The Analysis of Co-movement and Liquidity-Evidence in Adjustment of MSCI Taiwan Index
| Autor: | Wen-tse Hsu, 許文澤 |
|---|---|
| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 The paper mainly examines the influence of adding and deleting stocks about MSCI Taiwan Index. By using Barberis (2005) and Vijh’s (1994) methods, we find that the beta co-movement among those component stocks .We also used Dimson’s beta to distinguish the habitat and category and information diffusion. In addition, the paper applies Chen, Noronha, and Singal’s (2004) design to construct a liquidity measure model to detect the changes between post-event and pre-event. We find the following results: 1. The co-movement of beta in MSCI’s adding stocks is statistically significant. 2. MSCI Taiwan adding stocks are more consistent with the excess liquidity hypothesis. 3. In the data of Taiwan, the course of co-movement results from category and habitat factors. Based on the results of this paper, we suggest that investors in the stock market should use the characteristic to their investing strategies to optimize their portfolios. Because the systematic risk of MSCI adding stocks increase significantly, option traders can take this into account to set up volatility trading strategies. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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