Dynamic Relations Between VADO Index, Stock Returns and Turnover Ratio from the Taiwan Stock Market：Based on Firm Characteristics
Date Issued
2014
Date
2014
Author(s)
Huang, Chien-Hsun
Abstract
This paper discusses one of the commonly used investment indicator in the stock market of Taiwan–chip concentration analysis. It uses volume accumulation/distribution oscillator (VADO) to measure the stock chip concentration. Meanwhile the investment combinations of different company characteristics, such as turnover rate, firm size, and price-book ratio, are used to discuss the interaction among the chip concentration index, stock price, and trading activities. This paper collects the daily trading information of stock from early 2003 to the end of 2013. The data are verified using unit root test, Granger causality test, Vector Autoregression (VAR), and impulse response analysis. The conclusions are reached based on the validation.
First, the average rate of return, in the descending order is: growth type, low turnover rate, large firm, high turnover rate, weighted index, small firm, and value type. This finding is consistent with the preferred company characteristics of institutional and individual investors. Individual investors prefer high growth stocks, while institutional investors prefer ETF 50 stocks. Moreover, for companies with characteristics of low turnover rate, large firm size, and value type, the chip concentration indicator has reference value and significance to rate of return. Hence, it is feasible that investors can observe the changes of chip value values to determine the changes of stock prices. Moreover, besides large companies, the chip concentration indicator of investment combinations of other company characteristics has reference value to stock trading activities.
Lastly, not all chip concentration indicators have no explanatory relationship with the stock returns of turnover ratio, it is inferred that the chip concentration indicator cannot be applied to all stocks in the stock market. Hence, the findings of this paper can provide references to stock investors in Taiwan.
Subjects
籌碼集中度指標
股價報酬
週轉率
公司特徵
領先/落後關係
Type
thesis
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