
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Many machine learning approaches have been usedfor financial forecasting to estimate stock trends in the future. Thefocus of this project is to implement a Support Vector Machinewith price and news analysis for companies within the technologysector as inputs to predict if the price of the stock is going torise or fall in the coming days and to observe the impact on theprediction accuracy by adding news to the technical analysis.The price analysis is compiled of 9 different financial indicatorsused to indicate changes in price, and the news analysis uses thebag-of-words method to rate headlines as positive or negative.There is a slight indication of the news improving the resultsif the validation data is randomly sampled the testing accuracyincreases. When testing on the last fifth of the data of eachcompany, there was only a small difference in the results whenadding news to the calculation and such no clear correlation canbe seen. The resulting program has a mean and median testingaccuracy over 50 % for almost all settings. Complications whenusing SVM for the purpose of price forecasting in the stockmarket is also discussed.Många metoder för maskininlärning har använts i syfte av finansiell prognos för att uppskatta aktie trender i framtiden. Fokus för detta projekt är att implementera en Support Vector Machine med pris- och nyhetsanalys för företag inom teknologisektorn som inmatning för att förutsäga om priset på aktien kommer att öka eller minska under de kommande dagarna och för att observera påverkan på förutsägelsens noggrannhet av att lägga till nyheter till den tekniska analysen. Prisanalysen består av 9 olika finansiella indikatorer som används för att indikera prisändringar, och nyhetsanalysen använder metoden bag-of-word för att betygsätta rubriker som positiva eller negativa. Det finns en liten indikation på att nyheterna förbättrar resultat där om valideringsdata stickas ur slumpmässigt provningsnoggrannheten ökar. När man testade den sista femte delen av inmatningsdatan från varje företag, fanns det bara en liten skillnad i resultaten när nyheterna beräknades vilket leder till att en tydlig korrelation kan inte ses. Det resulterande programmet har en genomsnittlig och median test nogrannhet över 50 % för nästan alla inställningar. Komplikationer när SVM används för prisprognoser på aktiemarknaden diskuteras också.
Kandidatexjobb i elektroteknik 2020, KTH, Stockholm
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Law, Ka-chung, and 羅家聰. "A comparison of volatility predictions in the HK stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B30163535.
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Tyandela, Luvo. "The construction of All SADC stock market indices." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52499.
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Thesis (MBA)--Stellenbosch University, 2001.This thesis presents a study on : (1) The construction of the SADC All Stock Market Indices, namely the SADIX (SADC Index Including South Africa) and the SADEX (SADC Index Excluding South Africa), which will serve as performance benchmarks for the region, and as indices for tracking the performance of the region excluding the JSE (2) Comparative analysis of the SADC bourses returns (3) Correlation Analysis between the SADC countries The SADC All Stock Market Indices, SADIX & SAD EX are market value, capitalization-weighted indices in which all components are weighted according to the total market value of their outstanding shares. They comprise all equity securities listed on the SADC region excluding Tanzania. Both series are calculated in local currencies and converted to US dollar terms, using end-af-week data with a base value of 1,000 as at 3rd September 1999. The dissertation presents a discussion on the regionalization of the African stock exchanges and how they this will impact the low liquidity levels which is endemic to most of the African Stock Exchanges. The results obtained indicate a significantly high correlation between the individual country indices with the SADe All Stock market Indices. Furthermore, observations are that the SADe stock exchanges show similar reactions to news flow and economic shocks. However, there are negative correlations, which will offer investors a fundamental basis for a diversification strategy in the region. Finally, the thesis concludes that despite the perception that African stock markets are in chaos, there are lucrative SADe markets, smaller in terms of size and market capitalization that will provide good returns.
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Martin, Stephen D. "Aspects of expectations, investment and price changes." Thesis, University of York, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.238695.
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Hamilton, Gustaf, and Sean Winstanley. "How the Price of Crude Oil Affects the Swedish Stock Market." Thesis, Jönköping University, JIBS, Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-825.
