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1
Grandner, Thomas, and Dieter Gstach. "Joint adjustment of house prices, stock prices and output towards short run equilibrium." Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business, 2004. http://epub.wu.ac.at/158/1/document.pdf.
Повний текст джерелаАнотація:
A dynamic IS-LM model including stocks and houses as additional assets will be analyzed in this paper. Providing also housing services, a major consumption item for most households, houses create an additional link between the monetary and the real sector of the economy. The adjustment path of output, house prices and stock prices after exogenous policy shocks will be derived within a rational expectation setup. This will show how different reaction patterns of asset prices are related to different elasticities of housing services demand. These general analytical results are contrasted with relevant empirical work, particularly Lastrapes [2002], leading to the identification of plausible elasticity ranges. The particular results for those shed new light upon the ongoing discussion about demand effects from real estate wealth and about determinants of house price fluctuations. (author's abstract)Series: Department of Economics Working Paper Series
2
boon, Lim keh, and 林啟文. "The research of stock price adjustment behavior." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/05103294848970336351.
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3
He, Yu-Ju, and 何玉如. "The Effect of Oil Price Adjustment on Taiwan''s Industry Stock Price Index." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/42774511662597202829.
Повний текст джерелаАнотація:
碩士朝陽科技大學
財務金融系碩士班
96
This research was carried out by using Event Study to study the effect of oil price adjustment of CPC on Taiwan’s main industry stock price index during April 2002 to end of 2007. The result indicated that, on announcement date, the standardized average abnormal returns of main industry stock were not noticeable. However, the standardized cumulative average abnormal returns of other industries were presented positive returns expect information and electronic industry which showed the opposite way. The sample had been divided into bull and bear period. The research found that, the increased oil price of CPC has more effect than the decreased price. The situation was more noticeable, particularly when the oil price of CPC adjustment period in bull market. By analyzing the frequency of obvious effect, plastics & chemical industry was the most frequent, followed by information and electronic industry, textile industry, transportation index, food industry and then steel metal industry. Therefore, this is clear to see that plastics & chemical industry has the most effect on the adjustment of CPC’s oil price but steel metal industry has the least. In addition, according to analyze of abnormal return of other main industry, it showed that, during textile industry and steel metal industry’s bear period, the decreased CPC’s oil price had higher the oil industry stock return rate. In bull period, the increased CPC’s oil price had higher the oil industry stock return rate of plastics & chemical industry, textile industry and transportation industry than the decreased price.
4
Chen, Xian-Wen, and 陳憲文. "Analysis of price adjustment machanism in the transnational stock markets." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/24090810572620856173.
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5
Lee, Chung-Chi, and 李中琦. "Influences of Lead-lag Effect on Taiwan Stock Price Adjustment." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/99168269656263726412.
Повний текст джерелаАнотація:
碩士國立臺灣大學
國際企業學研究所
96
Due to friction existing in the market and constraints of information diffusion, the speed each firm reacts to the information varies. And because those different speeds of reactions influence the speed of stock price adjustment, it is possible that there might be certain asymmetric lead-lag effects existing in the stock market. If there is lead-lag effect, then which variable is the determinant, and whether the lead-effect contains a persistent and highly significant industry component are the issues worth discussed. Moreover, I want to find out if there are any other alternative determinants which can also result in lead-lag effects. This study is based on the method used by Hou (2007) estimating the lead-lag effects in American stock market to test the intra-industry (inter-industry) lead-lag effects among the weekly stock returns on the Taiwan Stock Exchange from 1st January, 1986 to 31st December, 2006. First, I estimate within industries, whether the lead-lag effect is caused from firm size. Then compare the intra-industry lead-lag effects and the inter-industry lead-lag effects based on the firm-size variable, and figure out if the industry-specific information is the primary source of lead-lag effects. Finally, I test other possible variables such as institutional ownership, turnover, and sales and see without influences from firm size, are they the alternative determinates causing intra-industry lead-lag effects. The results indicate that: 1. Within the same industry, the stock returns of big firms lead the stock returns of small firms significantly. 2. Based on the firm-size variable, the lead-lag effect within industries is significantly stronger than the lead-lag effect across industries. 3. Under the condition of removing the influences of firm size, institutional ownership, turnover, and sales are also the determinants of lead-lag effects within industries.
