Integrating the event study method and the Grey Markov forecasting model to evaluate the effect of announcements regarding the establishment of FHCs

摘要

Taiwan has been to establish financial holding companies (FHCs). For investors pursuing wealth maximisation, it's uncertain whether benefits will be achieved by transforming the stocks of companies that are acquisition targets for FHCs into FHC stock. This investigation considers the stock values of newly established FHC target firms, and applies the Grey Markov forecasting model to determine whether the stock values of the target firms are affected by FHC acquisition announcements. The results indicate that the proposed model has advantages over alternative models. This work provides good references to help investors make decisions regarding selling, buying or holding the stocks of FHCs.