Style Rotation and Stock Price Comovement :An Example of Taiwan IC Industry.

• Main Authors: Li-Ting Chiu, 邱莉婷
• Other Authors: Chun-An Li
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/d5faa3

碩士 === 國立雲林科技大學 === 財務金融系 === 103 === The paper examines the rotation of the stock style which is proposed by Boyer (2011), the label comovement. During January 1999 to December 2012, employing the data from supply chain in IC industry, value stocks, and growth stocks, analyze the comovement among the different group style. With sorting the IC stocks, associated with supply chain in IC industry, by MB ratio, dividing the IC stocks into 3 parts (40%, 20%, 40%). The IC stocks in the upper 40% part are value stocks and that in the lower 40% are growth stocks. These IC stocks will be reclassified on the quarterly basis. The reclassified method is utilized to select the style-switching stock as the research sample. Consequently, the empirical results manifest that after the style of the stocks shift, elevating the comovement among the return of the switchers, value stocks, and growth stocks; decreasing the comovement of stock return in the IC supply chain. Besides, after changing the style of the stocks, escalating the comovement in the stock turnover among the switchers, value stocks, and growth stocks, relatively, IC stocks turnover has little to do with the stocks turnover in IC supply chain. In addition, the result of the second stages regression indicates that market price and BM ratio are significant in the result.