Price Stock Persistence in Taiwan Stock Market

• Main Authors: Bo Yuan Shu, 許柏元
• Other Authors: 羅志賢
• Format: Others
• Language: zh-TW
• Published: 100
• Online Access: http://ndltd.ncl.edu.tw/handle/64847977494779302125

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 99 === This study discusses the influence of shocks with different degrees on stock returns in Taiwan Stock Market. When estimating the abnormal returns, the Single Index model, the Fama-French 3 factor model, and the Carhart-Four-Factor models with GJR-GARCH(1,1) are used. The AIC criterion is also used to select the best model. The study finds that when the stock market in Taiwan suffers from positive shocks, it would not reflect on the stock price immediately. Investors will eorn profit arised from continuing cumulative abnormal return (CARs) in short term. However, if the stock market in Taiwan suffers from negative shocks, the market will show the phenomenon of underreaction owing to investors lack of the correct information. Moreover, the price will reverse after the negative shocks in a specific term. The result is consistent with Brown, Harlow and Tinic’s (1988) Uncertain Information Hypothesis.