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Re-examining the Dividend Valuation Model by Stochastic Cointegration ¡X the Evidence from Taiwan Stock Market

Dividend Valuation Model is a well-known stock pricing model. However, many empirical studies of foreign stock markets do not support the Dividend Valuation Model; most of these studies think stock price is too volatile to explain by expected dividend. Therefore, this article would like to use Stochastic Cointegration to reexamining Taiwan stock market, and observe whether Taiwan stock market supports
Dividend Valuation Model. The empirical results showed that stock price and dividends exist a positive comovements relationship in the plastic, steel, electronic, and the banking & insurance industries, but empirical results does not completely support the theoretical value of cointegration vector. Therefore, this study has not been sufficient evidence to support Taiwan stock market is efficient.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0701109-182706
Date01 July 2009
CreatorsWu, Yen-ju
ContributorsMing-Jang Weng, Mon-Chi Lio, Ching-Nun Lee
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageCholon
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0701109-182706
Rightswithheld, Copyright information available at source archive

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