Publications-Theses
Article View/Open
Publication Export
-
Google ScholarTM
NCCU Library
Citation Infomation
Related Publications in TAIR
題名 投資人對公司治理之認知：停止交易與下單策略之分析
Investors’ perception of corporate governance: cessation of trading and order strategies around Taiwan corporate scandals作者 范惠美
Fan, Whei May貢獻者 李志宏
Lee, Jie Haun
范惠美
Fan, Whei May關鍵詞 公司治理
交易行為
停止交易
下單積極性
Corporate Governance
Trading Behavior
Cessation of Trading
Order Aggressiveness日期 2007 上傳時間 14-Sep-2009 09:05:53 (UTC+8) 摘要 Despite being the twelfth largest financial market in the world, approximately 90 per cent of the entire trading volume in the Taiwan stock market is accounted for by only a small, but widely dispersed, group of local investors actively participating in the local market during the 1995-1999 period (Barber, Lee, Liu and Odean, 2007); it is, however, also the case that these investors suffer from low levels of investor protection (La Porta, Lopez-de-Silances, Shleifer and Vishny, 1998). The discovery of a series of corporate scandals in Taiwan, between 16 June and 15 September 2004 (the event period), offers a unique opportunity to investigate the perceptions of investors on the value of corporate governance. The main line of reasoning in this study is that at times when news of scandals flows into the market, the perceptions of certain types of investors, particularly uniformed outsiders, will lead to a systematic change in their trading habits; thus, they may avoid trading in certain firms altogether, or their incentives to place aggressive orders may be considerably weakened, particularly where there is a likelihood of expropriation by controlling insiders. This dissertation undertakes a comprehensive analysis of trade and quote (TAQ) data for all investors on a sample of 94 firms listed on the Taiwan Stock Exchange (TSE), and provides evidence of extreme variations in the investment behavior of different types of investors. It is clear that during the event period, a substantial proportion of investors did cease trading altogether, with such cessation of trading even affecting their original non-scandal portfolios. This response was particularly discernible amongst small and medium-sized individual investors, who may often incur losses in firms with high cash-flow rights leverage. It seems that even the better-performed small-sized individual investors, who had previously enjoyed larger positive excess returns, tended to discard their previous trading strategy involving firms with no clear deviation between control rights and cash-flow rights. An examination of this deviation in trading behavior shows that most investors, with the exceptions of foreign institutions and large-sized individual investors, began to enter the market more passively during the event period, particularly in firms in which the ultimate controllers had separate control and cash-flow ownership. However, throughout the event period, the trading strategies of foreign institutions and large-sized individual investors involved more aggressive submission of orders for stocks in firms with strong cash-flow rights leverage. Finally, a direct test of the informativeness of aggressive orders placed by each category of investors, under different ownership structure portfolios, regardless of any order strategy, reveals that small-sized individual investors invariably performed badly during both the pre-event and event periods examined in this dissertation. Each line of our analysis shows that only foreign institutions and large-sized individual investors maintained acceptable returns; in comparative terms, these two groups of investors performed relatively well in portfolios with higher cash-flow rights leverage. 參考文獻 References
Ahn, Hee-Joon, Kee-Hong Bae, and Kalok Chan, 2001, Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong”, Journal of Finance 56, 767-788.
Ailey, Warren, Chan, Kalok, and Chung, Peter Y., 2000, “Depositary Receipts, Country funds, and the Peso Crash: The Intraday Evidence”, Journal of Finance 55, 2693-2717.
Amy Dittmar and Jan Mahrt-Smith, 2007, “Corporate Governance and the Value of Cash Holdings,” Journal of Financial Economics 83, 599–634.
Amy K. Edwards, Lawrence E. Harris, Michael S. Piwowar 2007, “ Corporate Bond Market Transaction Costs and Transparency”, Journal of Finance 62, 1421-1451.
Ananda, Amber, Sugato Chakravartyb, and Terrence Martell, 2005, “Empirical Evidence on the Evolution of Liquidity: Choice of Market versus Limit Orders by Informed and Uninformed Traders”, Journal of Financial Markets 8, 289–309.