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In late summer 2006 we experienced historically high oil prices, and due to this event we found it appropriate to investigate what influence oil price changes has on the Swedish stock market. The purpose with our research was to see the affect that oil price changes has on the Swedish economy, and if the influence of the oil price is still as strong as it used to be. To help us draw conclusions we have applied the Arbitrage Pricing Theory. With use of statistical analysis we have been able to examine the relation between oil prices and other macroeconomic variables, and how these affect the Affärsvärlden Generalindex. Our results show that oil has a significant influence, our regression analysis show that a 1 unit increase in the oil price results in a 0.08 unit decrease in Affärsvärldens Generalindex. Our study has also given us indications that the oil price effect on the Swedish economy has decreased since the mid 1980´s. We can also draw conclusions that since the 1970´s, society has moved from heavy oil dependency towards a more diversified usage of energy sources. The results for Sweden are in line with the influence of oil has on other world economies.
Under sensommaren 2006 erfarde vi historiskt höga oljepriser. Med denna händelse som grund fann vi det relevant att undersöka oljans påverkan på den svenska ekonomin. Syftet med denna uppsats var att se hur skillnader i oljepriset påverkar Sveriges ekonomi och om oljan fortfarande har en lika stark påverkan som tidigare. Som verktyg för att påvisa detta har vi använt oss av ”Arbitrage Pricing Theory”. Med hjälp av statistisk analys har vi kunnat se påverkan av oljeprisfluktuationer och andra makroekonomiska variablers påverkan på ekonomin. Affärsvärldens Generalindex har använts som definition av ekonomin. Våra resultat visar att oljan har en signifikant påverkan på svensk ekonomi, en 1 enheters uppgång av oljepriset resulterar i en minskning med 0,08 enheter på Affärsvärldens Generalindex. Vår studie ger även indikationer att oljeprisets påverkan har minskat sedan mitten av 1980-talet. Vi kan också utläsa att samhället har skiftat från ett tungt oljeberoende i energiförbrukning mot mer diversifierade typer av energikällor, detta sedan 1970-talet. Resultaten visar även att Sveriges relation till olja är i linje med andra världsekonomier.
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"Margin variations in support vector regression for the stock market prediction." 2003. http://library.cuhk.edu.hk/record=b5891624.
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Yang, Haiqin.Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.
Includes bibliographical references (leaves 98-109).
Abstracts in English and Chinese.
Abstract --- p.ii
Acknowledgement --- p.v
Chapter 1 --- Introduction --- p.1
Chapter 1.1 --- Time Series Prediction and Its Problems --- p.1
Chapter 1.2 --- Major Contributions --- p.2
Chapter 1.3 --- Thesis Organization --- p.3
Chapter 1.4 --- Notation --- p.4
Chapter 2 --- Literature Review --- p.5
Chapter 2.1 --- Framework --- p.6
Chapter 2.1.1 --- Data Processing --- p.8
Chapter 2.1.2 --- Model Building --- p.10
Chapter 2.1.3 --- Forecasting Procedure --- p.12
Chapter 2.2 --- Model Descriptions --- p.13
Chapter 2.2.1 --- Linear Models --- p.15
Chapter 2.2.2 --- Non-linear Models --- p.17
Chapter 2.2.3 --- ARMA Models --- p.21
Chapter 2.2.4 --- Support Vector Machines --- p.23
Chapter 3 --- Support Vector Regression --- p.27
Chapter 3.1 --- Regression Problem --- p.27
Chapter 3.2 --- Loss Function --- p.29
Chapter 3.3 --- Kernel Function --- p.34
Chapter 3.4 --- Relation to Other Models --- p.36
Chapter 3.4.1 --- Relation to Support Vector Classification --- p.36
Chapter 3.4.2 --- Relation to Ridge Regression --- p.38
Chapter 3.4.3 --- Relation to Radial Basis Function --- p.40
Chapter 3.5 --- Implemented Algorithms --- p.40
Chapter 4 --- Margins in Support Vector Regression --- p.46
