The Study of Market Sentiment and Information Content of Stock Price

• Main Authors: Yu-Jun Hsieh, 謝雨潤
• Other Authors: 李家豪
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/9yd8q4

碩士 === 國立臺中科技大學 === 財務金融研究所碩士班 === 106 === This article focuses on 20 electronic technology companies listed on the Taiwan Stock Exchange from January 2007 to December 2016 to study the correlation between stock price information content and market sentiment. The data period covers the total from March 2007 to December 2016 36 months time series season data. This study finds that there is a two-way causal relationship between stock market trading volume ratio, debt ratio, and total assets and stock price information content. When the stock price information content increases, the stock trading volume, corporate debt ratio and total assets will increase accordingly; while the stock trading volume, As the company''s gearing ratio and total assets increase, the stock price information content will increase. According to the empirical results, the stock trading volume, debt ratio and total assets have a significant positive impact on the stock price information content.