An Investigation of the Stock Return's Characteristics for High-tech firms Listed in TSE & TASDA
|關鍵字:||高科技;總體經濟變數;個體經濟變數;縱橫資料;股票報酬率;high-tech;macroeconomic variables;microeconomic variables;panel data;stock return ratio|
The analytic methods used in literature on discussing stock prices were quite similar. The independent variables in those analyses were all different. Also varied were their econometric models. Besides, it is so seldom to conduct an analyses specifically targeting on high-tech manufacturing companies in Taiwan. These motivate me to develop the basic analytical view on investigating the factors which might affect the stocks of movement for Taiwan's high-tech manufacturing businesses . Since numerous factors were regarded by different sources, we were first to infer the most important independent variables. Surely we had to take into the consideration both their informative influential characters and convenience of accessibility. We end up with four macroeconomic variables, i.e. productivity growth of the whole industry, variation in interest rate, fluctuation in M2 cash supply, and overall inflation rate, and four company-related financial ratios, i.e. equity per share (EPS), liquidity ratio, debt ratio, and inventory turnover rate. The next step we took was to employ a rather new statistical method. The one we chose was something called panel data (vertical and horizontal information), also called cross sectional time series mixed information. As to the statistical analytical method, we picked both a fixed effect model and a random effect one to compare the actual results gathered under each and also with those previously reported for verification. It was mainly employed to assure the consistency of the conclusion if any. This study use of the actual seasonal returns of stock equity of fifty listed and OTC companies in the electronics category and their respective variable information during the period between 1996 and 2000. Through the factual analyses, the results are: among the four company financial ratios, EPS alone shows significant positive relationship with the stock return, but not the other three factors. Whereas among the four macroeconomic indexes, both productivity growth rate and M2 cash supply give positive relations with the stock prices, but interest rate shows an opposite trend and inflation seemed played an indifferent role. We also conclude : First, all stock prices seem to follow a similar trend no matter whether they belong to the high-tech industry or not. Second, information provided by financial reports of high-tech companies has great impacts on their stock prices, especially the item of “profitability.” Third, some macroeconomic indexes also have profound influences on the fluctuation of high-tech stock prices. All in all, we think the stock prices are quite predictable to some degree.