THE INTERACTIVE RELATIONSHIP BETWEEN A STOCK HOLDER CHANGE AND TAIWAN WEIGHTED STOCK INDEX
碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 97 === In this thesis, we study the relationships between the returns of Taiwan Weighted Stock Index and the behavior of different-typed traders. We proxy the recessive large traders by analyzing the difference between the amount of the buying order and the amount...
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| Format: | Others |
| Language: | zh-TW |
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2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/79151642763221949729 |
| Summary: | 碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 97 === In this thesis, we study the relationships between the returns of Taiwan Weighted Stock Index and the behavior of different-typed traders. We proxy the recessive large traders by analyzing the difference between the amount of the buying order and the amount of the selling order. The data period is from October 2001 to February 2008 . The methods we used are Granger causality and Vector Autoregressive Model. The empirical results show that the trading volume is a key factor and the influences on the return of stock index and the trading volume caused by other variables have longer effects than other variables.
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