Chapter 4.1 --- Problem --- p.47
Chapter 4.2 --- General ε-insensitive Loss Function --- p.48
Chapter 4.3 --- Accuracy Metrics and Risk Measures --- p.52
Chapter 5 --- Margin Variation --- p.55
Chapter 5.1 --- Non-fixed Margin Cases --- p.55
Chapter 5.1.1 --- Momentum --- p.55
Chapter 5.1.2 --- GARCH --- p.57
Chapter 5.2 --- Experiments --- p.58
Chapter 5.2.1 --- Momentum --- p.58
Chapter 5.2.2 --- GARCH --- p.65
Chapter 5.3 --- Discussions --- p.72
Chapter 6 --- Relation between Downside Risk and Asymmetrical Margin Settings --- p.77
Chapter 6.1 --- Mathematical Derivation --- p.77
Chapter 6.2 --- Algorithm --- p.81
Chapter 6.3 --- Experiments --- p.83
Chapter 6.4 --- Discussions --- p.86
Chapter 7 --- Conclusion --- p.92
Chapter A --- Basic Results for Solving SVR --- p.94
Chapter A.1 --- Dual Theory --- p.94
Chapter A.2 --- Standard Method to Solve SVR --- p.96
Bibliography --- p.98
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尤序宣. "The dividend information content and stock price variation in Taiwan stock market." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/81604490412888576076.
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Liu, Ching-san, and 劉青山. "THE EFFECT OF INVESTORS'' EMOTIONAL STATUS ON DAILY PRICE VARIATION IN TAIWAN STOCK MARKET." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/32010528738766391107.
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碩士南華大學
財務金融學系財務管理碩士班
97
Exploring investors’ emotional status in stock market has become a new research issue in behavioral financial discipline. The main objective of the research is to examine the effect of different investors’ emotional status on the sensitivity of daily stock price variation. The data was collected from May 2 to August 31 in 2007 from Taiwan Economic Journal. The OLS statistical method was used. The empirical results suggest that investors’emotional change has different effects on price variation under several conditions.
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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.
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博士國立臺灣科技大學
企業管理系
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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.
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Shie, Albert, and 薛正偉. "The cotton price and stock market." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/77035832047728657407.
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Li, Hsin-chi, and 李心錡. "Corporate Governance, Stock Market Liberalization and Stock Price Performances." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/31215669370520299396.
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碩士國立中央大學
財務金融研究所
98
This study undertakes firm-level analysis of differences in variables related to corporate governance in an attempt to explain the source of the stock performance of financial liberalization for 15 emerging countries. We find that the market''s responses to stock market liberalization announcements are more favorable and valuable for low insider ownership firms than high insider ownership firms, and it may because of the expropriation of minority shareholders. Furthermore, we test more corporate governance variables as major shareholder and foreign investors’ ownership in four Asia countries, Malaysia, South Korea, Taiwan and Thailand. The results that we find are totally different from 15 emerging markets. The results suggest the market''s responses to stock market liberalization announcements are more favorable and valuable for high insider ownership firms and high foreign investors’ ownership firms than low insider ownership firms and low foreign investors’ ownership firms.
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Wu, Ming-Lung, and 吳銘龍. "Taiwan Stock Market Investors' Emotion Index and Stock Price." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/98126861434892302505.
