The Intraday Behavior of Twenty-four-hour Return Variance in the TSEC
碩士 === 國立高雄第一科技大學 === 金融營運系碩士班 === 89 === Using high frequency transaction data for a sample of 77 stocks listed on Taiwan Stock Exchange capitalization Weighted Stock Index and MSCI Taiwan Stock Index during the period from July 1988 to December 1988.Individual stocks are examined over 5...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/02830162100816176894 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運系碩士班 === 89 === Using high frequency transaction data for a sample of 77 stocks listed on Taiwan Stock Exchange capitalization Weighted Stock Index and MSCI Taiwan Stock Index during the period from July 1988 to December 1988.Individual stocks are examined over 5-minute intervals during 24 hours. Compare Index with stocks to examine the results of open-to-open return variance ratio, and study the effects of over-night return volatility to investors. We find that higher open-to-open return variance ratio results from the accumulation of information. The information which had happened will effect at the open and at the close of the investors’ behaviors. Therefore, the information which will not happen will effect at the close of investors’ behavior.
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