6
Hsieh, Yi-Li, and 謝易利. "The announcement effect of the CPC oil price adjustment on food industry stock price." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/05927507993016264471.
Повний текст джерелаАнотація:
碩士國立高雄第一科技大學
金融營運所
95
CPC has a social function to stabilize price of commodities. There is a relationship between the characteristic of price policy on CPC and the food which is the energy of human lives. We shall discuss the relationship between the impacts of food industry stock price and the raising of CPC oil price. Food is the necessity of the human kind. We use the method of “Event Study” to analyze the announcement effect of the CPC oil price adjustment on food industry stock price. We can obtain a conclusion from Event Study. There is not an obvious abnormal return when CPC adjusts oil price on the same day, while there is an obviously abnormal return before the event day, because of the information leakage. After the event day, there is higher abnormal return because of higher commodity price. Moreover, the higher CPC raises oil price, the more abnormal return CPC can get. Therefore, from the relationship between oil price raise and raise scale and abnormal return of sample company scale, we can obtain two conclusions as follows. 1. If the company has larger size in capital, it has higher abnormal return of stock price than that of all sample companies as CPC raises oil price; and the abnormal return will be higher than that of the company on less capital. 2. If the company has larger size in capital, it has higher abnormal return than that of all sample companies; and the abnormal return is higher too on all sample companies and on small size in capital .
7
Chung, Shu-June, and 張淑貞. "A Re-examination of the Ex-date Stock Price Adjustment to Stock Dividends: Observation from Taiwan." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/95990224018764055589.
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8
Lee, Rong-Zhau, and 李榮釗. "The Effect of Oil Price Adjustment on Taiwan’s Stock After a Financial Crisis." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/gqhdrx.
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9
Tzeng, Sheng-Fu, and 曾生富. "Holmes-Smyth Effect, Intertemporal Policy Mix and the Dynamic Adjustment of Stock Price." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/04264364539505304745.
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10
Cheng-Ta, Hsieh, and 謝承達. "Exchange Rates Policy Announcement and Stock Price Dynamics Adjustment under Fixed Exchange Rates Regime." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/80751577231633660629.
Повний текст джерелаАнотація:
碩士嶺東科技大學
財務金融研究所
95
Before 1960, the studies of international finance mostly attend to the foreign exchange market and neglecting the relationship between the foreign exchange market and other markets. Until the initial stage of 1960, Mundell (1963) and Fleming (1962) had builted a general equilibrium analytic model. Is this model we call Mundell-Fleming model. When Mundell-Fleming model was proposed, the price-level of social environment appeared stable, so this model was hypothesized the price was fixed. In the initial stage of 1970,there was a stagflation happened to international, in order to accord with the social form, Dornbusch issued ' Expectations and Exchange Rate Dynamics ' in 1976. In the article, he changed price stiff firm of Mundell-Fleming model into varied price and fixed output model. This article also drove the studying trend of Exchange Rate Dynamics adjust. Blanchard issued ‘Output, the Stock Market and Interest Rates’ in 1981 thereafter. This is the first classical literature of stock price dynamics under anticipated assumption. This article extended the model of Dornbusch (1976) and Blanchard (1981), under the fixed exchange rate , set up a opening economic system which include the commodity market, money market, foreign exchange market, and stock market. Treating of the effect of policy change (including the change of exchange rate) to the domestic stock price and influences of the foreign exchange reserve. In this article, we found: 1. For long-term equilibrium, when the government administered expansion financial policy, the impact on stock price is uncertainty, it depend on capital moving degree ,the proportion of the output distribute to shareholders and the relative size of the net export price elastic . 2.Under the fixed exchange rate system, the economic system has a positive root and a negative root, it mains the economic system has the characteristic of saddle point stability. When the government announces the exchange depreciation, stock price and foreign exchange reserve will move towards the new long-run equilibrium through the stability function of this system, this is consistent with the cointegration and GARCH model for real example. 3.When , after the policy announce to the policy implement. The foreign exchange reserve will present the phenomenon of misadjustment. 4.For long-run equilibrium, the government increases the domestic credit level have no effect on stock price; but that will reduce the foreign exchange reserve. In other words, the currency for a long-run does not have neutrality. 5.When the foreign nominal interest rises, for a long-run equilibrium, the stock price will be dropped; and the foreign exchange reserve will be reduced.
