Does attention effect exist in Taiwan's stock market—using semiconductor industry as an example

• Main Authors: Wan-man Pan, 潘宛蔓
• Other Authors: Cheng-Yu Cheng
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/80236052584139648685

碩士 === 國立屏東商業技術學院 === 國際企業所 === 96 === Our research focuses on Taiwan’s semiconductor companies that listed on Taipei Stocks Exchange in an attempt to investigate“attention effect”,and the investors’ reaction to the news, including overreaction as well as underreaction. The conclusions are as follows: First, we find out that, about the attention effect, 1) the amount of daily news do draw the investors’ attention to make the transactions done. 2) daily news one day or two days before also draw their attention. This represents the investors may refer to the news prior to the present day. To sum up, attention effect is exist in Taiwan’s stock market. Therefore, investors may use the news while making investment decision. Scend, about the investors’ reaction, we conclude that 1) news winners tend to be underreactive, and news losers are prone to be underreactive, too. Both of which are statistically significant. 2) no news winners are underreactive, and no news losers are underreactive, neither of which are statistically significant. 3) all winners may be underreactive; all losers are overreactive. In summary, as the good news released (news winner), investors can buy the news winner company’s stock and as the bad news released (news losers), investors can sell out the news loser stock in hopes to gain excess profits.