| Summary: | 碩士 === 逢甲大學 === 財務金融學所 === 95 === The efficiency market hypothesis (EMH) indicates that stock prices can reflect all information rapidly in the perfect market. The noise trading theory indicates that stock prices reflect not only fundamental information but also market noises. This study provides empirical evidence about the effect of market noises on stock return in Taiwan. The data for the plastic, steel, electric, transportation, and finance industries are from the Taiwan Economic Journal (TEJ) database. It covers the period from January 2002 to December 2006 on the daily basis.
The empirical result shows that different market noises affect stock return of the five industries in different periods. It is found that the spread between opening and previous closing prices, percentage changes in short sales, percentage changes in long position, and put-call trading volume ratio are the four variables which affect stock return of the five industries. Moreover, the relationship between these noises and stock return will not change with some macroeconomic variables included. Noise trading significantly affects Taiwan stock prices, causes stock prices diverge from the fundamental analysis, and, hence, the risk of noise trading may pervade in the stock market.
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