The Information Content of Continuous Transmisission Information for the Underlying Stocks of Taiwan 50

• Main Authors: Mao-An ,Hung, 洪茂安
• Other Authors: Yen-Sen, Ni
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/91193379878914105500

碩士 === 淡江大學 === 管理科學研究所碩士班 === 95 === This study uses a sample of underlying stocks of Taiwan 50 ETFs over the period 2003-2005. The main purposes are to explore the relationship between market variables (Include of Institutional trade, Volumes, Margin buy and Short selling. ) and stock price. The statistical method is used Event study. The following conclusions are obtained in this study： 1.There are information spillover in all events in this study and someone buy and sell before all event. 2. To influence of Institutional trade, Institutional investors continuously buy three days, stock price is up and sell three days, stock price is down. 3. To influence of Volumes, Volumes is continuously increasing three days, stock price is up and decreasing three days, stock price is down. 4. To influence of Credit trade, Margin buying is continuously increasing and Short selling decreasing three days, stock price is down, Margin buying is continuously decreasing and Short selling increasing three days, stock price is up. 5. To influence of Investment value, there are only two events(Investment Trust institution sell three days and Short selling is decreasing three days) with profit.