Mean reversion of industry stock returns in Taiwan
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 94 === The purpose of this study is to discuss whether the mean reversion exists across industry stock returns in Taiwan. This paper use the model proposed by Blavers, Wu & Gilliland (2000) to investigate the phenomenon of mean reversion in Taiwan stock market. I...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/06233582310976469371 |
| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 94 === The purpose of this study is to discuss whether the mean reversion exists across industry stock returns in Taiwan. This paper use the model proposed by Blavers, Wu & Gilliland (2000) to investigate the phenomenon of mean reversion in Taiwan stock market. In this paper, based on a panel approach, I find that industry stock returns predictably revert toward their fundamental levels after experiencing a temporary shock. The empirical findings imply a significantly positive speed of reversion with a half-life of approximately 1.5 year. Parametric contrarian investment strategies that exploit mean reversion do not outperform buy-and-hold and standard contrarian strategies. The possible reason is that this paper uses the quarterly data. Finally, there is some evidence of mean reversion with a half-life of 1.63 and 1.36 year separately for value and growth stocks. The empirical results indicate that the speed of mean reversion is faster for growth stocks than value stocks.
|
|---|