| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 89 === On it’s way to a developed country and with the goal of becoming the Asia-Pacific Regional center, Taiwan has loosen regulations on foreign investment and participation in Taiwan market in hope to create a free and international market for other countries to join. The force of foreign capital has influenced Taiwan stock market in many aspects. The focus of this research is on relationships between Taiwan Stocks, after adding in international index information, and fluctuation of stock return.
The daily return ratios of 77 listed companies of Taiwan stock market MSCI (1995 October to 1996 July) and 35 listed companies of Taiwan FTSE (1999 November to 2000 August) are the selected as examples in this research. Through Traditional Event study method, Moving Beta Average Study and GARCH event study model we predict the average return of the 77, and 35 companies. We also use AR, CAR to analyze information release effect on stock price so to prove certain piece of information’s price effect, information content and market efficiency.
This research results have proven that as to MSCI example stocks, no matter using whatever kind of event study model to evaluate example stock’s abnormal return during the research carrying period, we find that one day prior and after the information/news release, there is no obvious abnormal return. Thus deduct that price of this example stock’s has no significant response after being added in EMF (Morgan Stanley Emerging Market Free) information. As to FTSE example stocks, on the other hand, we found that there is positive abnormal return prior to and after one day the information/news release, using any kind of event study method. Thus conclude that this example stock has positive price response towards including FTSE world wide index information/news. Moreover, when comparing three event study models, we also found that the abnormal return is quite similar using any models in calculation.
At last, we can conclude that with observation to two different groups of example stock abnormal return and price variation, Taiwan stock market is not a efficient market during the researching time span.
|
|---|
