Filter Rules Based On Price and Volume in Individual Securities

• Main Authors: Su-Yueh Lin, 林素月
• Other Authors: Wen-Liang Hsieh
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/79714128687703415223

碩士 === 淡江大學 === 財務金融學系 === 88 === Abstract︰ This study tests the abnormality (over-reaction or under-reaction) of Taiwan stock market. We construct portfolios based on the different levels of return and volume applying the concept of Filter Rules proposed by Cooper (1999). The purpose is to show whether portfolio experienced extreme prior price changes and volume changes has more significant continuing or reversing tendency. Turnover rate of individual securities is used as the proxy of volume. The data includes the weekly return and volume of the individual securities in Taiwan stock market during 1987-1999. Empirical results suggest that the Taiwan stock market exhibits under-reaction, that is, winners continue to win and losers continue to lose. Portfolios with higher prior return tend to maintain higher return in current period, and vice versa. The above tendency is more significant when winner/loser portfolio is judged by return of two consecutive prior period rather than just one prior period. It implies that stock return in longer period may contain more information for prediction of future return movement. The growth of turnover rate is significantly related to the portfolio return in the same period. However, turnover rate fails to provide meaningful information in predicting the future return.