THE RELATION BETWEEN TAIEX AND UNUSUAL VOLATILITY–USED BY THE CONCEPT OF RANGE
碩士 === 南華大學 === 財務管理研究所 === 95 === This study explores the market attemption in three dimensions: 1. the difference between the open and closing price; 2. continuity; 3.relative technological position. We also study the effect of abnormal volatility on the weighting stock price index using the ret...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/uzj2ah |
| Summary: | 碩士 === 南華大學 === 財務管理研究所 === 95 === This study explores the market attemption in three dimensions: 1. the difference between the open and closing price; 2. continuity; 3.relative technological position. We also study the effect of abnormal volatility on the weighting stock price index using the return-event study. The samples include 4,662 daily data from 1990 to 2006. We first use double-range k line to test the abnormal volatility, and if there exists an abnormal volatility, we subsequently predict the trend using the method of logistic regression which was found to be a good tool for investment timing. The result shows that red k line and black k line are better indicators in predicting the short-run trend than the long-run.
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