Ang, Andrew, and Geert Bekaert, 2002, “International Asset Allocation with Regime Shifts”, Review of Financial Studies 15, 1137–1187.
Ang, Andrew, and Joseph Chen, 2002, “Asymmetric Correlations of Equity Portfolios”, Journal of Financial Economics 63, 443–494.
Angel, Jim, 1994, “Limit Orders versus Market Orders”, Working Paper, Georgetown University.
Bae, Kee-Hong, Hasung Jang, and Kyung Suh Park, 2003, “Traders’ Choice between Limit and Market Orders: Evidence from NYSE Stocks”, Journal of Financial Markets 6, 517-538.
Barber, Brad, Lee, Yi-Tsung, Liu ,Yu-Jane, and Odean, Terrance, 2007,"Just How Much do Individual Investors Lose by Trading?", The Review of Financial Studies, forthcoming
Yuan, Kathy, 2005, “Asymmetric Price Movements and Borrowing Constraints: A REE Model of Crisis, Contagion, and Confusion”, Journal of Finance 60, 379-411.
Barber, Brad M., Odean, Terrance and Zhu, Ning, 2008, “Do Retail Trades Move Markets?”, Review of Financial Studies, forthcoming
Barberisa, Nicholas, Shleiferb, Andrei, and Wurgler, Jeffrey , 2005, “Comovement “, Journal of Financial Economics 75, 283–317
Barclay, M., Warner, J., 1993, “Stealth Trading and Volatility: Which Trades Move Prices?”, Journal of Financial Economics 34, 281-305.
Bebchuk, Lucian A., Alma Cohen, and Allen Ferrell, 2004, “What Matters in Corporate Governance?” Working paper, Harvard Law School and NBER.
Beber, Alessandro, and Cecilia Caglio, 2004, “Order Submission Strategies and Information: Empirical Evidence from the NYSE”, Working Paper, University of Lausanne.
Berkman, Henk, and Paul Koch, 2007, “Noise Trading and the Price Formation Process”, Journal of Empirical Finance, Forthcoming.
Bernanke, Ben, and Gertler, Mark, 1989, “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review 79, 14-31.
Bernanke, B., Gertler, M., and S. Gilchrist, 1996, “The Financial Accelerator and Flight to Quality,” Review of Economics and Statistics 78, 1-15.
Bessembinder, H., Kaufman, H., 1997, “A Cross-exchange Comparison of Execution Costs and Information Flow for NYSE-listed Stocks”, Journal of Financial Economics 45, 293-319.
Biais, B., P. Hillion, and C. Spatt, 1995, “An empirical analysis of the limit-order book and the order flow in the Paris Bourse,” Journal of Finance 50, 1655–1689.
Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch, 1992, “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades”, Journal of Political Economy 100, 992–1026.
Black, Fisher, 1986, “Noise”, Journal of Finance 41, 529-544.
Bloomfield, R., M. O’Hara, and G. Saar, 2003, “The “Make or Take” Decision in an Electronic Market: Evidence on the Evolution of Liquidity,” working paper, Cornell University.
Blume, L., D. Easley, and M. O’Hara, 1994, “Market Statistics and Technical Analysis: The Role of Volume,” Journal of Finance 49, 153-181.
Boubakria, Narjess, Jean-Claude Cosseta, Omrane Guedhami, 2005, “Postprivatization Corporate Governance: The Role of Ownership Structure and Investor Protection”, Journal of Financial Economics 76, 369–399.
Boyer, Brian, Tomomi Kumagai, and Kathy Yuan, 2006, “How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices”, The Journal of Finance 61, 957-1003.
Brian H. Boyer, Kumagai, Tomomi, and Yuan, Kathy, 2006, “How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indice,” Journal of Finance 61, 957-1003.
Brockman, Paul, and Chung, Dennis Y., 2003, “Investor Protection and Firm Liquidity”, Journal of Finance 58, 921-937.
Caballero, Ricardo & J. Arvind Krishnamurthy, 2007, “Collective Risk Management in a Flight to Quality Episode,” working paper, MIT & NBER.
