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For years, "Big Players" have been strongly affecting the
Taiwan stock market. The main purpose of this study
concentrates on the market impact of big players''
recommendation. By using the regression analysis and the
expected returns models simultaneou- sly, the results are as
follows: 1. the value of inside information : a. the continuous
recommendation > the one-day recommendation > 0 b. the
recommendation of three big players > the recommendation of two
big players > 0 c. the bull market > the bear market > 0 2. the
comparison of the continuous and one-day recommendation: a.
when the big players deliver one-day recommendations, the
information spill-over will occure later, and the abnormal
return and volume are smaller than those of continuous ones b.
the one-day recommendation : negative information effect the
continuous recommendation : positive information effect 3. the
recommendation of three big players has more impact on the
price and the volume than the recommendation of two big
players; 4. the comparison of the bull and the bear market : a.
the Partially Anticipated Event: the bull market : positive
information effect the bear market : not significant b. the
number of the peak of average trading volume and turn- over
rate: the bull market : multiple the bear market : unit, at the
day before event day (t=-1) 5. Richardson-Sefcik Model proves
the positive abnormal volume in the big players''
recommendation; 6. in the aggregate test result, common
investors can not get significant profit from the big players''
recommendation.
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