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研究生:張容容
研究生(外文):Chang, Jungjung
論文名稱:TheImpactsofForeignAnalysts'RecommendationsonTaiwan'sStockMarket
指導教授:張元晨張元晨引用關係
指導教授(外文):Chang, Yuanchen
學位類別:碩士
校院名稱:國立政治大學
系所名稱:財務管理研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:105
中文關鍵詞:Analyst' RecommendationsStock PriceTrading Volume
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This paper investigates both the information contents of recommendations disseminated by foreign security firms and the interaction of foreign security firms’ trading activities with their recommendations in Taiwan’s stock market. Using event study, correlation test, and regression analysis, we find negative average abnormal returns(AARs) and average cumulative abnormal returns(CARs) for negative and neutral foreign analysts’ recommendations levels and recommendation changes in the pre-recommendation period. AARs and CARs for positive recommendations in pre-recommendation period are positive, but reverse to negative three days after the event day. Our results also show that correlation coefficients of recommendations (both in recommendation levels and recommendation changes) and holding period returns are significantly positive in the pre-recommendation period, but insignificantly negative in the post-recommendation period.
In the regression analyses, we find that price momentum factor is significantly related to foreign analysts’ recommendation, but the incremental contribution of this factor to foreign analysts’ recommendations are marginal and not significant. We also find that foreign security firms respond more rigorously to stocks receiving recommendation above buy recommendations and stocks being downgraded. These results show that foreign security firms are more conservative toward trading stocks in Taiwan’s stock market. They only buy stocks above buy recommendations (in a delay pattern), but immediately sell downgraded stocks.



Acknowledgments III
Abstract IV
List of Figures V
List of Tables VI
1. Introduction 1
1.1. Motivations of the study 1
1.2. Objectives of the study 4
2. Literature Review 6
2.1. The Effect of Analysts’ Recommendations on World’s Stock Markets 6
2.2. The Effect of Analysts’ Recommendations on Taiwan’s Stock Market 11
2.3. The Impact of the QFII’s Transaction on Taiwan’s Stock Market 13
2.3.1. QFII’s Net Purchase or Sell Volumes 13
2.3.2. QFII’s Holdings and Stock Prices 14
2.3.3. The Intercations between Foreign Analysts’ Recommendations with QFII’s Transactions 15
2.4. Trading Activities 17
2.4.1. Stock Returns and Trading Activities 17
2.4.2. Recommendations and Trading Activities 18
3. Data Description and Research Methodology 20
3.1. Data Description 20
3.1.1. Stock Price Data 20
3.1.2. Foreign Analysts’ Recommendations 20
3.1.3. Calculation of Foreign Analysts’ Recommendation Consensus 26
3.2. Hypotheses 28
3.3. Methodology 29
3.3.1. Event Study 29
3.3.2. Correlation and Regressions Analysis 33
4. Empirical Results 36
4.1. The Impacts of Analysts’ Recommendations on Stock Prices 36
4.1.1. Results from Event Study Methodology 36
4.1.2. Results from Correlation and Regression Analysis Mothodology 48
4.2. Results from Interactions between QFII’s Trading Activities with Their Recommendations 67
5. Summary and Conclusions 98
5.1. Summary of This Study 98
5.2. Suggestions for Future Research 100
Bibliography 101



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