Linear and Nonlinear Relationship between Stock Prices and Dividends | The Case of Taiwan

Chi-Wei Su

ISBN 10: 3838315251 / ISBN 13: 9783838315256

Published by LAP LAMBERT Academic Publishing, 2009

About this Item

Linear and Nonlinear Relationship between Stock Prices and Dividends | The Case of Taiwan | Chi-Wei Su | Taschenbuch | 88 S. | Englisch | 2009 | LAP LAMBERT Academic Publishing | EAN 9783838315256 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu.

Seller Inventory # 101444777

Bibliographic Details

• Title: Linear and Nonlinear Relationship between Stock Prices and Dividends | The Case of Taiwan
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2009
• Language: English
• ISBN 10: 3838315251
• ISBN 13: 9783838315256
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 6D millimeters 220 millimeters width by 150 millimeters height by 6 millimeters depth
• Weight: 149 grams
• Seller catalogs:
  • Bücher

About this title

Synopsis

This study investigates the relationship between stock prices and dividends in Taiwan stock market during the June 1991 to February 2005 period. We employ linear, nonlinear and panel techniques which provide a much stronger test to examine the relationship between stock prices and dividends. Our results suggest that there is a long-run nonlinear relationship between stock prices and dividends. We found that present value model is more suitable with time-varying expected returns provides an empirically valid description of Taiwan stock price behavior in the long-run, while short-run deviations of actual stock prices from present value prices are driven by rational bubbles. Compared to conventional cointegration approach this technique produces more convincing evidence of the time series properties of the dividend and price, the momentum threshold autoregressive (MTAR) method is flexible enough to capture non-linear adjustment patterns and support the existence of stock price increases relative to fundamentals in Taiwan stock market.

About the Author

EXPERIENCE. Providence University, Assistant Professor of Finance, Aug.2006 ~ Present Taichung,Taiwan. Feng Chia University Part-time Assistant Professor, Aug.2006 ~ Present Taichung,Taiwan. Chiao Kwang University,Part-time Lecturer Taichung,Taiwan.