Stock price fluctuation on investment strategy: the viewpoint of the game theory

• Main Authors: Yi-Jin Hua, 花藝菁
• Other Authors: Chin-Sheng Huang
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/09918565084616766807

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 91 === This study is based on the basic assumption of game theory that all of the players are both rational and intelligent, when facing uncertainty, each player’s subjective prediction of the other players’ strategies will become the foundation for him to come up with the optimum strategy by maximizing his utility and payoff. We apply this premise to financial markets to propose a reasonable explanation on the market trading behavior. Furthermore, we empirically explore whether the strategies and principles implied in game theory could be profitable in the Taiwan stock exchange. Specifically, this study employs Shelton’s (1997) game model as our analytic vehicle to test on three individual stocks listed in the Taiwan stock exchange: TSMC, Nanya, and Hwa Nan Financial Holdings Co. The stock price data used in this article are gathered from the Taiwan Economic Journal Data Bank. This study has concluded the following results: (1) The probability of market strategies acquired by the historical data for these three stocks are higher in major adversity consistently; (2) Whereas, from the testing data, it shows that only the TSMC is tended to be in the major adversity and Nanya and Hwa Nan Financial Holdings Co. are in the risk-free zero adversity; (3) Although the analysis of game theory may not provide strategies that are profitable for each transaction, yet it could come up with some suggested solutions. To explore whether the suggested solutions could provide a reasonable basis for an investor to place investment is the key issue of this study.