Do Industries Lead Stock Markets? Evidence from Taiwan
碩士 === 淡江大學 === 經濟學系碩士班 === 96 === In this paper, we examine whether the returns of industry portfolios forecast movements in market returns using data on monthly returns to 29 Taiwanese industry portfolios for the years between 1988 and 2006. We find that there are eight industries that predict th...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/55014760394351945516 |
| Summary: | 碩士 === 淡江大學 === 經濟學系碩士班 === 96 === In this paper, we examine whether the returns of industry portfolios forecast movements in market returns using data on monthly returns to 29 Taiwanese industry portfolios for the years between 1988 and 2006. We find that there are eight industries that predict the market return in the following month and there are five industries that forecast the stock market by up to six months. Moreover, the effect of industry return on future market return is positively correlated with the effect of industry return on future macroeconomic indicator. These findings indicate that investors are unable to understand the influence of industry shocks on macroeconomic activities and information diffuses across investors in different markets only gradually.
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