| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 106 === This paper focuses on the relationship between the overnight phenomenon and price movements in Taiwan stock market. According to the OLS regressions, we find that the individual day traders have disposition effect. If the stock price moves downwards, they tend to maintain their losing positions. In the VAR models, the overnight phenomenon is persistent, and the price movements affect individual day traders’ overnight decisions. In the impulse response analysis, the influence from price movements on overnight positions is strong and lasts for several days.
Keywords: overnight phenomenon, day trading, disposition effect, VAR, impulse response analysis
|
|---|
