台灣股票市場資產組合之價格調整過程：規模與產業別效果

• Main Authors: Lai, Chung-Ming, 賴俊銘
• Other Authors: LIU, SHI-MIIN
• Format: Others
• Language: en_US
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/19796372689239602718

碩士 === 國立臺北大學 === 經濟學系 === 92 === This paper employs the ARMA(1, 1) model implicit in Amihud and Mendelson’s (1987) setup to empirically estimate the price adjustment coefficients of Taiwan’s stocks for examining the efficiency of Taiwan’s stock markets under various time intervals as well as the impact of size and quality variables on the price adjustment processes. Since Amihud and Mendelson’s noise model is used to analyze intraday data originally, our investigation focuses on the price adjustment processes of short-term time interval return series. While the size variables adopted in constructing stock portfolios include trading volume, transaction price, and market value, the quality variable used is the industrial category. In addition to big industrial categories of finance, electronics, tradition, and others, the electronics industry is further divided into traditional-information technology, semiconductor, and photoelectric sub-industries. The estimated price adjustment coefficients may be greater than, less than, or equal to 1, representing overreaction, underreaction, or full adjustment, respectively. The results show that all 5-minute return series and the low-size 15-minute (portfolio A) return series exhibit significant underreaction behaviors. By contrast, other short-term return series reflect information fully. Size and quality variables have no impact on the price adjustment processes of short-run return series because the estimated price adjustment coefficients for various stock portfolios, which are constructed based on different degrees of these variables, are statistically indistinguishable. On the other hand, in the long-term analysis, stock portfolio return series reflect information fully in all years, indicating the weak-form efficiency of Taiwan’s stock markets is not rejected. Moreover, trading volume, transaction price, and market value variables still have no influence on the price adjustment processes.