Calvo, Guilermo A., 1999, “Contagion in emerging markets: When Wall Street is a carrier”, Working paper, University of Maryland
Cao,C., O. Hansch, and X. Wang, 2003, “The Informational Content of an Open Limit Order Book,” working paper, Pennsylvania State University.
Carpenter, Robert, Steven Fazzari, and Bruce Petersen, 1994, “Inventory Investment, Internal Finance Fluctuations, and the Business Cycle,” Brookings Papers on Economic Activity, Vol. 2, 75-122.
Chakravarty, S., 2001, “Stealth Trading: Which Traders’ Trades Move Stock Prices?”, Journal of Financial Economics 61, 289-307.
Chakravarty, S., Holden, C., 1995, “An Integrated Model of Market and Limit Orders”, Journal of Financial Intermediation 4, 213-241.
Chan, L., Lakonishok, J., 1995, “The Behavior of Stock Prices around Institutional Trades”, Journal of finance 50, 1147-1174.
Chen, Kevin C.W., Zhihong Chen, and K.C. John Wei, 2004, “Disclosure, Corporate Governance, and the Cost-of-equity in Emerging Markets”, Working paper, HKUST.
Chhaochharia, Vidhi & Vaniv Grinstein, 2007, “Corporate Governance and Firm Value: The Impact of the 2002 Governance Rules,” Journal of Finance, forthcoming.
Chiraphol N. Chiyachantana, Pankaj K. Jain, Christine Jiang, and Robert A. Wood, 2004, “International Evidence on Institutional Trading Behavior and Price Impact,” Journal of Finance 59, 869-898.
Chung, K., Van Ness, B., Van Ness, B., 1999, “Limit Orders and the Bid-ask Spread”, Journal of Financial Economics 53, 255-287.
Claessens, S., S., Djankov, J. Fan, and L., Lang, 2002, “Disentangling the Incentive and Entrenchment Effects of Large Shareholdings”, Journal of Finance 57, 2741-2771.
Cohen, K., S. Maier, R. Schwartz, and D. Whitcomb, 1981, “Transaction Costs, Order Placement Strategy and Existence of the Bid-ask Spread”, Journal of Political Economy 89, 287-305.
Connolly, R.A. (1989), “An Examination of the Robustness of the Weekend Effect”, Journal of Financial and Quantitative Analysis, 24: 133-69.
Connolly, Robert, and Albert Wang, 1998, “On Stock Market Return Co-movements: Macroeconomic News, Dispersion of Beliefs, and Contagion”, Working paper, University of North Carolina-Chapel Hill.
Copeland, T., and D. Galai, 1983, “Information Effects on the Bid-ask Spread”, Journal of Finance 38, 1457–69.
Core, John E., Wayne R. Guay, and Tjomme O. Rusticus, 2006, “Does Weak Governance Cause Weak Stock Returns? An Examination of Firm Operating Performance and Investors’ Expectations,” Journal of Finance 61, 655-687.
Cremers, Martijn, & Vinay B. Nair, 2005, “Governance Mechanisms and Equity Prices,” Journal of Finance, Vol.60, 2859-2894.
De Long, J. Bradford, Andrei Sheiler, Lawrence H. Summers, and Robert J. Waldman,1990, “Noise Trader Risk in Financial Markets”, Journal of Political Economy 98, 703~738.
Dreman, D., 1979, Contrarian Investment Strategy: The Psychology of Stock Market Success, Random House, New York.
Easley, David and Maureen O’Hara, 2005,“Regulation and Return: The Role of Ambiguity,” working paper, Cornell University.
Ellul, A., C.W. Holden, P. Jain, and R. Jennings, 2003, “Determinants of Order Choice on the New York Stock Exchange”, working paper, Indiana University.
Fama, Eugene F., and Kenneth R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics 33, 3-56.
Fama, Eugene F., and Kenneth R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance 51, 55-84.
Foucault, T., 1999, “Order Flow Composition and Trading Costs in a Dynamic Limit Order Market“, Journal of Financial Markets 2, 193-226.
Friedman, Benjamin M., 1984, “A Comment: Stock Prices and Social Dynamics”, Brookings Papers on Economic Activity 2, 504–508.
