The Research of Stock Price and Trading Volume in Taiwan Equity Market

• Main Authors: Li-Ping Chang, 張利平
• Other Authors: Tei-In Jin
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/18192774714230992119

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 89 === This study uses the methodology of time series to investigate the lag relationship between stock prices and trading volumes, and whether the turnover ratios would affect the volatility of stock return on the Taiwan equity market. In additional, according to the lag relationship found investment strategies are developed to see whether they can outperform the buy-and-hold strategy. Major results are follows. (1) Among different investment horizons, daily returns are shown can be forecasted by previous day’s returns and turnover ratios, whereas weekly and monthly returns cannot be. (2) The volatility of returns would not significantly be affected by the turnover ratios at all investment horizon levels. (3) The investment strategies developed are shown outperform the buy-and-hold strategy at the portfolio level (including market index and sector index) even after transaction costs were introduced, but they can not beat the market at the single share level. However, caution should be made since all investment simulations of strategies developed are on an expose basis.