The Mean reversion Behavior of Taiwanese Industrial Group Stock Indices

• Main Authors: Bin-Hung Tsai, 蔡檳鴻
• Other Authors: Shin-Jen Liao
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/00199817977606740714

碩士 === 樹德科技大學 === 金融保險研究所 === 94 === Abstract Since the development of stock markets, there have been many academic literatures indicating the phenomenon of “stock price mean reversion”. The origin of mean reversion was from many scholars’ questions if the stock prices follow a random walk model. One alternative for stock prices not following random walk model is mean reversion model. It implies that stock prices would revert to their reasonable values over a certain time horizon. The Variance Ration Tests are applied to investigate the possibility of the mean reversion behaviors of the Taiwan Industrial Group Stock Indices. The monthly data are collected from January, 1995 to December, 2005. There are totally 2,376 monthly Industrial Stock Indices. The empirical analysis results the following conclusions: 1. A strong evidence of mean reversion behavior is indicated among the Taiwanese Industrial Group Stock Indices, the most obviously ones are the Tourism and Finance Industry Group Stock Indices. 2. As a whole, Taiwanese Industrial Group Stock Indices have obviously mean reversion after holding 22 months. Instead, TAIEX has obviously mean reversion after holding 36 months. All industry group stock indices reverse more quickly then the TAIEX. 3. If a investor selects a less than 5 year holding period, a higher return will be expected with a portfolio of Electronics, Plastics and Automobile Industry Group Stock Indices.