| Summary: | 碩士 === 國立臺北科技大學 === 經營管理系碩士班 === 102 === This paper use the multivariate regression analysis to examine intraday patterns of the stock return on the Taiwan Stock Exchange (TSE) and study the effects of several company-specific and corporate governance characteristics on stock returns in overall stock market slump. The purposes of this study are as follows: (1) to investigate the price patterns in each intraday trading segment during the stock market slump. (2) to investigate the determinants of stock returns during the stock market slump. (3) to investigate whether corporate governance characteristics would affect the companies’ returns during the stock market slump.
From this study, we are able to understand the determinants of stock market returns in overall market slump, and whether the corporate governance characteristics would affect the market returns. Besides, we are able to observe the patterns of price changes during the trading hours, and understand how the stock returns during each trading segments would be affected by the characteristics of the firms.
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