Forecasting Monthly Average of Taiwan Stock Exchange Index

2019 ◽  
pp. 302-309
Author(s):  
Wei-Ting Sun ◽  
Hsin-Ta Chiao ◽  
Yue-Shan Chang ◽  
Shyan-Ming Yuan
Keyword(s):  
Stock Exchange ◽  
Taiwan Stock Exchange ◽  
Monthly Average

Research of Building Intelligent Investment Decision Mode for Investment Portfolio — Using Taiwan Electronic Stock as an Example

2010 ◽  
Vol 13 (04) ◽  
pp. 621-645 ◽  
Author(s):  
Wen-Rong Jerry Ho ◽  
C. H. Liu ◽  
H. W. Chen
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Investment Decision ◽  
Investment Strategy ◽  
Return Rate ◽  
Selection Strategy ◽  
Stock Selection ◽  
Taiwan Stock Exchange ◽  
Book To Market Ratio

This research uses all of the listed electronic stocks in the Taiwan Stock Exchange as a sample to test the performance of the return rate of stock prices. In addition, this research compares it with the electronic stock returns. The empirical result shows that no matter which kind of stock selection strategy we choose, a majority of the return rate is higher than that of the electronics index. Evident in the results, the predicted effect of BPNN is better than that of the general average decentralized investment strategy. Furthermore, the low price-to-earning ratio and the low book-to-market ratio have a significant long-term influence.

Cross-Market Linkages of Taiwan Index Futures Contracts Listed on the Taiwan Futures Exchange and the Singapore Exchange

2007 ◽  
Vol 10 (04) ◽  
pp. 561-583 ◽  
Author(s):  
Hung-Gay Fung ◽  
Qingfeng "Wilson" Liu ◽  
Gyoungsin "Daniel" Park
Keyword(s):  
Stock Exchange ◽  
Trading Strategies ◽  
Stock Index ◽  
Futures Contracts ◽  
Stock Index Futures ◽  
Index Futures ◽  
Taiwan Stock Exchange ◽  
Market Linkages ◽  
Cointegration Tests ◽  
Causality Tests

Cointegration tests and ex ante trading rules are applied to study cross-market linkages between the Taiwan Index futures contracts listed on the Singapore Exchange and the Taiwan Stock Exchange Capitalization-weighted Stock Index futures contracts listed on the Taiwan Futures Exchange. The exchange rate-adjusted returns of the two futures series do not differ significantly in mean but in variances, and show significant mean-reverting tendencies between them. Our trading strategies are able to generate statistically significant, if economically insignificant, profits, while our Granger causality tests demonstrate that information flows primarily from the Singapore market to the Taiwan market, a result confirming other research.

scholarly journals Comparison of power of modified Jarque-Bera normality tests and selected tests of normality

2008 ◽  
Vol 56 (6) ◽  
pp. 137-148 ◽  
Author(s):  
Luboš Střelec
Keyword(s):  
Stock Exchange ◽  
Financial Time Series ◽  
Simulation Studies ◽  
Test Paper ◽  
Monthly Average ◽  
Financial Time ◽  
Uniform Distributions ◽  
Source Data ◽  
The Mean ◽  
Heavy Tailed

The aim of this paper is to modify the classical Jarque-Bera test and the robust Jarque-Bera test of normality. We use the median as an estimator instead of the mean in the classical Jarque-Bera test and in the robust Jarque-Bera test. This leads to the modified Jarque-Bera test and the modified robust Jarque-Bera test. Paper also demonstrates results of simulation studies of power of such tests with the various alternatives – light tailed alternatives as exponential, lognormal and gamma distribution, heavy tailed alternatives as Cauchy, Laplace, t3, t5 and logistic distributions and short tailed alternatives as beta and uniform distributions. These tests of normality are also used for normality testing of selected datasets of financial time series. Source data include logarithmic returns of monthly ave­ra­ge prices of Prague stock exchange index PX and monthly average prices of CZK/EUR exchange rate in the period from 2000 to 2007.