11
Huang, Shu-Hui, and 黃淑慧. "The Evaluation and Dynamic Adjustment of Stock Price : The Case of Taiwan's Telecommunication Industry." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/nhqg7f.
Повний текст джерелаАнотація:
碩士中原大學
國際貿易研究所
92
Based on Ohlson equity evaluation model, this thesis first replaces non-accounting information with corporate governance, technological progress and systematic risk to evaluate the stock price. Secondly, we use co-integration analysis to investigate the long-run equilibrium relationship among stock price and those important variables contained in revised Ohlson’s model. Finally, we adopt error correction model to discuss short-run dynamic adjustment process of stock price and the lead-lag relationship between stock price and variables used in co-integration analysis. In empirical study, we utilize fixed effects model and SUR model to evaluate the stock price in telecommunication industry, and further divide it into IC related industry, handset industry and telecommunication service industry. To analyze the differential effects derived by different observational periods, sample periods are three-years and five-years. In addition, in analyzing long-run equilibrium relationship and short-run dynamic adjustment process, this study extends sample periods to seven-years. The empirical results are as follows: 1. In the aspect of stock price evaluation: (1) By adding corporate governance, technological progress and systematic risk to represent non-accounting information to re-estimate the revised Ohlson valuation model, the fitness of the model is improved. This shows that it is important for non-accounting information to evaluate corporate value. However, the influence of book value and abnormal earning on stock price become weaker as time goes by. (2) Among those important variables affecting sub-industry stock price, financial information and systematic risk play important roles in three-years sample period. The importance of systematic risk and corporate governance become significant in five-years sample period. (3) The effect of abnormal earning on stock price is not so important than non-accounting information variables. 2. In the aspect of stock price dynamic adjustment process: (1) There is a long-run equilibrium relationship among stock prices, electronic sector stock index, equipment per employee, the holding ratio of qualified foreign investment institution, abnormal earning and book value in each sub-industry. In error correction model, most adjustment coefficients are positive. (2) Variables influencing stock price focus on the changes of earlier-period stock prices volatility, the holding ratio of qualified foreign investment institution and electronic sector stock index. 3. In the aspect of causality between stock price and independent variables. Electronic sector stock index is a leading indicator to stock price in most companies. Stock prices in most companies are related to most variables, and for the most part, stock price causes changes of other variables. Moreover, the relationship between stock price and its regressors are different in each sub-industry.
12
Kao, Yi-Huei, and 高儀慧. "A study of price adjustment coefficient model in Taiwan stock market--the impact of industry." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/70273487673672459733.
Повний текст джерелаАнотація:
碩士國立臺灣大學
商學研究所
85
A desirable property of security prices is that they converge towards their true or intrinsic values. When this occurs we can state that prices contain full information and are in strong form efficient. We are therefore concerned with the speed at which prices move toward their intrinsic values. One means by which we can judge the efficiency of a securities market is the speed of adjustment of prices to reflect the arrival of new information. In this research, we applied three models: index price adjustment coefficient (Amihud & Mendelson, 1989), corrected Damodaran''s individual stock price adjustment coefficient (Brisley & Theobald, 1996) and partial adjustment factor (Theobald & Yallup, 1996), to investigate the efficiency of Taiwan stock market. Daily values for the TSE capitalization weighted index and all the industrial group sub- indexes were collected for the period stretching from 1991 to 1996. The main objectives of this research are as follows:1. Using the price adjustment coefficient to investigate the efficiency of Taiwan stock market.2. Trying to find whether the price adjustment speeds are different for different industrial groups.3. Using the partial adjustment factor to see if the non-synchronous relationship exits in the TSE capitalization weighted index and the industrial group sub- indexes. Based on our empirical results, the followings are some of the import findings:1. The price adjustment speeds are different for all industrial groups.2. The pattern of price adjustment process is significantly affected by the length of return interval tested; hence the price adjustment coefficient may not be able to measure the market efficiency very well.3. The adjustment processes of most industrial group sub-indexes and the TSE capitalization weighted index are non-synchronous.
