Is there high premium in the Taiwan Stock Exchange?

• Main Authors: Chien-Hao Huang, 黃建豪
• Other Authors: Horace Chueh
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/42634364784545664959

碩士 === 國立高雄第一科技大學 === 金融營運所 === 90 === ABSTRACT Past researches usually investigate relation between trading volume and price volatility. Gervais et al.（2001）have examined the power of trading volume in predicting the direction of future price movements. We follow Gervais et al.（2001）to investigate trading volume in predicting the directing of future price movements. The samples contains all component stocks in the Taiwan 100 index calculated by TEJ（Taiwan Economic Journal）. We construct the daily sample by splitting the time interval between January 1, 1994 and November 21, 2001 into 70 non-intersecting trading intervals of 30 trading days. Each trading interval is spilt into a reference period and a formation period, which respectively consist of the first 29 days and the last day of the interval. The reference period is used to measure how unusually high or low trading volume is in the formation period. Then we use two portfolio approaches: zero investment portfolio and reference return portfolio to find large or small trading volume return , which has 1, 5, 10, 15, 20, 25 and 30 days test period. The results indicate that stock experiencing unusually low volume tend to appreciate over the following days, stock experiencing unusually high volume tend to depreciate over the following days. On the other hand, trading volume can predict the directing of future price movements. Our result is seem to contrast Gervais et al.（2001）. However, Chen et al.（2001）found that is different relations between trading volume and return in the different country. Therefore, the inconsistent results may attribute different market structure between Taiwan equity market and NYSE. In addition, return autocorrelation, firm announcement, market risk, liquidity, individual ownership do not seem to explain our results.