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研究生:陳麗雯
研究生(外文):Chen,Li-Wen
論文名稱:TwoEssaysontheTradingBehaviorofInstitutionalInvestors:TheCasesintheOpen-endingClosed-EndFundsinTaiwan&intheChangesofStocksinMSCITaiwanIndex
指導教授:劉玉珍劉玉珍引用關係
指導教授(外文):Liu,Yu-Jane
學位類別:博士
校院名稱:國立政治大學
系所名稱:財務管理研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:96
中文關鍵詞:Institutional InvestorsOpen-ending Closed-End FundsProfit OpportunitiesMSCI Taiwan IndexDownward Sloping Demand CurvesPrice PressureInformation Content
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This dissertation studies the reaction of trading behavior of investors, especially institutional investors, to the public information in Taiwan. Two kinds of public information are chosen in this dissertation. One is open-ending closed-end funds under the regulation set up by Taiwan authority. The other is the change of stocks in MSCI Taiwan Index that is decided by Morgan Stanley Capital International (MSCI), a well-known foreign institution in constructing various indices.
Consistent with earlier studies using U.S. data, our results show that open-ending is a wealth-enhancing event for shareholders. We also provide evidence of the existence of noise traders in the closed-end fund market. The evidence is derived from the trading behavior of domestic institutional investors and small individual investors, who ignore price discounts when open-ending is imminent. The trading by noise traders impedes price adjustments to the discounts, and provides profit opportunities to arbitragers. Furthermore, we show that foreign investors gain considerable wealth, largely at the expense of domestic institutional investors and small individual investors, in the open-ending process. On average, their gains account for 30% of the total gains associated with open-ending, or NT$562 millions per case.
On the issue of the change of stocks in MSCI Taiwan Index, we find that MSCI prefers to select the securities with good performance, high liquidity, and large firm size into MSCI Taiwan Index while tends to drop the securities with poor performance, lower liquidity, and small firm size from MSCI Taiwan Index. Besides, consistent with the previous studies, prices increase (decrease) significantly for stocks added to (deleted from) the MSCI Taiwan Index after the announcement date. As well as the deletions, the price decreases for unchanging stocks after the announcement date. However, there is no evidence to find that foreign investors have information advantage in MSCI news over domestic investors. Foreign investors increase (decrease) their holdings on stocks included in (excluded from) the MSCI Taiwan Index after the announcement date.
Moreover, price pressure hypothesis is not supported. Visibility hypothesis, information content hypothesis, downward sloping demand curves hypothesis are supported. Finally, for additions and deletions, the market-adjusted returns are driven by the contemporaneous excess buy of foreign investors and the contemporaneous excess sells of domestic corporations and individuals.
Chapter 1 Introduction 1
Chapter 2 Foreign Investors and Profit Opportunities in Open-ending
Closed-End Funds in Taiwan 9
2.1 Introduction 9
2.2 Open-ending Regulations in Taiwan 13
2.3 Data 15
2.4 Empirical Results 18
2.4.1 Wealth and Profit Opportunities 18
2.4.2 Who Are Rational and Who Are Noise Traders? 20
2.4.3 How Are the Open-ending Gains Distributed? 23
2.5 Conclusions 24
Chapter 3 The Reaction to the Changes of Stocks in MSCI Taiwan Index 42
3.1 Introduction 42
3.2 Data 47
3.3 Empirical Results 53
3.3.1 Price Effect and Trading Volume Effect 53
3.3.2 Trading Behavior for Each Type of Investors 57
3.3.3 Visibility 59
3.3.4 Downward Sloping Demand Curves 62
3.3.5 Price Impact 63
3.4 Conclusions 64
Chapter 4 Conclusions 88
References 92
Appendix A 96
Appendix B 97
Appendix C 98
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