Overreaction or Underreaction? : Empirical Study on the Application of Filter Rule to Taiwan Stock Market
碩士 === 國立政治大學 === 國際經營與貿易研究所 === 101 === This thesis uses filter rule on Taiwan stock market to uncover the relationship between return and volume change. Although the profits for overreaction in a short time horizon exist, the pattern of the combination of return and volume change is unclear. No th...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/kym2fc |
| Summary: | 碩士 === 國立政治大學 === 國際經營與貿易研究所 === 101 === This thesis uses filter rule on Taiwan stock market to uncover the relationship between return and volume change. Although the profits for overreaction in a short time horizon exist, the pattern of the combination of return and volume change is unclear. No theory mentioned in the literature seems to be able to fully explain the results in this study. Yet, we find that the liquidity trading, rather than information trading, dominates Taiwan stock market in recent decade.
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