A Study of Abnormal Returns of Significant Movement of Shanghai Stock Index Returns on Taiwan Finance Holding Companies
碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 102 === The purpose of this study is to investigate the abnormal returns of 15 Taiwan finance holding companies resulting from significant increase or decrease of Shanghai Stock Index (SSI) returns from 2010/07/01 to 2013/06/30 . The event period is from event da...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/02581851103078008949 |
| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 102 === The purpose of this study is to investigate the abnormal returns of 15 Taiwan finance holding companies resulting from significant increase or decrease of Shanghai Stock Index (SSI) returns from 2010/07/01 to 2013/06/30 .
The event period is from event day to the following 15 trading days. Ordinary and standardized daily and cumulative abnormal returns are computed and tested using t-test, sign test and sign ranked test.
The results are summarized as follows: (1) When SSI increased more than 3%, significant negative abnormal returns are observed from Taiwan finance holding companies. (2) When SSI declined more than 3%, significant positive abnormal returns are observed from Taiwan finance holding companies.
This conclusion might be counter intuitive to investors and deserve further investigation in the future.
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