13
Lin, Yan-you, and 林彥佑. "The impact of Investor''s sentiment on the speed of stock price adjustment." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/26803249128455836095.
Повний текст джерелаАнотація:
碩士國立高雄第一科技大學
金融系碩士班金融組
103
Recently, investor’s sentiment has become an important issue in financial literature. In this study, I use the consumer price index (CPI Index) as a proxy of investor’s sentiment. Following Hou and Moskowitz (2005)’s measure, which assesses the power of lagged market returns for predicting contemporaneous stock returns, this study examines the speed of stock price adjustment under high and low investor’s sentiment. The higher the measure is, the slower the speed of stock price adjustment. The results suggest that the speed of stock price adjustment under the high investor’s sentiment is slower than that under the low investor’s sentiment. The results remain after distinguishing the positive and negative returns.
14
Lai, Yen-Yuan, and 賴衍源. "Nonlinear Adjustment and Arbitrage Region of Stock Price－An Extensive Application of the Ohlson Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/79811237855380633995.
Повний текст джерелаАнотація:
碩士中原大學
國際貿易研究所
98
This thesis modifies the original Ohlson equity evaluation model (OM) to evaluate stock price, risk premium and arbitrage region by considering the problem of incomplete stock market and risk-averse investor’s arbitrage behavior. The original Ohlson model assumes stock market is complete and investors are risk-nature. In fact, stock markets are always incomplete and almost all investors are risk-averse; therefore, in investing stock market investors face some risks and risk premium is the incentives to attract them to engage in investment. This implies that original Ohlson model need to be a nonlinear form. Based on this consideration, we modify the original Ohlson model by utilizing the concepts of smooth transition and arbitrage underlain in the STARX model to construct a nonlinear Ohlson evaluation model (NLOM). The nonlinear part in the NLOM could be an appropriate proxy variable for the other information in OM, and regarded as a risk premium to compensate for the possibility the investors face. Moreover, from the NLOM investors can set up arbitrage region. Empirical results show that most of the sample stock prices display smooth transition within different regimes and reveal a Logistic-STARX type; the NLOM we construct has significantly better goodness-of-fit and forecasting performance then OM. Most importantly, investors can easily employ the lagged book value, abnormal earning and stock price to find out arbitrage regions.
15
Ni, Shih-Yang, and 倪世颺. "The effect of Electronic trading system on price efficiency in stock markets based on nonlinear dynamic adjustment." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/07206468207703457917.
Повний текст джерелаАнотація:
碩士國立暨南國際大學
國際企業學系
98
This research provides a cross-country empirical description of the relationship between the electronic trading system operated by stock exchanges and trading behavior of heterogeneous investors who use the exchanges. Using nonlinear model I estimate the transaction costs and price efficiency faced by arbitragers who take advantage of mispricing between index and index futures . There are eight markets in my research including Financial Times Stock Exchange 100 Index in London Stock Exchanges, Standard & Poor's 500 index in Chicago Merchandise Exchange, New York Stock Exchange Composite in New York Stock Exchange, Nikkei 225 Stock Index in Tokyo Stock Exchange, Straits Times Index in Singapore Stock Exchange, Austrian Trade Index in Vienna Stock Exchange, Madrid Ibex-35 index in Madrid Stock Exchange, DAX30 Index in Deutsche Borse AG. The results indicated that FTSE100, S&P500, ATX, IBEX35, DAX30 have been a significant cost reduction in the level of transaction cost and the heterogeneity of transaction cost faced by arbitragers. On the other hand, NYC, Nikkei225, STI have the opposite results. The price efficiency in the futures market is better than the index market due to the introduction of electronic trading. Especially in FTSE100, S&P500, IBEX35, DAX30 index futures. This represents that when the price deviate from the equilibrium level, index futures play a major role in the price adjustment.
