Stock Prices and Dividends in Taiwan's Stock Market: Evidence Based on Time-Varying Present Value Model

Chi-Wei Su (), Yahn-Shir Chen () and Hsu-Ling Chang ()
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Chi-Wei Su: Department of Finance, Providence University, Taichung, Taiwan
Yahn-Shir Chen: Department of Accounting, National Yunlin University of Science and Technology
Hsu-Ling Chang: Department of Accounting and Information, Ling Tung University, Taichung, TAIWAN

Economics Bulletin, 2007, vol. 7, issue 4, 1-12

Abstract: In this study, we use the newly developed momentum threshold unit root and cointegration tests advanced by Enders and Granger (1998), and Enders and Siklos (2001) to investigate if there is any asymmetric adjustment in long-run prices and dividends in Taiwan¡¦s stock market during June 1991 to February 2005. The empirical results indicate that long-run prices and dividends cointegration relationship holds for the majority of Taiwan¡¦s stock market, but that adjustment mechanism is asymmetric. The results for most industries from the M-TAR cointegration tests attest to the absence of rational bubbles in Taiwan¡¦s stock market. These results have important policy implications for investors.

Keywords: Momentum; Threshold; Autoregressive; (MTAR); Cointegration; Tests; Rational; Bubbles; Asymmetric; Adjustment (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2007-03-27
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Citations: View citations in EconPapers (1)

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