Title page for etd-0209110-195502


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URN etd-0209110-195502
Author Chien-Hui Yu
Author's Email Address m962040030@student.nsysu.edu.tw
Statistics This thesis had been viewed 5062 times. Download 1807 times.
Department Applied Mathematics
Year 2009
Semester 1
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Studies on the efficiencies and elasticities of high frequency transaction data of Taiwan Stock Market
Date of Defense 2010-01-20
Page Count 76
Keyword
  • Taiwan security market
  • Supply curve
  • Equilibrium price
  • Elasticity of supply
  • Elasticity of demand
  • Demand curve
  • Abstract In this study, we apply "the equilibrium price" to investigate the efficiency and the elasticity of Taiwan securities trading market. The "the equilibrium price" of each transaction are used to represent the true price of the security. The intra-daily tick-by-tick data of the Taiwan security market is used to obtain the equilibrium prices. Empirical transaction of the two companies Uni-President Enterprises Corporation and Formosa Plastics Corporation are studied. Time-series models of the equilibrium price and the transaction price are established. The time lengths returning to the equilibrium status are also studied, called the efficiency time. Based on the results, we discuss the efficiency of the two stocks. In order to understand the impact of the efficiency time, linear regression models of the efficiency time are built. Furthermore, the variance ratios of the two stocks are also investigated to study their market efficiency. Finally, the elasticity of demand and the elasticity of supply are studied and their Markov chain models are established. The results show that the two companies stay more time in the inelastic states.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • May-Ru Chen - co-chair
  • Shih-Feng Huang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0209110-195502.pdf
  • indicate accessible in a year
    Date of Submission 2010-02-09

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