| Summary: | 碩士 === 臺灣大學 === 農業經濟學研究所 === 98 === If investors overreact or underreact to the news, they will be able to use the property to construct investment strategies to earn excess return. This paper applied event study to analyze whether the stock return generated significant abnormal returns.
The evidence showed that systematic risk was unstable and time-varying. Therefore, this paper applied Bollerslev (1990) Bivariate GARCH model to estimate time-varying systematic risk, using the daily data in eight industries and twenty-four individual stocks of Taiwan from Jan. 2000 to Dec. 2009. This study applied CAPM model with time-varying systematic risk to calculate abnormal returns, then analyzed the short-term systemic risk and return change after positive and negative events.
This research defined that the price went limit up or down for three days continuously as an event of an individual, and that the daily fluctuation was over 6% as an event of an industry index. The result shows there was significant cumulative abnormal return on stocks. The systemic risk in the post-event period was significant higher than the one in the pre-event period. The stock price revealed underreaction, but the phenomenon is different from stocks. In addition, almost all the system risk of stocks had increased significantly.
|
|---|
