Influencing Variables of Stock Returns: Evidence from Taiwan Market
| Autor: | Yu Cheng Lin, 林昱誠 |
|---|---|
| Rok vydání: | 2014 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 102 Stock returns and the corresponding important factors have attracted considerable attention. However, there is no consensus about important factors of Taiwan stock market in the previous studies. This study aims to select the factors influencing stock returns in Taiwan market from more potential impact factors. It also explores the trends of distinct important factors in different periods of the Taiwan stock market. The experimental data, including 1984-2013 Taiwan listed companies, are from the Taiwan Economic Journal database. The results show that the market risk premium, size premium, momentum factor, trading volume and stock turnover have significant effects on stock returns in all periods. Other factors only have significant impact on stock returns in some periods. These means that factors affecting the stock returns change as time vary. Keywords: stock returns, firm characteristics factors, market factors, macroeconomic factors |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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