The Determinants of Returns on China-Concept Stocks Listed in Taiwan Stock Market

• Main Authors: Chang, Ya-Ting, 張雅婷
• Other Authors: Chau-Chen Yang
• Format: Others
• Language: zh-TW
• Published: 1998
• Online Access: http://ndltd.ncl.edu.tw/handle/38150633185408850565

碩士 === 國立臺灣大學 === 財務金融學系 === 86 === The objective of this study is to investigate if the China investment policy of a listed firm can cause any change in the relation between stock returns and market fundamentals. In traditional studies of the subject, China investment decision has been treated as a dummy variable and placed on the right side of the equation. A regression analysis was then performed to determine the significance of the China investment decision variable. However, the study approach has falsely ignored a fact that the China investment decision is evolved by a firm independently. In other words, the China investment decision is endogenous, not exogenous. Therefore, in this study, the China investment decision has been treated as a dependent variable. A two-stage model is then designed to conduct the research. First stage determines the factors affecting a listed firm''s China investment decision and the probability of a China investment decision based on each factor. Then, in the second stage, an investigation is conducted to determine if, under the conditional probabilities, the China investment policy can cause any change in the relation between stock r eturns and market fundamentals. Empirical results are summarized as follows: 1. The higher the retained earning to capital ratio, the higher the export ratio, or the longer the years of establishment, the higher the probability a firm will invest in China. 2. The impact that fundamentals have on stock returns will not vary between China-concept stocks and Non-China-concept stocks. 3. Book-to-market ratio effect does exist in the Taiwan stock market.