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Linear and Nonlinear Relationship between Stock Prices and Dividends: The Case of Taiwan,Used
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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 longrun nonlinear relationship between stock prices and dividends. We found that present value model is more suitable with timevarying expected returns provides an empirically valid description of Taiwan stock price behavior in the longrun, while shortrun 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 nonlinear adjustment patterns and support the existence of stock price increases relative to fundamentals in Taiwan stock market.
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