A Study of Jump Behavior of Share Prices Listed in TSE.

• Main Authors: Yu-Ting Huang, 黃郁婷
• Other Authors: 倪衍森
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/96330034569771838145

碩士 === 淡江大學 === 管理科學研究所碩士班 === 94 === The jump is a kind of technical analysis, but few studies are about this topic. The main objective of this study is to examine the effects of share price listed in Taiwan Stock Exchange (TSE) after the jump happened. I conducted the method of “Event Study” to estimate the average abnormal returns (AR) and cumulative average abnormal returns (CAR) before and after the jump. And then, I tested the t-value of AR and CAR to verify if it is significant. The sample includes 70 firms listed in TSE which are divided into 14 industry categories, and the sample period is from 2003 to 2005. According to my empirical analysis, there are six major finding: 1. Abnormal returns of every jump behavior are significant on the day jump happened. Moreover, abnormal returns of every jump behavior are also significant on the day before jump happened; this indicates the spillover effect of the jump information. 2. Abnormal returns after the upward and downward jumps happened are significant. 3. Abnormal returns of greater span jumps are more significant; and abnormal returns of smaller span jumps are not conspicuous. 4. While the jump behaviors cooperate with RSI, the abnormal returns are significant after the upward jumps accompanied with RSI which is higher than 70%, and the downward jumps accompanied with RSI which is lower than 30%. 5. While the jump behaviors cooperate with the price-volume relationship, the abnormal returns are significant and incessant for many days after the jumps accompanied with declined volume; however, the abnormal returns are significant only on the first two days after the jumps accompanied with increased volume. 6. Abnormal returns of traditional industry categories, such as cement, food, spinning, building etc., are significant and negative after downward jumps; abnormal returns of electronic industry are significant and positive after upward jumps; abnormal returns of financial industry are not significant in most situations. In addition, abnormal returns of spinning industry are significant and negative after upward jumps; furthermore, the upward jump information is spread slower.