Narrow Results

This paper extends ISO certification research by investigating whether a stock value is influenced by the announcement of its ISO registration with respect to the firm size, industry, and ISO standard series on the Taiwan Stock Exchange. The results show that receiving ISO registration influences abnormal returns. The market reacts favorably to both small and large firms but has no reaction to medium firms in terms of a firm's capital. We also observe significant positive market reaction for Plastics and Textiles. A beneficial implication is that investors may benefit more from their investment endeavors if they can properly examine the specific effects.

This study empirically investigates the interaction between trading volume and cross-autocorrelations of stock returns in the Taiwan stock market. The result shows that returns on high trading volume portfolios lead returns on low trading volume portfolios when controlled for firm size, indicating that trading volume determines lead-lag cross-autocorrelations of stock returns. Overall, the empirical findings of this study demonstrate similar results for both monthly and daily returns, suggesting that nonsynchronrous trading is not the main reason for the lead-lag cross-autocorrelations presented in this study. Consequently, the empirical results presented here support the speed of adjustment hypothesis, and suggest that some market inefficiency exists in the Taiwan stock market. Additionally, compared with evidence of lead-lag cross-autocorrelations in the larger, less regulated US stock market, as examined by Chordia and Swaminathan (2000), Taiwan stock market displays less evidence of VARs and Dimson beta regressions. We conjecture that this weak evidence may result from the regulations limiting daily price movements in the Taiwan stock market. Although the price limits policy lowers risk and stabilizes stock prices, it also prevents stock prices and trading volume from instantaneously and fully reflecting new information.

This paper examines the intraday performance of contrarian strategies using data from 438 listed stocks on the Taiwan Stock Exchange in 2004. The results indicate significantly positive abnormal returns for the contrarian strategies. For the whole trading day, the contrarian strategies earn an average abnormal return of at least 0.18% for all strategies, and above 0.3% in 24 out of the 36 contrarian strategies prior to transaction costs. Moreover, the contrarian profit increases from a formation period of five minutes to 10 minutes, and then declines toward a longer formation period of 60 minutes. This pattern suggests that price reversals occur around 10 minutes into the formation period. The intraday analysis also indicates that the abnormal returns earned by the contrarian strategies are higher in the opening and the closing intervals than in the middle of the trading day. Finally, the results indicate that price reversals occur for both prior losers and prior winners, with prior winners experiencing larger price reversals than prior losers when the holding period becomes longer. However, the above results of profitable abnormal returns are based on gross returns before transaction costs were deducted. When reasonable explicit trading costs are considered, none of the 36 contrarian strategies produce any "free lunches" for investors.

Demographic transition has already become a major issue in the recent decades. Lower fertility rate and higher expected life length result in population aging. Most developed countries face social problems due to demographic transitions, especially in the economic and financial field. To take a closer look at this phenomenon, this paper screened 99 stocks provided by Taiwan Stock Exchange (TSE) to explore the impact of population aging on the stock market in Taiwan. Population aging indirectly takes up a larger portion of elder investors in the stock market, compared to the past. This paper employed risk and return variables to analyze the investors’ behaviors in Taiwan stock market. We divided our samples into whole industry, financial industry, technology industry, and traditional industry groups to find the impact of investors aging among different industries. The results showed that there is no significant evidence to prove that the elder investors pursue lower risk stocks in Taiwan stock market, which is inconsistent with the results of the past research. On the other hand, the findings from the whole industry, technology industry, and traditional industry groups are different from the past research results, showing that Taiwan’s elderly investors prefer stocks with higher return in those industries.

This paper investigates the empirical relationship between profitability and leverage ratios using a sample of Taiwan-listed firms. Like the U.S. evidence, we do find such a negative profitability-leverage relationship for the full sample. Although the profitability effect is still negative for passive firms that do not issue any security, it is positive for firms that issue both equity and debt but do not invest in fixed assets. Furthermore, while the dual issuers without investment adjust their leverages toward their targets the fastest, passive firms do so the slowest. Overall, our results on the profitability effect on leverage are consistent with the dynamic trade-off hypothesis that accounts for costly adjustments.