“Stock Leaders” Effect — Abnormal Return Study of Individual Stock Price

• Main Authors: Simon J.Y Kang, 康景淵
• Other Authors: 梁恕
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/67973711159294830699

碩士 === 東吳大學 === 國際貿易學系 === 92 === “Stock Leaders” Effect — Abnormal Return Study of Individual Stock Price It is very frequent to see most of the investors use limited and unverified information to operate the stock trading actions. In Taiwan, it happens mostly on the individual investors. In the stock market that is filled with clutter information, investors don’t seem to make reasonable judgments; however, they would be doing what we call “chase high and cut low”, which means the investors blindly buy in high-priced stock and sell out low-priced stock without reasonable according. Especially when one particular stock has the highest stock price among the listed stocks, the media will call it the “Stock Leader”. This title usually attracts more investor to follow and then creates more capital gain. In this study, when one stock becomes “Stock Leader” for its first time, we call it “Event”. This study attempts to sample all the stocks that had or have become “Stock Leaders” that appeared during the period of 1997/1/1 to 2003/12/31. Furthermore, we’ll use event-study to analyze the stock course and anticipate whether or not the investor will be able to make abnormal return values, if they come in at the moment. The study has used a strict sampling method to isolate some of the “stock leaders” that cannot be applied by event-study, and also isolate those who have short estimated periods. It has come up with the result of ASUS and other 5 listed stocks that have fulfilled the conditions of event-study from the sampling period. It also discovered that most of the stocks that become the “stock leader”, their rate of return does present abnormal return and negative phenomenon according to Elec. Stock index. We hope investors will be thoroughly analyze the “stock leaders” that have been strongly recommended by various medias or analysts; even the well-reputation listed company that has opportunities to acquire high profit, high growth rate, and high stock price still needs to be carefully considered for any investment action.