An Empirical Study of Unexpected Large Falls in the Taipei Stock Market

• Main Authors: Chi-Jui Chiang, 江啟瑞
• Other Authors: Yi-Jang Yu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/69414802426593340946

碩士 === 銘傳大學 === 經濟學系碩士班 === 100 === Whether be institutional or individual investors, unexpected large falls in the stock market can always cause certain degrees of economic losses or even crises of confidence in the market. In this study the WINDEX is applied as the empirical tool to analyze the co-movement phenomenon among those 28 industry indexes and the phase transition consequence on the stock market index listed in the Taipei Stock Market. In the end, not only the coverage ratio of issuing early warning signals in the Taipei stock market can be relatively improved comparing to the previous study, but also the size of falls can be effectively predicted from this study. The early warning system (EWS) that can be built up accordingly is therefore capable of providing more effective services to all stock investors.