An Investigation on Information Affecting Opening Prices of the Taiwan Stock Market

• Main Authors: Jen, Li-Chun, 任立群
• Other Authors: 劉曦敏
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/53400125059543189485

碩士 === 國立臺北大學 === 經濟學系 === 102 === Because of fast information transmission, this thesis tries to investigate the factors which affect opening prices of the Taiwan stock market, and use the estimated regression to forecast changes of the opening prices. The finding may help investors in designing their short-term trading strategies. Stock markets of Japan and South Korea open earlier than Taiwan’s, and would reflect information in their domestic as well as the US and European markets in a previous trading day. The information in mainland China’s stock market may also affect Taiwan’s stock prices due to the close trading relationship between China and Taiwan. On the other hand, Taiwan’s stock futures market opens earlier and closes later than the corresponding spot market. Thus, the changes in stock futures prices and trading volumes may also affect the spot prices. In building the empirical regression model, I include all relevant stationary independent variables, and consider nonlinear relationships between the dependent and independent variables. The results show that changes in opening prices of the South Korea and Taiwan’s futures stock markets have significant impacts on the opening stock prices in Taiwan. Changes in Shanghai’s stock prices in the previous trading day would also significantly affect the opening prices in Taiwan’s stock market. In addition to price information, previous trading-day’s open interest of the three big institutional investors in the Taiwan’s stock futures market will influence the opening stock prices conspicuously. Finally, due to good fitness of the estimated regression, the forecasting performance of the estimated regression is obviously superior to that of a simple AR(1) model.