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碩士樹德科技大學
經營管理研究所
96
The main purpose of this paper is to investigate the connection between Taiwan Stock market sentiment indicators and stock returns guerdon. The results indicate： This research intention finds some index signs that be good enough to represent investor emotion to understand a market and will invest in the future by being used as to the future viewpoint of basis. This research picks Taiwanese January 1, 2004 to December 31, 2007 of stock market index number of the stock price closing price, and takes emotion act for variable: Stock price turnover fluctuation(v), margin amount of money change(Ib1), the short selling number change(Is1), entrust business fluctuation(bs), foreign capital business super change(qfii 1), hurl letter the business is super to change(it 1) and business owner's business super(sd 1) data source is a stock exchange; Sell power to buy power don't even camalig specific value the fluctuation(pc) gets from the Taiwanese futures trading post of eight emotion index signs and stock price remunerate motion to do connection analysis. This research mainly method that Person analysis method, stepwise regression, Granger Causality Test, grey relational analysis to analytical the connection between Taiwan Stock market sentiment indicators and stock returns guerdon. Person analysis method and stepwise regression get to that the influence stock price to mainly come from business owner's fluctuation and Melts the ticket change; Granger Causality can get the stock price and margin amount of money changes fluctuation to have mutual feedback relation; The turnover changes and margin amount of money changes fluctuation to have mutual feedback relation; The message dropping buys and sells the ultra change fluctuation and the foreign capital business change fluctuation to have mutual feedback relation. The grey relational analysis get to that the influence stock price to mainly come from Melts the ticket change. So this research end compare everyone method income result induce Melts the ticket change can influence stock price motion most .
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卓莉雯. "Market segmentation and price differentials in Chinese stock market." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/75747430475451152919.
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碩士國立中興大學
財務金融研究所
92
Abstract This purpose of this paper is to study the effect of market segmentation in the Chinese stock market due to foreign ownership restrictions. On the 19th February 2001, it was officially confirmed that domestic investors would be allowed to trade in B shares. Thus, the markets were reshuffled from strict segmentation to partial segmentation. First of all, we investigate whether if a long-term equilibrium exists between A and B shares. Empirical results indicate that before the policy change, there is no cointegration between A and B shares. But after the policy change, the information diffusion between these two stock markets become more frequently. Then, in order to find the source of the price differences between these two classes of shares, we consider six hypotheses that may explain the price differences. Each hypothesis is characterized by its empirical implications. Our main conclusion is that before the policy change, relatively illiquid B share stocks have a higher expected return and are priced lower to compensate investors for increased trading costs. After the policy change, the relatively illiquid B share stocks in the Shanghai stock exchange and the different risk hypothesis in the Shenzhen stock exchange are the primary theoretical factors. Our results indicate that it has been a success of the Chinese government to lift restrictions. We find that after the policy change, the relationship between A shares and B shares become more close；the A share price premium has both decreased, and become stationary. From the cross-sectional analysis, we find that illiquid trading of B shares, and the highly risk tolerant of Chinese investors are significant determinants in explaining the price premium on A shares.
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SHI, XI-AN, and 史習安. "The price discovery of Taiwan stock market." Thesis, 1990. http://ndltd.ncl.edu.tw/handle/40483661880933531293.
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Lin, Yu-Fan, and 林宇凡. "Stock Option Price and Option Market Momentum." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/32088864966630384943.
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碩士國立高雄第一科技大學
金融研究所
100
This paper exams the momentum effect on stock option market. Data resource is IVY database. Using the stock option exchanged in NYSE, AMEX and NASDAQ, this paper attempt to find whether the momentum effect exist in stock option market. Primarily, this paper examines the momentum effect by using four kinds of implied volatility. The first is model-free implied volatility according to Jiang and Tian (2005), the second is vega-weighted implied volatility according to Latane’ and Rendleman (1976), the third is elasticity-weighted implied volatility according to Chiras and Manaster (1977), the last is CRR-model implied volatility according to Cox, Rose, and Robinstein (1979) if the option is American option or Black-Scholes implied volatility according to Black, and Scholes (1976) if the option is European option. In addition, the company data is also classed in two parts. One is size which is the company’s market capitalization, the other is category of industry. Subsequently, we could find whether the momentum effect is affected by size effect and industry effect. However, we can’t confirm that the momentum effect generally exists in stock option market even if we classify our firm in firm’s capital or industry or different criteria.
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Lai, Jin-Hao, and 賴勁豪. "Stock Market Shock and Price Regime Collapse." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/64903179606174726811.