Stock Characteristics and Individual Herding

2020 ◽  
Vol 9 (4) ◽  
pp. 58-73
Author(s):  
Tze Sun Wong
Keyword(s):  
Stock Exchange ◽  
Target Population ◽  
Individual Investors ◽  
Market Capitalization ◽  
Independent Variables ◽  
Taiwan Stock Exchange ◽  
Excess Volatility ◽  
Log Odds ◽  
Industry Affiliation ◽  
The Individual

Individuals who invest stocks in a market with excess volatility generally end up selling or holding the stocks at losses. The purpose of this study was to examine individual herding as it related to three comprehensible stock characteristics, market capitalization, price-to-book ratio, and industry affiliation. The target population was the individual investors who traded in Taiwan Stock Exchange in 2016. Data were collected through subscription. Based on Lakonishok, Shleifer, and Vishny's measure, individual herding was significant. The three stock characteristics were separately and as a whole related to individual herding. The findings confirmed sell-herding higher than buy-herding, more serious herding in high market capitalization stocks, and broad industry herding. The findings also extended knowledge to comparable herding levels with 8 to 10 years ago, more linearity between log market capitalization and log odds of herd occurrence, and less herding in P/B ratio stocks with other independent variables controlled.

The Intraday Performance of Contrarian Strategies: Evidence from the Taiwan Stock Exchange

2009 ◽  
Vol 12 (04) ◽  
pp. 655-674 ◽  
Author(s):  
Kuei-Yuan Wang ◽  
Su-Chun Peng ◽  
Yen-Sheng Huang
Keyword(s):  
Transaction Costs ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Trading Costs ◽  
Taiwan Stock Exchange ◽  
Holding Period ◽  
Contrarian Strategies ◽  
Intraday Analysis ◽  
Average Abnormal Return ◽  
Using Data

This paper examines the intraday performance of contrarian strategies using data from 438 listed stocks on the Taiwan Stock Exchange in 2004. The results indicate significantly positive abnormal returns for the contrarian strategies. For the whole trading day, the contrarian strategies earn an average abnormal return of at least 0.18% for all strategies, and above 0.3% in 24 out of the 36 contrarian strategies prior to transaction costs. Moreover, the contrarian profit increases from a formation period of five minutes to 10 minutes, and then declines toward a longer formation period of 60 minutes. This pattern suggests that price reversals occur around 10 minutes into the formation period. The intraday analysis also indicates that the abnormal returns earned by the contrarian strategies are higher in the opening and the closing intervals than in the middle of the trading day. Finally, the results indicate that price reversals occur for both prior losers and prior winners, with prior winners experiencing larger price reversals than prior losers when the holding period becomes longer. However, the above results of profitable abnormal returns are based on gross returns before transaction costs were deducted. When reasonable explicit trading costs are considered, none of the 36 contrarian strategies produce any "free lunches" for investors.

scholarly journals Problematic search, slack search and institutional logic in corporate R&D strategy: An empirical analysis of Taiwanese electronics firms

2013 ◽  
Vol 19 (6) ◽  
pp. 659-678 ◽  
Author(s):  
Lin-Hua Lu ◽  
Shih-Chieh Fang
Keyword(s):  
Performance Feedback ◽  
Stock Exchange ◽  
Theory Of The Firm ◽  
Business Group ◽  
Behavioral Theory ◽  
Institutional Logic ◽  
Taiwan Stock Exchange ◽  
Positive Performance ◽  
Theoretical Predictions ◽  
D Investment

AbstractThis study focuses on firms’ search behavior with regard to corporate R&D investment. Building on Cyert and March's (1963) behavioral theory of the firm, we develop specific hypotheses about how firms adjust their R&D investment in response to performance discrepancies, and how this adjustment varies for two types of slack resources. Moreover, by utilizing institutional logic, we also hypothesized that the firms’ search behaviors in response to performance feedback may differ between business-group affiliated and unaffiliated firms. Empirical evidence from panel data coving 274 Taiwanese electronics firms listed on the Taiwan Stock Exchange over the period 1999–2008 is consistent with our theoretical predictions. In particular, we find that firms will increase R&D investment when they faced discrepancies in performance, but will decrease R&D spending when close to bankruptcy. Moreover, our results show that unabsorbed and absorbed slack have different impacts, positively and negatively affecting R&D investment, respectively. In addition, we find that both business group-affiliated and unaffiliated firms will increase R&D investment in response to negative performance feedback, but only business group-affiliated firms will increase R&D activity when facing positive performance feedback. Furthermore, we also find that only business group-affiliated firms have a greater inclination to invest in R&D when there is unabsorbed slack. Our findings extend the claims of behavioral theory in newly industrialized economies, and identify the important factors that need to be considered in future studies.

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