Empirical Analysis of the Effects on Integer Points from Taiwan stock and futures Index: A Behavioral Approach

• Main Authors: Chia-Mo Huang, 黃洽漠
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/95275921495322937928

碩士 === 國立高雄第一科技大學 === 財務管理所 === 98 === This paper investigates whether investors’ behaviors act differently on integer points. We use three price indices in Taiwan''s stock and futures market from 2000 to 2009 transactions, in terms of a hundred, thousand integer points, while observed mean and variance of stock returns is an exception. Firstly, we uses M values of regression analysis, proposed by Aggarwal and Lucey (2007), to explore the integer points in time whether the unusual behavior of investors. In addition, discussion breakthrough or break points, the average price paid and variance changes. The empirical results found that as to stock index, only Taiwan index attain the range of hundred barrier (10points), and the cumulative number of the M value is low. Moreover, as to futures index, the cumulative number of the M value is high when Taiwan index futures attain a hundred barrier and it is high slightly when electrical index futures attain a hundred barrier(10points); the barrier hump is low when the financial index futures attain a hundred barrier. As to a thousand integer point, those indices are not abnormal significantly, and the literature mentioned in the barrier effect of the U.S. market. Finally, the effect of a thousand integer point is larger than that of a hundred point for the behavior of the return.