Empirical Studies of Return Asymmetry in Taiwan Stock Market

• Main Authors: Pei-Zi Liang, 梁佩茲
• Other Authors: Ming-Xian Chen
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/93765793592254572745

碩士 === 國立高雄第一科技大學 === 財務管理所 === 98 === This study aimed to explore the trading behaviors of three major legal entities, saying the foreign investment institutions, investment dealers and investment trust, to investigate the sale of ultra-right asymmetry in the impact of stock market returns. Unlike past studies, which usually explore the issue by using the EGARCH asymmetry attribute, our studies use quintile regression to explore the different components of the next day, week, month, three kinds of different data frequency, and through the sale of the three ultra-right corporate the impact of returns, and then analyze the different data frequency on the stability. The empirical results show that short-term data owns the ultra-right asymmetry in stock returns, but weekly and monthly data does not have this effect. Another contribution of this study is that we find that the quintile regression fitting better than that of the EGARCH model related to studies in literature.