碩士 / 國立臺北大學 / 國際企業研究所 / 98 / We find substantial momentum(reversals) in consecutive weekly returns when the latter week has unexpectedly high(low) turnover. The data are turnover rate, the return rate and return dispersion from January, 2000 to December, 2009.
The outcomes are as followings:
1. Stock market in Hongkong, Taiwan, Shanghai, Shenzhen,The study finds substantial momentum (reversals) in consecutive weekly returns when the week has abnormal high (low) turnover.The study finds substantial momentum (reversals) in weekly returns when the week has abnormal high (low) return dispersion.
2. Return of small-firm portfolios are influenced by those of large-firm portfoilos
3. Abnormal return dispersion positively Granger-causes abnormal turnover.
4. In Hongkong, Taiwan, and Shanghai, individual companies' returns are effected by its abnormal weekly turnover but not effected by large-firm portfolios.
5. The study also find substantial momentum (reversals) in consecutive weekly retruns when week has extreme high abnormal turnover(return dispersion.
6. We add GJR-GARCH into the model. We find substantial reversals in consecutive weekly retruns when week has fluctuaction.
| Identifer | oai:union.ndltd.org:TW/098NTPU0320010 |
| Date | January 2010 |
| Creators | Huang Hsin-Wei, 黃信維 |
| Contributors | HSIAO, JUNG-LIEH, 蕭榮烈 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 93 |
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