Heterogeneous Beliefs in Price-Volume Relationship of Taiwan Stock Market

• Main Authors: Liu, Lung Peng, 劉龍鵬
• Other Authors: Mao,Wei Lin
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/49661391073763110884

碩士 === 國立政治大學 === 經濟學系 === 97 === Heterogeneous beliefs, which revise the basic assumption of traditional asset pricing theory- Homogeneous beliefs, study the impact on asset pricing by different information owned and referred by investors. I use the model derived from Banerjee(2008)to estimate the degree how Taiwan investors will take into account stock prices when they make investment decisions. Also, I study how heterogeneous beliefs of investors influence stock prices and trading volume in Taiwan stock market, using predictions of external researchers as a proxy variable of dispersion in beliefs. The empirical results show that the degree which investors take into account prices will be lower when a faster information flowing speed exists in Taiwan stock market. When investors rely more on their private information, their investment decision will become much diversified. Dispersion in beliefs has a positive influence on stock trading volume and return.