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碩士東海大學
經濟系
99
The theory of this paper was developed based on two studies: the announcement effect of the stock market on a closed economy from Blanchard (1981) and the floating exchange rate price regimes collapse from Tsaur et al. (2000). Taking into account wealth effect, we built a model with four markets: commodities, money, stock and bond. Stocks and bonds are with imperfect asset substitutability in the price collapse system of a closed economy in a general equilibrium model. According to the price collapse of the first generation system, we found that once an economy is facing a beneficial shock on the demand side of the stock market, the monetary authorities tend to curb the rising price level through tight monetary policy. This maintains a fixed price level in an economy and results in a situation that a free-floating price system collapses into a price control system. This result affects the adjustment path of relevant macroeconomic variables. Some key findings are summarized. First, monetary authorities can create a price ceiling threshold level that relates to the timing of the price regime collapse. Second, chip effect, dividend effect and liquidity effect size-dependent. Third, monetary authorities can endure high price ceiling threshold level.
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涂鈞凱. "Reflexivity of price in the stock market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/84893544199303808261.
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碩士國立政治大學
國際經營與貿易研究所
97
I used to be a securities specialist, serving in Taishin Holdings during January 2007-October 2008. As a securities specialist, I found financial markets so fascinating. Among all the financial markets, stock market seems to be the most eye-catching spot, because of its low transaction costs, a large number of participants, instant communication. If there is any place where the theory of perfect competition ought to be translated into practice, it is the stock market. When it comes to real word, traditional pricing model seems to be irrelevant. What is the real driving force behind stock market? Is it only simply the discount of dividends regardless of acquisition, future prospect or the credit of leading staff? I would like to discuss the issue under the foundations of behavioral finance which is different from those of tradition market theory. In this article, I shall start with briefly introducing Behavioral Finance and its psychological foundations in Chapter 2. In Chapter 3, a review to Gordon Model. In chapter 4, I will start with confirmation bias as the entry point creating a new boom/bust model with Reflexivity. In chapter 5, I shall illustrate a case and discuss the advantage and also the flaw of the model.
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Chang, Wen-Chang, and 張文菖. "Target Price Accuracy in Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/27296582238992604610.
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碩士國立臺北大學
企業管理學系
102
Past studies show that analysts’ target price accuracy has been very limited around the world. Using the sample of Taiwan stock market from 2007 to 2013, we examine the accuracy of forecasted target prices and its determinants. At some time during the forecast horizon, 47.52% of target price are met, but at the end of the forecast horizon only 26.44% target price are met, and analysts overestimate target price by an average of 28.51%. We find that target price forecast error is positively correlated with the predicted growth in stock price. However, target price forecast error is negatively correlated with the stock price momentum and overall market return. Furthermore, both stock- and broker-specific characteristics can explain the accuracy of target price. Our results indicate that target prices are systematically biased.
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Yu, Wei-Chung, and 尤瑋鍾. "The Shock of Stock Market on Stock Price, Exchange Rate and Foreign Investment in Stock Market." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/90321038323210474113.
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碩士逢甲大學
經濟學所
94
This text try to build and construct a dynamic model which links the commodity market, money market, stock market and foreign exchange market. We are in order to discuss the long-term influence about the shock of stock market on Stock Price, Exchange Rate and Foreign Investment in Stock Market and the dynamic adjustment route during that time .
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CHI, CHIH-YU, and 紀祉宇. "Employee Stock Option and Stock Price Mispricing : Evidence from Taiwan Stock Market." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/40798241626422286836.
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Chen, Lung-Chung, and 陳隆昌. "Nonlinearity of Oil Price and Stock Price Returns in US Market." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/37877492895392824855.
