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|Other Titles: ||The reference value to investors from full exposition of foreign investments overbuy and oversell information|
|Authors: ||蔡雅慧;Tsai, Ya-huei|
|Issue Date: ||2010-01-11 01:11:37 (UTC+8)|
The proportion of foreign investment transactions in Taiwan stock market is not very large. Because of the professional analysis ability and the investment teams, the foreign institutions have made the small investors follow crazily. Since the foreign investments opening, the Economic Daily and the Commercial Times have announced only the top 20 daily. After 2000, the Stock Exchange announces all transactions detailed in the network. May this information opening bring more profits for the investor? Or it just explores unnecessary information?
This study uses Event-Study and selects data from August-7 2000 to August-6 2004 in TEJ. Can investors following the foreign investment transactions to get profits by judging from average abnormal returns? What is the profit from information fully exposed by Exchange Stock? Because the details of overbuy and oversell of the foreign investment are tremendous, this study just selects the volume of the foreign investment overbuy and oversell whose amount is up to at least 20% of the volume of the individual stock on those days.
1.In light of the whole, after the event date , the foreign investment overbuy has shown the phenomenon of reversion immediately , but in the aspect of oversell, it has shown the reversion on the fifth date . Therefore , the investors could possibly follow the stocks of oversell to sell .
2.Dividing into the abnormal returns of overbuy and oversell the top 20 and non-top 20 , the reversal phenomenon of the non-top 20 of overbuy is the most obvious , and the top 20 of overbuy reverse at the second date. Instead, the top 20 of oversell reverses at the fifth date, and the non- top 20 reverses at the fourth date . In the whole, following oversell of the foreign investments to sell stocks is the most profitable .
|Appears in Collections:||[財務金融學系暨研究所] 學位論文|
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