the relationship between the stock concentration and the returns on stock value - take the electronic and conventional industries for example

• Main Authors: Chang Hung, 洪振
• Other Authors: Hsin-Hong Kang
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/17224498744837725622

碩士 === 國立成功大學 === 企業管理學系碩博士班 === 91 === We use the average return of a year,the maximum of accumulative returns and the minimum of accumulative returns as the form of measurement. The major purposes of the research are as list : (1)to discuss the relationship among the stock concentration,the property of the company(including of scale,P-E ratio,turnover rate and market-to-book equity ratio),and the returns on stock value. (2)to test whether the profolio of the higher stock concentration will be ahead of the profolio of the lower one on information about returns. (3)to compare the difference between the electronic and conventional industries. The source of the data is come from TEJ,and the range of the data includes the company that TSEC permits；the period of the data collection starts at January 2,2001 and ends at December 31,2002. The methods of research we use are as follows : simple correlation,partial correlation,regression analysis,Kruskal-Wallis test,ANOVA,Ducan test,Unit Root test,Cointegration test,and ECM. The results of the research are as follows : the property of lower scale,turnover rate,and market- to-book equity ratio happen in the conventional industries；but it is opposite in the electronic industries.Besides,the average return of a year,the maximum of accumulative returns and the minimum of accumulative returns in the conventional industries are higher than in the electronic industries. the lower stock concentration accompanies with the lower scale in both industries.The higher stock concentration accompanies with the higher market-to -book equity ratio only in the conventional industries.in the conventional industries, the profolio of the lower stock concentration will result in the higher maximum of accumulative returns；In the electronic industries,the profolio of the higher stock concentration will result in the higher minimum of accumulative returns.Finally, in the conventional industries,the adjust R-square will be increased if we add the stock concentration to the model which dependent variable is the minimum of accumulative returns and independent variables are the property of the company,but it will be decreased in the electronic industries,and the stock concentration has no significant effect to the model.the situation that the profolio of the higher stock concentration leads the profolio of the lower stock concentration on information about returns only happens in the electronic industries.