16
Yang, Shu-yi, and 楊淑宜. "Tourism、Monetary Policy Announcement and Dynamic Adjustment of Domestic Stock Price and Exchange Rates：Floating Exchange Rate Regime Model." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/8e6bqt.
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17
Fernandes, Marco André Torres. "The Effects of the Anchoring and Adjustment bias following a price shock: Evidence from the German stock market." Master's thesis, 2021. https://hdl.handle.net/10216/138308.
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18
HAI-CHEN, CHEN, and 陳海貞. "Uncertain Policy Increment of Intertemporal Policy Mix and Dynamic Adjustment of Stock Price-The Role of Holmes-Smyth Effect." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/37231333603239282035.
Повний текст джерелаАнотація:
碩士東海大學
經濟系
103
Abstract This paper presents a macroeconomic uncertainty policy increment of intertemporal policy mix announcement model of flexible price and fixed output in a closed economy based on the framework developed by Tseng(2011), Liaw and Tseng(2012). We use the announcement effect approach of rational expectation to discover the influence of stock price dynamic adjustment pattern under the increment uncertainty of intertemporal policy mix? The major findings are (1) whether the actual policy increment of the policy authorities is different from the expectation of the public? (2) the relative magnitude of “the liquidity effect” and “the dividend effect”, (3) the relative magnitude of “the liquidity effect” and the sum of “the dividend effect” and “the Holmes-Smyth effect”, (4) the relative magnitude of the “the policy increment effect between fiscal and monetary policy”, (5) the relative magnitude of the “the policy announcement effect between fiscal and monetary policy” are the key determinants to decide the stock price dynamic adjustment pattern.
19
Chen, Jiun-Hung, and 陳俊宏. "Examining The Multi-Asymmetric Price Adjustment Behaviors And The Leverage Effect-Evidence From The Four Matured and Four Emerging Stock Markets." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/zvu598.
Повний текст джерелаАнотація:
碩士國立暨南國際大學
經濟學系
91
This paper incorporates the price adjustment model by Amihud and Mendelson (1987) with the threshold model to examine multi-asymmetric price adjustments of seven stock markets from 1980 to 2000. Specifically, we adopt the threshold model to identify four types of market states for capturing the various directions and sizes of post information and test price adjustment speed in various market states. Among the contemporary studies of stock return autocorrelation via the price adjustment model, few, if any, aims at exploring whether and how the adjustment patterns would differ among the markets with differential states and/or differential level of development. Our empirical findings are consistent with the following notions. First, full price adjustment behavior is pronounced in the more developed markets of US, UK and Germany. Second, Japanese and Philippines markets make full (partial) price adjustments on bad (good) news. In contrast, the investors in the less developed stock markets including Taiwan and Malaysia react full (partially) to post (negative) positive returns. Third, South Korean markets over-react especially during the volatile and bearish regimes. Fourth, The asymmetric price adjustment behaviors and the leverage effect are both one of the reasons of the abnormal volatilities. Fifth, the asymmetric price adjustments and asymmetric volatilities models established in this paper outperform the alternative competing models.
20
Chen, Guo-Ruei, and 陳國瑞. "The Difference of the Speed of Stock Price Adjustment between Public Subscription and Partial Auction: An Empirical Study on IPOs in Taiwan." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/91677001533056629970.
