A Study on the Overconfidence for Taiwan Stock Investors – An Example of Plastics Stocks

• Main Authors: Ho, Yee-Farn, 何一帆
• Other Authors: Lee, Liang-Chien
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/99035584309021264598

碩士 === 義守大學 === 財務金融學系 === 101 === The Efficient Market Hypothesis thinks that people are rational, therefore, the stock price will reflect all relevant information, even the stock price deviation from the fundamental value, but also the differences of information the asymmetric or information interpretation in a short period of time due, as time passes, investors obtain information more and more completely (public message), and investors will be learning the correct interpretation of the relevant information, so the price will return to the basic values, so the price deviation is a short-term phenomenon, the Overconfidence meaning that the Investors are too believe when they tried to interpretation the information and making decision, the in rational markets identified by the efficient market hypothesis, when new information came out, the price will change, so, when the investor overconfidence would be the impact of market volatility.After screening, we select 55 companies in the plasticizing stocks as our research object, we use the rate of return、market rate of return, turnover rate and Idiosyncratic Risk as the study sample, and we choose Granger causality test, Vector Autoregressive model, and using the impulse response function to view the effects between the variables. The purposes of our study is to test the Overconfidence do exists in the plasticizing stocks of Taiwan’s stock market and different market state and high-priced stocks or low-priced stocks. In our study result, we found out no matter in which market states or the high price stocks and the low price stocks, Overconfidence do exists in the plasticizing stocks of Taiwan’s stock market, and the low price stocks are always higher then high price stocks, and the part of idiosyncratic risk does not affect the turnover rate