Determinants of Noise Trading in Taiwan Stock Market and The Effect for Stock Prices
碩士 === 中國文化大學 === 國際企業管理研究所 === 90 === There is considerable evidence that stock price can diverge significantly from fun-damental value. It implies many investors do not follow fundamental values to buy and hold the market portfolio. They often pick stocks through their own research or senti-ment....
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ndltd-TW-090PCCU03210142015-10-13T14:41:24Z http://ndltd.ncl.edu.tw/handle/76604270155233892737 Determinants of Noise Trading in Taiwan Stock Market and The Effect for Stock Prices 台灣股市雜訊交易因素及其對股價影響性之研究 Ching-Chi Yang 楊靜琪 碩士 中國文化大學 國際企業管理研究所 90 There is considerable evidence that stock price can diverge significantly from fun-damental value. It implies many investors do not follow fundamental values to buy and hold the market portfolio. They often pick stocks through their own research or senti-ment. Therefore, DeLong, Shleifer, Summers, and Waldmann (1990b) offer “Noise Trading Theory.” It points out noise factors, investors’ sentiment, can affect prices. However, there are few studies about noise factors and Hsueh and Hwang (1996) used the incorrect method to find out them. Based on noise trading theory and the results of empirical researches, we attempt to identify the noise factors and their effect for stock price. In this paper, we find some re-sults. First, we use variance ration test of Lo and MacKinlay (1988, 1989) to confirm that Taiwan stock market and each industry have noise trading. Second, we revise Hsueh and Hwang’s method and use TSCSREG of Parks (1964) to identify the noise factors are short/Long%, Utilization%-Lon, Increase%-Short, Increase%-Long, Long and Short/Volume%, Utilization%-Short, Closing Price, Volume, Amount, Turn over%, Market capital, and Transaction. Finally, we use ARIMA transfer function of Box and Jenkins (1970) to verify the noise factors can affect stock price. Prof. Sue-Ling Lai 賴素鈴 2002 學位論文 ; thesis 132 zh-TW |
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碩士 === 中國文化大學 === 國際企業管理研究所 === 90 === There is considerable evidence that stock price can diverge significantly from fun-damental value. It implies many investors do not follow fundamental values to buy and hold the market portfolio. They often pick stocks through their own research or senti-ment. Therefore, DeLong, Shleifer, Summers, and Waldmann (1990b) offer “Noise Trading Theory.” It points out noise factors, investors’ sentiment, can affect prices. However, there are few studies about noise factors and Hsueh and Hwang (1996) used the incorrect method to find out them.
Based on noise trading theory and the results of empirical researches, we attempt to identify the noise factors and their effect for stock price. In this paper, we find some re-sults. First, we use variance ration test of Lo and MacKinlay (1988, 1989) to confirm that Taiwan stock market and each industry have noise trading. Second, we revise Hsueh and Hwang’s method and use TSCSREG of Parks (1964) to identify the noise factors are short/Long%, Utilization%-Lon, Increase%-Short, Increase%-Long, Long and Short/Volume%, Utilization%-Short, Closing Price, Volume, Amount, Turn over%, Market capital, and Transaction. Finally, we use ARIMA transfer function of Box and Jenkins (1970) to verify the noise factors can affect stock price.
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author2 |
Prof. Sue-Ling Lai |
author_facet |
Prof. Sue-Ling Lai Ching-Chi Yang 楊靜琪 |
author |
Ching-Chi Yang 楊靜琪 |
spellingShingle |
Ching-Chi Yang 楊靜琪 Determinants of Noise Trading in Taiwan Stock Market and The Effect for Stock Prices |
author_sort |
Ching-Chi Yang |
title |
Determinants of Noise Trading in Taiwan Stock Market and The Effect for Stock Prices |
title_short |
Determinants of Noise Trading in Taiwan Stock Market and The Effect for Stock Prices |
title_full |
Determinants of Noise Trading in Taiwan Stock Market and The Effect for Stock Prices |
title_fullStr |
Determinants of Noise Trading in Taiwan Stock Market and The Effect for Stock Prices |
title_full_unstemmed |
Determinants of Noise Trading in Taiwan Stock Market and The Effect for Stock Prices |
title_sort |
determinants of noise trading in taiwan stock market and the effect for stock prices |
publishDate |
2002 |
url |
http://ndltd.ncl.edu.tw/handle/76604270155233892737 |
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