Trading Information and Returns in Taiwan''s Stock Market: An Empirical Analysis

• Main Authors: Zu-Yi Chen, 陳祖頤
• Other Authors: Chen-Jui Huang
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/a959am

碩士 === 國立暨南國際大學 === 經濟學系 === 92 === This thesis attempts to analyze the daily and monthly relationships between trading information and dynamics of returns in Taiwan’s stock market, from both market-wide and firm-specific views. We estimate the daily effect of trading information on the rate of return for stocks, and the monthly impact of the holding ratio of board members and institutional investors on the volatility of stock price. Our empirical evidence shows that certain public trading information available to individual investors does significantly cause the stock price to change in the market. More specifically, (1) both the first difference of the ratio of net buy or net sell by institutional investors and the changing rate of trading volumes per order exert a positive effect on daily dynamics of returns for each stock and the Taiwan Weighted Index; (2) the holding ratio of institutional investors and the volatility of trading orders, respectively in an inverse way and in a positive way, affect monthly dynamics of returns; (3) institutional investor have superior information vis-à-vis individual investors, and their trading behavior serves as the driving force behind the change in stock prices in Taiwan’s stock market.