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研究生:黃琛汶
研究生(外文):Chenwen Huang
論文名稱:流動性:指標與實證---台灣股票市場之上櫃轉上市
論文名稱(外文):Liquidity: Measures and Evidences form Exchange Listings in Taiwan Stock Market
指導教授:郭維裕郭維裕引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:英文
論文頁數:49
中文關鍵詞:流動性上櫃轉上市事件研究法
外文關鍵詞:liquidityexchange switchingevent study
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This study employs event study to show that, on average, exchange switching in Taiwan stock market from 1997 to 2000 is a negative event for stockholders. Stocks involved in exchange switching experience negative abnormal returns before and after switching. And, in general, liquidity deteriorates after exchange switching. Therefore, TSEC is not absolutely better than OTC from the view of liquidity-providing. Several conclusions are derived in this paper: 1. On average, exchange switching in Taiwan does not create value for stockholders. 2. In general, liquidity deteriorates after switching according to the evidences found in this study with multiple liquidity measures. 3. Liquidity indeed has multiple facets. 4. TSEC is not exactly better than OTC for raising in terms of function of liquidity providing.
Abstract 2
1.Introduction 2
2. Methodology 6
2.1 Liquidity Measurement 6
2.2 Model Estimation 12
2.2.1 Event Study: Price Behavior 13
2.2.2 Distributional Properties of Abnormal Returns and Testing Statistics 14
2.2.3 Event Study: Liquidity Measures and Improvements 16
3. Data Description 16
4. Empirical Results 18
4.1 Empirical Results: non-bundle sample 18
4.1.1 Exchange switching returns 18
4.1.2 Exchange switching liquidity 20
4.2 Empirical Results: bundle sample 23
4.2.1 Exchange switching returns 23
4.2.2 Exchange switching liquidity 23
4.3 Results Comparison 28
5. Implication and conclusion 29
Reference 30
Appendix 33
1. A. Craig Mackinlay. 1997. "Event Studies in Economics and Finance" Journal of Economic Literature, Vol. 35 (March 1997), pp. 13-39
2. Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
3. Amihud, Y., H. Mendelson, and B. Lauterbach, 1997. Market Microstructure and Securities Values: Evidence from the Tel-Aviv Stock Exchange , Journal of Financial Economics 45, 365-390.
4. Arnold R. Cowan, Anne M.A. Sergeant ,1996. Trading Frequency and Study Test Specification, Journal of Banking & Finance 20, 1731-1757.
5. Arnold R. Cowan, Richard B. Carter, Frederick H. Dark, and Ajai K. Singh, 1992. Explaining the NYSE Listing Choices of NASDAQ Firms, Financial Management/Winter, 73-86.
6. Bagehot, Walter, 1971, The only game in town, Financial Analyst Journal 27, 12-14
7. Bessembinder, H.; K. Chang; and P. Seguin. "An Empirical Examination of Information, Differences of Opinion and Trading Activity." Journal of Financial Economics, 40 (1996), 105-134
8. Brennan, M. and A. Subrahmanyam, 1996. Market Microstructure and Asset Pricing: On The Compensation for Illiquidity in Stock Returns, Journal of Financial Economics 41, 441-464.
9. Brown, S and J. Warner, "Measuring Security Price Performance." Journal of Financial Economics 8, 205-258, (1980)
10. Brown, S and J. Warner, "Using Daily Stock Returns: The Case of Event Study."Journal of Financial Economics 14, 3-31, (1985)
11. Campell, C.J. and C.E. Wasley, " Measuring Security Price Performance Using Daily NASDAQ Returns."Journal of Financial Economics 33, 73-92, (1993)
12. Datar. V., N. Naik, and R. Radcliffe, 1998. Liquidity and Stock Return: An Alternative Test, Journal of Financial Markets 1, 203-219
13. Diamond, D., and R. Verrecchia. "Disclosure, Liquidity and the Cost of Capital." Journal of Finance, 46 (1991), 1325-1359
14. Easley, David and Maureen O''Hara, 1987, Price, trade size and information in securities markets. Journal of Financial Economics 19, 69-90
15. Eleswarapu, Venkat and Marc Reinganum, 1993, The seasonal behavior of the liquidity premium in asset pricing, Journal of Financial Economics 34, 281-305
16. Elyas Elyasiani, Shmuel Hauser, Beni Lauterbach., 2000, Market Response to Liquidity Improvements: Evidence from Exchange Listings, The Financial Review 41, 1-14.
17. Gary C. Sanger and John J. McConnell. "Stock Exchange Listing, Firm Value and Security Efficiency: The Impact of NASDAQ." Journal of Financial and Quantitive Analysis 21 (March 1986), 1-25.
18. Hasbrouck J., 1993. Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement, Review of Financial Studies 6, 191-212.
19. Kyle, Albert. 1985. Continuous auction and insider trading, Econometrica 53, 1315-1335
20. Kadlec, G. and J. McConnell, 1994. The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings, Journal of Finance 49, 611-636.
21. McConnell, J. and G. Sanger, 1987. The Puzzle in Post-Listing Common Stock Return, Journal of Finance 42, 119-140.
22. Paula A. Tack. "A Trading Volume Benchmark: Theory and Evidence" Journal of Financial and Quantitative Analysis, 34 (1999) 89-114
23. Robert C. Merton., 1987, Presidential address: A Simple Model of Capital Market with Equilibrium with Incomplete Information, Journal of Finance 42, 483-510
24. Schreiber, Paul S., and Robert A. Schwartz,1985, Efficient price discovery in a securities market: The objective of a trading system, in Yakov Amihud, Thomas Ho, and Robert Schwartz, eds.: Market Making and the Changing Structure of the Securities Industry (Lexigton Books, Lexington, KY).
25. Ule, M. G. "Price Movements of Newly-Listed Common Stocks."Journal of Business 10, 346-369, (1937)
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