The Relation between Trading Concentration and Abnormal Return in Taiwan Emerging Stock Market
Date Issued
2014
Date
2014
Author(s)
Chen, Ming-Tai
Abstract
There are more than 1700 stocks in Taiwan stock market. Stock picking is usually time-consuming and exhausting. This paper aims to build a systematic screening method to make stock picking easier.
This paper uses the data of Taiwan Emerging Stock Market from January 1, 2007 to February 21, 2014 to examine the relation between trading concentration and abnormal return. The empirical result shows that the concentration of net sellers relative to net buyers, which we called net seller relative trading concentration, could help investors gain excess return. When net seller relative trading concentration is higher than certain value, we could earn 2.64% excess return on average if we buy and hold the stock for 5 days. We infer that the reason behind might be liquidity shocks which happen to major investors. Liquidity trading makes stock price fall, but the stock’s fundamentals are unchanged. Therefore stock price start to rebound in the following trading days. Besides, when net buyer relative trading concentration is higher than certain value, we could earn 0.25% excess return on average if we buy and hold the stock for 1 day. This implies the major investor may have private information, and we could make profit by follow major investor’s buy-in.
Subjects
買賣日報表
交易集中度
累計異常報酬率
主力
台灣興櫃股票市場
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-103-R01723074-1.pdf
Size
23.32 KB
Format
Adobe PDF
Checksum
(MD5):1746785bb30e781bf82cadc5d287725b