More and more events and anomalies that have happened in recent years cannot be explained by traditional models, which leads to a pervasive doubt of the effectiveness of the efficient market hypothesis. In particular, over ninety percent of Taiwan¡¦s stock market investors are individuals, and the noise trading phenomenon is very common and has a great effect upon the return of stock. Hence, the measure of investor sentiment formed by noise traders becomes a task for the researcher studying the factors which effect the stock return in Taiwan.
The objective of this paper is to find the investor sentiment proxy variables which can be a significant factor in explaining stock return. This analysis adopts the arbitrage pricing model of the macroeconomic factors. The sample contains data for most listed stocks on the Taiwan Stock Exchange from 1984 to 2002. By combining the stock or company characteristic related to the noise traders¡¦ perception, including market value, stock and etc., and phenomenons effect by investor sentiment, including closed-end fund discount, initial returns on IPOs, and number of IPOs to the arbitrage pricing model , we found that closed-end fund discount and initial returns on IPOs are significant and appropriate to investor sentiment proxy variables. However, the number of IPOs is not significant enough
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0624104-183407 |
| Date | 24 June 2004 |
| Creators | Huang, Kuo-chan |
| Contributors | Chinshun Wu, Jen-Jsung Huang, Victor W. Liu |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0624104-183407 |
| Rights | not_available, Copyright information available at source archive |
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