The interaction between transactions information and market performance in Taiwan stock market
Date Issued
2009
Date
2009
Author(s)
Lin, Bo-Yu
Abstract
Comparing to Euro and American stock market, Taiwan stock market is vulnerable to political and economy situation.n the past years, Taiwan stock index had obviously rising or declining trend rather than random walk. Some research indicates that transactions information correlates with stock return rate. This research concerned the performance of Taiwan stock market from 2006 to 2008, and conducted VAR analysis with the return rate of stock index, the number of buying and selling orders, the volume buying and selling volume, the number of trading orders, the volume of trading orders, as well as the volume of margin purchase and short sales orders. The empirical results could be concluded into two categories. In correction market, investors were tend to "buying low and selling high." When return rate of index had significant variation, corresponding responses of transactions variables were relatively late. In addition, averaged volume of buying and selling orders and averaged volume of trading orders, as estimating variables, could significantly influenced following index return rate.n the other hand, investors were tend to "buying high and selling low" in volatile market. When index return rate had significant variation, corresponding responses of transactions variables were relatively fast. In addition, the volume of margin purchase orders had feedback relationship with index return rate. Being different from technical index often used in stock trading, the study provides another perspective for technical analysis by employing econometrics.
Subjects
return rate of index
transactions
Granger causality
Type
thesis
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