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碩士淡江大學
財務金融學系碩士班
93
With the coming of increased needs on international commodities, oil price movement has surely been focused on because it is certainly one of the most important and popular commodities in the world. It goes without saying that the importance of the relationship between oil price returns to stock price returns . In this paper, we are trying to use Nymex nearest oil futures prices and Dow Jones Industrial Index as the samples during the periods of 1995-2004 to discuss nonlinearities and causality relationship between these both financial markets. In order to understand the possible nonlinear relationships between oil price returns and stock price returns, we tried to use nonlinear and linear unit roots tests as the comparison to test the stationary of all the data bases, then we further used threshold cointegration and threshold error-correction model to understand long-term equilibrium relationship and causality while it is up or down of the pre-tested threshold through the choice of optimized module of MTAR or TAR. Through experimental results, we found that these time series of both financial markets are stationary after first differential however they are non-stationary for the original samples no matter by traditional or nonlinear unit roots tests. And both of the variables have asymmetrical long-term equilibrium after the testing of nonlinear threshold coin-integration. We further used threshold error-correction model and found that one way causality relationship, in the short-run, existed on stock price returns to oil price returns, which is the same result shown in Cetin’s (2002) paper. However, in the long-run ,one way causality relationship existed on oil price returns to stock price returns.
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ZHANG, ZHI-MING, and 張志銘. "A study of integrating stock market indexes to predict stock price." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/31392282911731993631.
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KAO, SHIH-LUN, and 高世倫. "Short Selling and Stock Price Crash Risk in Taiwan Stock Market." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/17579756480046514853.
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碩士銘傳大學
財務金融學系碩士班
105
Stock price crash risk means a large negative outlier in the distribution of returns. Recent academic studies argue that bad news hoarding leads to stock price crash risk and conjecture that short sellers are informed traders who are able to detect bad news hoarding activities by firms whose stock they short in anticipation of price crashes, then short interest should reflect the potential for bad news hoarding behavior in firms. This paper investigates whether short interest is positively related to future stock price crash risk by using individual and institutional investor’s short selling in Taiwan stock market. Second, we test whether arbitrage limits change the relation between short interest and stock price crash risk. To provide investors a reference indicator to avoid stock price crash risk. In this paper, the empirical results show that: (1) short interest is positively related to future stock price crash risk by using individual and institutional investor’s short selling, showing when the individual investor’s short selling ratio (institutional investor’s short selling ratio) more large, then stock price crash risk for the next year will more large, so the individual and institutional short selling activities have the ability to predict the future stock price crash risk. (2) In the case of the short selling limit of individual stocks, this paper finds that the higher Idiosyncratic risk and smaller firm size of individual stocks will reduce the positive relationship between the short selling and future stock price crash risk.
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Wang, Yu-Tsai, and 王宥才. "The Characteristics of Stock Price Crashes in the Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/92486982906503506792.
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碩士國立雲林科技大學
財務金融系
102
This research focuses the impact of a large crash in a single stock on the liquidity condition of the stock in the Taiwan stock market. We analyze the liquidity condition during the crash period and the none crash period. Crashes are always found to happen quickly, and continue just for few days. However, in this research, a strong increase in trading activity is observed during a crash, indicating that investors are able to sell their stocks even during crash period. Therefore, we find evidence that the large liquidity change during a crash will affect the stock prices.
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Liu, Feng. "Market microstructure, technical analysis, and stock price movements." Thesis, 1995. http://spectrum.library.concordia.ca/3634/1/NN10872.pdf.
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Chen, Kun-Shi, and 陳昆晞. "Revisit Price-Volume relationship in Taiwan Stock Market." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/43106162189189411810.
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Zhang, Guang-ting, and 張光廷. "Price-sales Ratio Testing on Taiwan Stock Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/29499455793529526540.
