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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/54902

    Title: Stock Prices and Dividends in Taiwan’s Stock Market: Evidence Based on Time-Varying Present Value Model
    Authors: Su, Chi-wei;Chang, Hsu-ling;Chen, Yahn-shir
    Contributors: 淡江大學國際貿易學系暨國際企業研究所
    Keywords: Momentum;Threshold;Autoregressive;MTAR;Cointegration;Tests;Rational;Bubbles;Asymmetric;Adjustment
    Date: 2007-03
    Issue Date: 2011-07-28 00:53:03 (UTC+8)
    Publisher: Nashville: Economics Bulletin
    Abstract: In this study, we use the newly developed momentum threshold unit root and cointegration tests advanced by Enders and Granger (1998), and Enders and Siklos (2001) to investigate if there is any asymmetric adjustment in long-run prices and dividends in Taiwan¡¦s stock market during June 1991 to February 2005. The empirical results indicate that long-run prices and dividends cointegration relationship holds for the majority of Taiwan¡¦s stock market, but that adjustment mechanism is asymmetric. The results for most industries from the M-TAR cointegration tests attest to the absence of rational bubbles in Taiwan¡¦s stock market. These results have important policy implications for investors.
    Relation: Economics Bulletin 7(4), pp.1-12
    Appears in Collections:[Graduate Institute & Department of International Business] Journal Article

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