Title page for etd-0701109-182706


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URN etd-0701109-182706
Author Yen-ju Wu
Author's Email Address No Public.
Statistics This thesis had been viewed 5367 times. Download 3058 times.
Department Economics
Year 2008
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Re-examining the Dividend Valuation Model by Stochastic Cointegration — the Evidence from Taiwan Stock Market
Date of Defense 2009-06-25
Page Count 72
Keyword
  • Dividend Valuation Model
  • Taiwan Stock Market
  • Cointegration
  • Unit Root Tests
  • Heteroskedastically Integrated
  • Stochastic Cointegration
  • Abstract Dividend Valuation Model is a well-known stock pricing model. However, many empirical studies of foreign stock markets do not support the Dividend Valuation Model; most of these studies think stock price is too volatile to explain by expected dividend. Therefore, this article would like to use Stochastic Cointegration to reexamining Taiwan stock market, and observe whether Taiwan stock market supports
    Dividend Valuation Model. The empirical results showed that stock price and dividends exist a positive comovements relationship in the plastic, steel, electronic, and the banking & insurance industries, but empirical results does not completely support the theoretical value of cointegration vector. Therefore, this study has not been sufficient evidence to support Taiwan stock market is efficient.
    Advisory Committee
  • Ming-Jang Weng - chair
  • Mon-Chi Lio - co-chair
  • Ching-Nun Lee - advisor
  • Files
  • etd-0701109-182706.pdf
  • indicate accessible in a year
    Date of Submission 2009-07-01

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