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碩士國立高雄應用科技大學
金融資訊研究所
99
Abstract According to Kenneth Fisher, the U.S. investment guru, the most useful method, “Price Sales Ratio”, is often applied by the investors to discover the stock that is undervalued and under priced. the greatest method to decide on the “super stock” is when its Price Sales Ratio is less than the special value. This approach works excellent in the U.S. stock market. My dissertation is to investigate whether this super stock selecting approach also applies in Taiwanese stock market and its performance comparing to “price-book value” and “sale price ratio”. In my study, the price sales ratio was used as a classification index, and the sample stocks were divided into four groups: less than 0.75, between 0.75 and 1.5, between 1.51 and 3.0., and over 3.0. In order to find out the stock that might have the highest future potential in the market, we calculated the average return and the maximum average return in one year by using the “price sales ratio” method. Also, based on that, we designed operational strategies to validate whether its performance was better than the market index, as well as compared with” price-book value ratio “and ” sales price ratio” of return. The results showed that the stock was selected by price sales ratio method and held a year had better investment rate of return than the market index. However, investment with 20% stop-loss and 50% stop-win was found to have lower operating profit performance than the market index. But, its volatility and the relative risk are low. In addition, we found that there were no significant differences between price sales ratio and price-book value ratio in the performances, and the average return of sales price ratio was slightly lower than the other two. Keywords: price sales ratio, price-book value ratio, sales price ratio, volatility
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Lin, Hsun-Tung, and 林玄通. "The Low-Price Effect In Taiwan Stock Market." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/70461504709403910834.
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碩士朝陽大學
財務金融系碩士班
88
ABSTRACT Conrad and Kaul(1993) and Loughran and Ritter (l996) considered that American stock market exists low-price effect which cannot explain the overreaction documentarily.。 Meanwhile, the documents written by ,翁霓、劉維琪、陳隆麒(1995) who rated the stock market price in Taiwan into five groups and they found out later the annual return of the lowest stocks is larger than that of the highest. Accordingly, the documents no matter in Taiwan or America have not directly examined the low-price effect statistically. Furthermore, they have not explained why the low-price effect happens either. And the purpose of this essay is to discuss the two major problems mentioned above. 20 of both the highest and lowest priced stocks (rated from high to low) are chosen according to the stock price at the end of the forming period to be tested to see if there exists any differences in the returns. The result shows: the average return of the lower-priced stocks is obviously larger than that of the higher-priced stocks. To get further information of why lower-priced stock effect happens, we found that debt- equity ratio, market value, and prior return cannot totally and individually explain lower-priced stock effect.
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"Price limits and the stock market in Taiwan." Tulane University, 1992.
Find full textAbstract:
This study consists of five chapters. Chapter 1 motivates the importance of this paper. Chapter 2 describes the organization, behavior, performance, and some of the distinguishing characteristics of the Taiwan Stock Market. Different costs and functions of this practice are analyzed in Chapter 3. In Chapter 4, I discuss various consequences that price limits might have on stock price volatility, and test the empirical relationship between price limits and stock price volatility. Chapter 5 then concludes this research The main findings of this paper are: (1) Most contributions of the stock market on Taiwan's economic development came from this market's increasing output and employment itself, and not from its role on transferring savings to real investments. (2) Price limits may in effect increase brokers, securities finances, and government's benefit, rather than increase investors' benefit. (3) The effect of price limits on stock price volatility depends on different structures of the marketacase@tulane.edu
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Fu, Chia-Yin, and 傅家音. "Liquidity and Price Discovery on Taiwan’s Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/34s8g2.
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碩士國立虎尾科技大學
財務金融研究所
102
This paper examines the liquidity and price discovery on Taiwan’s stock market. We use bid-ask spreads and market depth to measure the liquidity of stock market and then use message scale model, which extends the impact model of Hasbrouck(1988) to analyze the price discovery. The empirical results confirm that most of the liquidity of smaller firms better than those of larger firms, although the firms of size of the price discovery are not significant different.
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CHEN, HUI-TING, and 陳暉廷. "Relationships among Oil Price, Gold Price, Exchange Rate and Taiwan's Stock Market." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/87d8ys.
