Stock price effects analysis between US and Taiwanese online stock trading

Authors:
Chiu-Che Tseng;June Wei;Ching-Tsai Kang
Affiliations:
Capacity Planning Optimization Systems, American Airlines, Fort Worth, TX 76155, USA.;Department of Management and Management Information System, The University of West Florida, Pensacola, FL 32514, USA.;Department of Computer Science and Information Systems, Texas A&M University –– Commerce, Commerce, TX 75429, USA
Venue:
International Journal of Electronic Finance
Year:
2008

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Abstract

This paper examines online stock price effects of cross-listingsAmerican Depositary Receipts (ADRs) in Taiwanese companies.Specifically, decision tree and rule base systems were used toanalyse the stock price variances of ADRs in the USA and those inTaiwan market to see if the ADR listed in the US market reflectsthe real-time information that became available while the US marketwas open right after the Taiwan market was closed. The resultsshowed that most of the companies had higher accuracy rates of ADRsprediction, and some companies even had more than 60% accuracyrates. This paper concludes that Taiwanese stock price plays themain role in affecting the stock prices in the USA.