Повний текст джерелаАнотація:
碩士朝陽科技大學
財務金融系碩士班
98
Yen, Yen & Chen (1995) find that the post-offering price adjustment process is completed approximately on the 14th transaction day for the case of “public subscription”. The study just mentioned adopts graphic analysis as a measure of days-needed-for-reaching-equilibrium. Since it use the visual method, it is less objective. Therefore, this thesis attempts to apply the econometric model to explore the difference of the speed of stock price adjustment between “public subscription” and “partial auction”. In order to explore the difference of the speed of stock price adjustment between “public subscription” and “partial auction”. This thesis modifies the model of Lin & Rozeff (1995) to conduct our empirical analysis. Our sample is composed of the newly listed corporations on the Taiwan Stock Exchange (TAIEX) arising from the IPOs over the period from January 1 1996 to December 31 2004. The empirical results show that newly issues underwritten under partial auction have indeed registered a quick pace of price adjustment when compared with their counterparts underwritten under public subscription, although the difference in the stock price adjustment has not reached the statistical significance.
21
Almajed, Sultan Mohammed A. "Stock Market Reaction to Company Announcements in an Emerging Stock Market: The Case of Saudi Arabia." Thesis, 2020. https://vuir.vu.edu.au/42795/.
Повний текст джерелаАнотація:
Announcement events are essential for investors and shareholders, enabling them to determine the viability of their investments. According to efficient market theory, stock prices in a semi-strong market factor in all material public information. Therefore, publicly issued financial announcements may influence demand for stocks and affect their prices. This thesis examines how announcements of annual earnings, top management changes and annual general meetings (AGMs) influence stock returns in Saudi Arabia. The thesis also explores stock price adjustment to these announcements to determine the efficiency of the stock market. Lastly, the thesis investigates whether different firm characteristics (size, government ownership and sector) are determinants of stock return reactions related to the announcements period.
The study examined 171 companies and 1,637 announcements between 2014 and 2018. An event study methodology was adopted to investigate the impact of announcements on stock returns. The Fama-French three-factor model served to compute the expected returns while the Generalized method of moments (GMM) estimation method was applied to deal with endogeneity and simultaneity biases. These arise when the explanatory variable is correlated with the residual disturbance term.
The results confirm that the Saudi stock market does not exhibit a semi-strong form of market efficiency because significant abnormal returns were observed on event periods. These returns imply that the market considers announcements of earnings, top management changes and AGMs to be useful. The stock market did not exhibit an efficient response to earnings announcements, suggesting a pause in the reaction to market information. Evidence of underreaction to good earnings news and overreaction to bad earnings news was observed, suggesting that the stock market is driven by the dominance of individual investors, with a lack of financial analysts. Top management change announcements led to significant negative abnormal returns, suggesting that investors continue to respond negatively, although there is no immediate response. Thus, the market is not working efficiently. Forced resignation news yielded significant positive abnormal returns on the event day, indicating that dismissal news enhances investor confidence. Retirement and voluntary departure announcements generated negative abnormal returns on the event day, suggesting that investors are worried about the new successor and the company’s future after the loss of the retiring or departing executive’s experience. New appointment announcements yielded significant positive abnormal returns on the event day although there were significant negative abnormal returns on the succeeding days, suggesting the new appointee may not have inspired investor confidence. The results also indicated that the stock market responds significantly and quickly to AGM announcements, implying that these announcements contain useful information. The findings identified size in the top management changes period, government ownership in the annual earnings announcement period and sector in all three announcement event periods as the major determinants of stock price reaction. These determinants influenced stock market efficiency in the sample period.
The findings provide valuable information to market participants by clarifying the effects of announcement events on the emerging stock market and indicating whether firm factors influence stock market efficiency at times around announcements. This study lays a foundation for future research into listed companies’ public announcements in other developing countries or for comparisons with more developed countries.
22
LIN, LI-KUO, and 林立國. "Stock Price Reaction to IFRS 15 Reconciliation Adjustments." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/w52b39.
Повний текст джерелаАнотація:
碩士國立臺北大學
會計學系
107
IFRS 15 “Revenue from Contracts with Customer” has been effective for annual reporting since January 2018 in Taiwan. Because of the adoption of IFRS 15, listed companies are required to choose transition method from IAS 18 to IFRS 15. As most listed companies chose to recognize the cumulative effect as an adjustment to retained earnings, this study investigates the value-relevance of the retained earning adjustment, and applies the event study methodology to test how market reacted to the announcement of retained earnings adjustments. Using data from Taiwan listed companies in first quarter of 2018, this study has the following findings: (1) if listed companies incurred net loss in first quarter of 2018, the retained earnings adjustment was value-relevant to investors and affected stock price significantly positively. (2) the empirical result for the cumulative abnormal returns regression indicated that the retained earning adjustment has no significant relationship with cumulative abnormal returns.