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碩士國立高雄第一科技大學
金融系碩士班
106
This study delves into the correlation between oil prices, exchange rates, gold prices and Taiwan’s stock market from January 4st, 2000 to December 29th, 2017, by utilizing the unit root test, the vector autoregression model, the Granger causality test and other such time-series models. The results show that there was no long-run equilibrium between the four variables. Utilizing causality tests illustrates that there was unidirectional causality running from gold prices, Taiwan Capitalization Weighted Stock Index and the exchange rate of the US Dollar against the New Taiwan Dollar to oil prices, unidirectional causality running from gold prices to the exchange rate of the US Dollar against the New Taiwan Dollar, and bidirectional causality between the US Dollar exchange rate against the New Taiwan Dollar and the Taiwan Weighted Stock Price Index.
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Chu, Yu-Chao, and 儲于超. "Mean Reversion and Dynamic Relation of Stock Price on Asia Stock Market." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/66966512212146459258.
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碩士朝陽科技大學
財務金融系碩士班
89
Mean reversion means that stock price will reverse to fundamental value in the long term, but the existence of this phenomenon on stock market is still being argued in academy. This paper use the model proposed by Blavers, Wu & Gilliland (2000) to investigate the phenomenon of mean reversion on Asia stock market. The main result is that the mean reversion exist in Asia stock market when we use world or Japan index as reference, and we find that Hong Kong and Singapore have mean reversion in their stock market. Furthermore, we suppose that the speed of the stock market returning back to fundamental value is all the same, and the result is invariable. On the other hand, we use multiple ARMA model will to show the dynamic relationship on Asia stock market, and it provides explanation of mean reversion a little.
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Chi, Hou Hung, and 侯鴻基. "The Relationship between Stock Price and Trading Volume:Evidence from Taiwan Stock Market." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/59271028927030955456.
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碩士中國科技大學
企業管理研究所
100
This study investigates the possible relationships between stock price and trading volume while considering the information asymmetry. Using a sample of Taiwan electronic firms during 2008-2009 financial crisis, this study finds the following empirical evidence: 1.Firms with the larger degree the volume changes tend to have the higher return on stock price in the corresponding period. 2.During the stock price rising period (2009), the impact of the volume change on the rate of return on stock price in the corresponding period is significantly lower than that of the stock price during the dropping period (2008). 3.For the firms with higher shareholding ratio of the institutional investors, the impact of the volume change on the rate of return on stock price in the corresponding period is significantly larger than that of the firms with lower shareholding ratio of the institutional investors during the stock price dropping period (2008).
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HUANG, TE-WEI, and 黃德瑋. "The Relationship between Taiwan Stock Market Liquidity and Stock Price Crash Risk." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/39369222415400244067.
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碩士銘傳大學
財務金融學系碩士班
105
Prior research suggests that managers withhold bad news from investors because of career and short-term compensation concerns and that when a sufficiently long-run of bad news accumulates and reaches a critical threshold level, managers tend to give up. At that point, all the negative firm-specific shocks become public at once leading to a crash. Prior research has offered differing views on the impact of stock liquidity on crash risk: (1) Governance theory suggests that higher stock liquidity may result in lower crash risk, because it facilitates monitoring of firm management by blockholders. (2) short-termism theory suggests that, due to low trading costs, higher liquidity can attract more transient institutional investors with short investment horizons and excessive focus on firms’ short-term performance. I am curious about the relationship between stock liquidity and stock price crash in Taiwan market. This paper examines the linkage between liquidity and firm’s stock price crash risk, based on data of listed companies of Taiwan Stock Exchange through 2000~2015. Chen and Zolotoy (2016) results suggest that higher stock liquidity leads to higher crash risk in the U.S. market. We result shows that, contrary to Chen and Zolotoy (2016) result, the thesis shows negative effect between liquidity and crash risk. This study suggests that probably because Taiwan Stock Market has a large proportion of family-owned business, so that managers can easily increase their ownership in the enterprise. This has led to a lower stake in short-term institutional investors. Relatively speaking, short-termism theory of transient institutional investors in the Taiwan Stock Market in the influence is relatively small.