CHINA CONCEPT FACTOR AND STOCK RETURNS IN TAIWAN
Date Issued
2005
Date
2005
Author(s)
Chen, Yi-Jung
DOI
en-US
Abstract
We aim to investigate whether there is a common variation of stock returns in Taiwanese listed firms with investments in China. We formed portfolios of firms based on observable characteristics related to investments in China, using a sample of listed firms in Taiwan stock market for the period 1990-2003. We found that firms investing heavily in China have stock returns moving together over time, which suggests that firms investing in China are subject to common shocks. Therefore, there exists a China Concept factor for listed firms in Taiwan stock market. Firms investing highly in China have higher average stock returns.
Subjects
China Concept Stock
Type
thesis
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