許多論文都在研究大部分都在研究其股票市場空頭來臨時的原因與效果。而這些研究大多是專注在探討在空頭後是哪些原因造成股票市場指數的波動與關連。然而,在探討公司財務特性變數每間公司都大為不同,然而在探討公司財務特性變數與股票市場多轉空與空轉多的轉折時期的討論卻鮮少出現。在這篇文章中我們使用了台灣股票市場在多頭轉空頭與空頭轉多頭的轉折時期作為樣本,時期為1997年8月到2009年2月中的轉折時期為其本篇的時間,樣本為台灣在此時期的上市公司為樣本,我們用了隨機效果的迴歸模型並且考慮了公司財務特性變數(公司特有風險)、公司治理變數、外資持股比率與中國概念因子做為變數,讓此論文更加完整。
A number of studies have investigated the causes and effects of stock market crashes. These studies mainly focus on the factors leading to a crash and on the volatility and co-movements of stock market indexes during and after the crash. However, how a stock market crash affects individual stocks and if stocks with different financial characteristics are affected differently in a stock market turn point is an issue that has not received sufficient attention. In this paper, we study this issue by using data for Taiwan stock market around the Bearish-Bullish Turning Points that have taken place during the August 1997–February 2009 period with a large sample of Taiwan firms. We use the multivariate regression analysis and consider certain company-specific characteristics, such as the China-concept factors, board of directors, and the percentage of shares owned by foreign institutions to study the determinants of stock returns around the Bearish-Bullish Turning Points.