23
tzung-hsun, Yang, and 楊宗勳. "Chartists, Funamentalists and the Dynamic Adjustment of Stocks Price." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/68458937741809658016.
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24
Eom, Kyong Shik. "Volume, number of trades, and price adjustment process : theory and empirical properties /." Diss., 1997. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:9814957.
Повний текст джерела
25
Cheng, Wen-Hsing, and 鄭文新. "Adjustment of Stock Prices in Open Market:Asia Financial Crisis." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/08763797251917350819.
Повний текст джерелаАнотація:
碩士國立中正大學
國際經濟研究所
86
1997年的東南亞金融風暴，台灣也受到波及，造成股價大幅下挫和外 匯存底流失。台灣當局為了挽救股市、匯市，於是採取一些防禦性政策， 希望能穩定股市及匯市。本文是以Flood and Garber(1984)的模型為基礎 ，在完全預知、資本不完全移動與本國商品和外國商品完全替代的假定下 ，探討這次亞洲金融風暴中當局的可能因應政策。茲將本文各章節所獲致 的重要結論略述於下：(1) 央行在投機買匯發生後，採取未預料到的暫時 性貨幣供給增加。此項政策雖然可以使股價在政策執行的瞬間跳躍的上升 ，但隨即股價又開始下挫;而表現在外匯存底方面，該項政 策並不能 改變外匯存底不斷流失的命運。且不論是股價或外 匯存底，兩者都要 在投機買匯行為消失後，才會慢慢止跌回 升。(2)當投機買匯發生後 ，央行採行未預料到的永久性貨幣貶值政策。在不同的時點採行此項政策 ，可能出現三種不同的調整路徑。但是無論何時執行這項政策，在政策執 行的瞬間 ，皆會使得原本已經開始下跌的股價有一跳躍式的下降，而使 得股價有一雪上加霜的效應。另外，該項政策確實能使外匯存底免於流失 至未施行任何政策時的最大流失量，而避免外匯存底的嚴重損耗。(3) 若 是央行在投機買匯發生後，宣示將不惜一切代價堅守匯率到底的情況。如 果政府的信用良好，則此項政策宣示將能消除民眾的預期心理，而使得投 機買匯的行為迅速消失，於是股價和外匯存底就會儘早回復。但若政府的 信用不良，該項政策將可能失效。 在這次金融風暴的危機中，台灣當局 無論用貨幣政策或匯率政策，皆不能有效地同時安定股票及外匯市場。而 我們知道，台灣所面臨的金融風暴主要是因為預期心理而引發，於是消除 此種預期心理應是政府在處理這次金融風暴時的優先考量。此外，央行的 宣示是一種政策，實不應該出爾反爾而影響威信，否則，下一次不幸又發 生類似的金融風暴時，央行若想經由宣示堅守匯率而對抗投機客時，投機 客將可能不會相信央行的決心，而仍會繼續投機買匯。於是，經濟體系的 調整路徑可能就不會有所影響，而使得央行的政策宣示失敗。
26
"Joint adjustment of house prices, stock prices and output towards short run equilibrium." Inst. für Volkswirtschaftstheorie und -politik, 2004. http://epub.wu-wien.ac.at/dyn/dl/wp/epub-wu-01_655.
Повний текст джерела
27
PAN, ZHI-CHENG, and 潘志誠. "An empirical study of the efficiency of Taiwan stock market-the adjustment of stock prices to the announcement of financial reports." Thesis, 1987. http://ndltd.ncl.edu.tw/handle/63978681529749311204.
Повний текст джерела
28
ZHAN, XUBIN, and 詹旭斌. "Information Content of Nonlinear Short-run Adjustments between Used-House Prices and Stock Prices –for Examples of Asian Emerging Countries." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/06516754510092088710.
