ASYMMETRIC RESPONSES TO CASH FLOW NEWS: A COMPARISON OF KOREAN AND TAIWAN STOCK MARKETS

Li-Kai (Connie) Liao) ； Che-Chia Chang ； Wei Wang ； Jiao-Hui Yang

《Advances in Financial Planning and Forecasting》 8期 (2017/11) Pp. 119-137

https://doi.org/10.6292/AFPF.201711_8.0005

摘要

This paper compares the responsiveness of stock returns to cash flow news in Korea and Taiwan. The study contributes by considering the asymmetric responses of cash flow news in the news level and news volatility level. The main findings of the paper are as follows: (1) Cash flow news is relatively more important than expected return news in both countries and particularly so in Taiwan. (2) For the news level, Korea presents an asymmetric response to cash flow news but a relatively steady response in Taiwan. (3) For the news volatility level, both countries presents volatility-clustering phenomenon of cash flow news but not in an asymmetric pattern.

關鍵字

Variance Decomposition ； Cash Flow News ； Asymmetric Response

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