Title page for etd-0625108-130054


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URN etd-0625108-130054
Author Tzu-Peng Tseng
Author's Email Address No Public.
Statistics This thesis had been viewed 5565 times. Download 2656 times.
Department Finance
Year 2007
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title A Study of Overconfidence or Underconfidence for
Taiwan Stock Investors – An Example of Property Stocks
Date of Defense 2008-06-19
Page Count 91
Keyword
  • Overconfidence
  • Property Stock
  • Real Estates
  • Vector Autoregression
  • EGARCH
  • Abstract These theses whether examine the property stock investors are overconfident or underconfident. This thesis firstly use VAR model and the empirical result shows that the property stock investors existed overconfidence investment behavior in the bull market, especially in low-price stock. However, this kind of behavior does not exist in the bear market. The result also shows that most of turnover rate are driven by market return rather than property stock return. this represents investors purchase (or sell) the property stock is caused by the market goes up (or down) rather than have perspective in the property stock. The result implied the property stock investor had speculative trading in short term. In long term, investors have insufficient faith in the real estate market. Next, this thesis use EGARCH and the result shows that the overconfidence investors’ excessive trading will increase volatility, and will harm the development of industry. Finally, we discussed the main factor of investors’ underconfidence in property industry, found political environment as well as long recession are the factors.
    Advisory Committee
  • Huang,Jen-Jsung - chair
  • I-Chun Tsai - co-chair
  • Ming-Chi Chen - advisor
  • Files
  • etd-0625108-130054.pdf
  • indicate accessible in a year
    Date of Submission 2008-06-25

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