An Empirical Study of Gap Behavior for Underlying Stocks of Taiwan 50 Index

• Main Authors: Wu-Der Wang, 王武德
• Other Authors: Yen-Sen Ni
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/65652599549342537579

碩士 === 淡江大學 === 管理科學研究所企業經營碩士在職專班 === 94 === This research is to investigate the gap behavior of daily data for the underlying stocks of Taiwan 50 index from January 2000 to September 2005 by the event study approach. The gap events such as rising gap events and falling gap events are examined to find if these are average abnormal returns and accumulative average abnormal returns within the event period, i.e. the period from five days before the event happened to five day after the event happened, since we would like to disclose information within the event periods. As a result, several important empirical results are found in this study and these findings as mentioned below might be helpful investors in trading their stocks. 1. Investors are possible to get positive average abnormal returns by using the gap information, i.e. gap behavior could be concerned as important indicator in trading underlying stocks listed in Taiwan 50 index. 2. While appearing rising gap events for electronic stocks, investors might sell shares in the short-term; however, while appearing falling gap events, investors might buy shares in the short-term, even though electronic stocks overweigh 70% of Taiwan stock market.3. As for underlying financial stocks for Taiwan 50 index, investors are suggested to sell stocks to avoid loss if holding these underlying stocks or make profit by short-sell these underlying stocks. 4. For the underlying stocks excluding financial and electronic stocks in Taiwan 50 index, investors should sell stocks to avoid loss if holding these underlying stocks or make profit by short-sell these underlying stocks no matter what rising or falling gap events in bull markets or bear markets.