Own- and Cross-Autocorrelations and Contemporaneous Correlations of Price-Based and Book-To-Market Ratio-Based Portfolio Returns.

• Main Authors: shih-wei lee, 李士偉
• Other Authors: Chaoshin Chiao
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/98875112165148435279

碩士 === 國立東華大學 === 企業管理學系 === 88 === Since the lead-lag relation between portfolio returns was raised, the Efficient Market Hypothesis (EMH) has further been challenged. According to previous studies, it was widely believed that inefficient trading structure led to the lead-lag relation. In this paper, we investigate the lead-lag relation in the Taiwan stock market where the trading structure differs from most developed markets. Different from previous papers focusing on the lead-lag relation between size-based portfolios, this paper instead studies the relation between value and growth portfolios, ranked by their book-to-market equity ratios, as well as between low-price and high-price portfolios, ranked by their stock prices. The major results are the following. First, there is no significant leading role of the growth portfolios over the value portfolios and of the high-price portfolios over the low-price portfolios. Second, there is no evidence that the speeds of adjustment of growth portfolios and high-price portfolios are higher than those of value portfolios and low-price portfolios, respectively. Finally, the wider the regulated price limit, the lower the own-autocorrelation of portfolios.