Повний текст джерелаАнотація:
碩士華夏技術學院
資產與物業管理研究所
99
This study uses the powerful nonparametric co-integration test of Bierens (1997) to examine whether non-linear co-integration exists between the prices of used houses and the corresponding stocks in China and the Four Asian Tigers, respectively. In addition, it employs the smooth transition vector error-correction model (STVECM) to separately explore the adjustment efficiencies of the short-run house and corresponding stock return dynamics, while there is disequilibrium between the house and stock prices in these Asian areas. The empirical results indicate that there is non-linear co-integration between the house and corresponding stock prices in China, Korea, Singapore and Taiwan, and that the speed of adjustment of the house prices reverting to equilibrium is always greater than that of the stock prices when large positive and negative deviations exist in these Asian areas. Moreover, the short-run speeds of adjustment in reverting to equilibrium of the large negative and positive deviations between the house and stock returns are equal in China, Korea and Taiwan, while they are unequal in Singapore. The results of the Granger causality test also indicate that the stock prices evidently lead the used house prices in these Asian areas except in Korea. To sum up, the stock market exercises the role of price discovery. Our study confirms that the STVECM is fitted to analyze the adjustment efficiency of the short-run house and corresponding stock return dynamics reverting to equilibrium in China, Korea, Singapore and Taiwan, which provides support for noise trader models.
29
Tu, Chia Jung, and 杜佳蓉. "The Effects of changes in price and analyst responses of earnings forecasts to stocks indices adjustments." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/46261931994647049195.
Повний текст джерелаАнотація:
博士國立政治大學
財務管理研究所
97
Two essays are comprised in this dissertation to examine the effects of changes in price and the analyst responses of earnings forecasts to stocks Indices adjustments. Stock markets vary in nature from one country to another and the characteristic of stock index adjustments also alter significantly. The analytical results can provide better information for investors and management to make better decisions. In the first essay, we examine price effects associated with changes in the composition of the Nikkei 225 Index and MSCI Taiwan Index. The analytical results show the price effects on stocks experiencing adjustments in the Nikkei 225 Index are consistent with the price pressure hypothesis. The price effects of composite stocks changed for the MSCI Taiwan Index are consistent with the downward sloping demand curve hypothesis. Based on classifying the characteristics of composite stocks into three categories, we find that large-scale added stocks dominate the price trend of the whole added sample in the Nikkei 225 Index. Also, added stocks with upwards revision earnings forecasts make more abnormal returns than the added stocks with downwards revision earnings forecasts in the Nikkei 225 Index during the post-announcement period. The electronic stocks earn larger abnormal returns than non-electronic stocks in the MSCI Taiwan Index. That can enable investors to profit by buying electronic stocks and added stocks with upwards revision earnings forecasts. The price reactions for the composite stocks in the Nikkei 225 Index and MSCI Taiwan Index around the Internet bubble burst have significantly difference. In the second essay, we study the earnings forecast changes and absolute forecast errors made by analysts of the Nikkei 225 Index and MSCI Taiwan Index. Depending on the properties of brokerage firms that analysts work for, we divide them into local analysts and foreign analysts to separate who are more accurate than one the other. The results show that in comparison with the matching firms in Japan, the magnitudes of mean forecast revisions and absolute forecast errors are smaller made by analysts focusing on firms newly added to the Nikkei 225 Index. For firms newly added to the MSCI Taiwan Index, the magnitude of changes in analysts EPS forecasts do not differ clearly from those of their peer groups. Absolute forecast errors made by analysts focusing on firms newly added to the MSCI Taiwan Index are smaller than those made by analysts focusing on the matching firms. This phenomenon demonstrates firms that are newly added to the Nikkei 225 Index and MSCI Taiwan index exhibit significantly improved performance. In terms of the relative accuracy of local and foreign analysts, the results display that the forecasts of foreign analysts are less accurate than those of local analysts in Japan and the forecasts of foreign analysts are more accurate than those of local analysts in Taiwan.