Empirical Test of Price Barriers Effect in Taiwan’s Stock and Futures Market

• Main Authors: Huei-Chuan Hsieh, 謝惠娟
• Other Authors: Ching-Chih Hsu
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/25579281236146478663

碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === The meaning of “INDEX” to the investors is measuring the changes of their asset prices. Besides, when it’s jumping to a certain value, it can be the sentiment signal for judging the status of market as a bull or bear. The commentaries of financial market analysts frequently imply the certain values of widely followed asset prices and aggregate market indices hold special significance for market participants. When indices attain certain price level, the investors always have extra expectation for earning excess return. The index level of sentiment-induced price is called “price barriers.” The study tests ten kinds of indices in Taiwan’s Stock and Futures Market to examine whether the price barriers exist. Through the study’s tests, I hope to observe the “support level” and “resistance level” when the indices attain the levels at multiples of 100. By comparing the markets of stock and futures, I hope to know the “price barriers effect” is more obvious in futures market than in stock market. Finally, according to the EMH issued by Fama in 1970, we know that when the market is efficient, the “price barriers effect” will not exist. The following is the study’s empirical results: 1.The “price barriers effect” isn’t obvious in Taiwan’s markets of stock and futures. 2.Only three kinds of the ten indices can show the slightly price barriers effect. 3.The “price barriers effect” in futures market is no more evident than in stock market. 4.Due to the lack of “price barriers effect”, we can’t indicate the market in Taiwan is inefficient.