| dc.description.abstract | This study mainly uses the up-limit or down-stop information in the market as a trading reference for the next trading day to see if it can make a profit in the intraday also as the day trading reference index. Looking at the data from Jan. 1.2021 to Dec. 31. 2021, the sample was obtained through the Taiwan Economic News Database (TEJ), focusing on the stocks of listed companies in the Taiwan stock exchange market.
Studies have confirmed that by controlled other variables, according to the higher rate of return on the first day, even to the up-limit, the rate of return from open to close at the next trading day will be lower, easy to show pull back that the falling range is larger; If the lower return on the first day, even to the down-stop, then the phenomenon is significantly reversal on the next trading day’s rate of return , which are easily with positive remuneration, and the remuneration will be higher with more days down-stop.
In addition, if encountered up-limit that the next trading day sell short or if encountered down-stop that next trading day buy long, Considering the overestimated cost deduction in this study, they are all shown as positive remuneration, the average return of rate is 0.82% and 0.94% by sell short at the next day of the first day and the next day of fifth day. Buy long after continuous down-stop 2 days, the return of rate is not much higher, only 0.79%, but the rest of situation return of rate are greater than 1%.
It is easy to fall at up-limit’s next day and easy to rise at down-stop’s next day, so the remuneration on the day and the remuneration on the next trading day present opposite situation. The empirical results show that the Taiwan stock market has an overreaction phenomenon. | en_US |