The information transmission effect among Taiwanese listed firms

• Main Authors: Hsin-Wei Su, 蘇信瑋
• Other Authors: Jien-Wei Yang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/55514596354335629421

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === This paper uses the Vector Autoregressive(VAR)to investigate the relations among big market value, middle market value, small market value and and compare the relationships among variables in the different portfolios. Found via the Granger causality test, large volume, middle volume and small volume variables only have a causal relationship is found in the large-scale investment portfolio. In the Vector autoregression analysis, middle volume of stock returns reaction leading small volume in the big market value investment portfolio ; small volume of stock returns reaction leading middle volume in the middle market value investment portfolio; in the small market value investment portfolio, three independent of each other. In the Variance decomposition, three portfolio is almost absolute degree of interpretation of the big volume, followed by own variables variance decomposition by itself explain the extent of the second turn. In the impulse response analysis, big market value investment portfolio and small market value investment portfolio reaction effect during the period of seven to achieve convergence, so are the short-term effect is not persistent, but the response effect of middle market value investment portfolio convergence is reached within 10 period of convergence is reached, the long-term effects with persistent. So the long-term effects with persistent.