Adopting Computation Intelligence to Forecast Initial Listing Closing Price and Investment Portfolio Optimization

• Main Authors: Shi-hao Chou, 周世昊
• Other Authors: 林蒼祥
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/24668766424011204081

博士 === 淡江大學 === 管理科學學系博士班 === 100 === Prior to March 1st, 2004, the Taiwan stock market was subject to the daily 7% up/down limit. Hence, it was not possible to research whether the closing price of the first listing day of initial public offerings (IPOs) had been fully reflected their intrinsic value. After promulgating the new rule which sets the trading of the first five listing days without a price limit, we can observe the gap between an IPO price and the first listing day’s closing price; academia refers to this gap as “IPO under-pricing”. In order to assist involved parties in underwriting activities to find out the best IPO price for their interest, this paper adopts the BPNN and ANFIS model to forecast the first trading closing price of an IPO. By referencing the forecast price, all stakeholders can consider a reasonable price level. The empirical study shows both BPNN and ANFIS possess the superior forecasting power. Both tracking errors are under the projected range, and the ANFIS shows greater performance than BPNN. In further examining the new rule, this paper investigates another widely discussed topic which is the Post-IPO long-term performance. We adopt the Mean-Variance model and CVaR model to construct the portfolio. The empirical study shows that in the beginning of the sample period, the stock market was in downturn trend and too few stocks could be included in the portfolio to diversify the risk. As a result, the portfolio return underperformed when compared to the benchmark index, TAIEX. Thereafter, as more stocks were included in the portfolio, the return was significantly improved and surpassed the TAIEX by a wide margin. The empirical study shows CVaR with 500 historical trading days performing better than the TAIEX and Mean-Variance model in average and accumulated returns. The CVaR 500 possesses the only positive Sharpe ratio among all returns.