Froot, Kenneth A., David S. Scharfstein, and Jeremy C. Stein, 1992, “Herd on the Street: Informational Inefficiencies in a Market with Short-term Speculation”, Journal of Finance 47, 1461–1484.
Gemmill, Gorden, and Dylon Thomas, 2002, “Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Close-End Funds,” Journal of Finance 57, 2571-2494.
Glosten, L., 1994, “Is the electronic open limit order book inevitable?,“ Journal of Finance 49, 1127-1161
Glosten, L. R., and P. R. Milgrom, 1985, “Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders”, Journal of Financial Economics 14, 71-100.
Gompers, Paul A., Joy L. Ishii, and Andrew Metrick, 2003, “Corporate Governance and Equity Prices,” Quarterly Journal of Economics 118, 107-155.
Greene James T., and Scott Smart, 1999, “Liquidity Provision and Noise Trading: Evidence from the Investment Dart Board Column”, Journal of Finance 54, 1885-1899.
Griffiths, M., Smith, B., Turnbull, D., White, R. W., 2000, “The Costs and the Determinants of Order Aggressiveness”, Journal of Financial Economics 56, 65-88.
Handa, P., Schwartz, R., 1996, “Limit Order Trading”, Journal of Finance 51, 1835-1861.
Handa, P., Schwartz, R., Tiwari, A., 1998, “Determinants of the Bid-ask Spread in an Order Driven Market”, Working Paper, University of Iowa.
Harris, Lawrence, 1998, “Optimal Dynamic Order Submission Strategies in some Stylized Trading Problem,” Financial Markets, Institutions and Instruments 7, 1-76.
Haugen, Robert A., 1995, The New Finance: The Case Against Efficient Markets, Prentice Hall, Englewood Cliffs, N.J.
Hausman, J., Lo, A., Mackinlay, A., 1992, “An Ordered Probit Analysis of Transaction Stock Prices”, Journal of Financial Economics 31, 319-379.
Himmelberg, Charles, and Bruce Petersen, 1992, “R&D and Internal Finance: A Panel Study of Small Firms in High-Tech Industries,” working paper, Washington University.
Hirshleifer, David, Avanidhar Subrahmanyam, and Sheridan Titman, 1994, “Security Analysis and Trading Patterns When Some Investors Receive Information before Others”, Journal of Finance 49, 1665–1698.
Hollifield, B., Miller, R., Sandas, P., 1999, “Empirical Analysis of Limit Order Markets ”, working paper, Carnegie Mellon University.
Hong, H., J.D. Kubik, and J.C., Stein, 2005, “Thy Neighbor’s Portfolio: Word-of-Mouth Effects in the Holdings and Trades of Money Managers”, Journal of Finance 60, 2801-2824.
Huang, R., and Stoll, H., 1996, “Security house versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE,” Journal of Financial Economics, 41, 313–357.
Ivaschenko, V. Iryna , 2004, “Coping with Financial Spillovers from the United States: the Effect of US Corporate Scandals on Canadian Stock Prices”, Journal of Multinational Financial Management 14 , 407–424.
Johnson, S., r., La Porta, F., Friedman, 2000, “Corporate Governance in the Asian Financial Crisis 1997-1998”, Journal of Financial Economics 58, 141-186.
Longin, Francois, and Bruno Solnik, 2001, “Extreme Correlation of International Equity Markets”, Journal of Finance 56, 649–676
Kaniel, Ron and Liu, Hong, 2006, “So What Orders Do Informed Traders Use?”, Journal of Business 79, 1867-1913.
Karpoff, Jonathan, 1986, “A Theory of Trading Volume”, Journal of Finance 41, 1069-1088.
Keim, D., Madhaven, A., 1995, “Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders”, Journal of Financial Economics 37, 371-398.
Kumar, Alok and Charles M.C. Lee, 2006, “Retail Investor Sentiment and Return Comovements”, Journal of Finance, 61, 2451-2486.
Kumar, Praveen, and Seppi, Duane, 1993, “Limit and Market Orders with Optimizing Traders”, working paper, Carnegie Mellon University.
Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994,” Contrarian Investment, Extrapolation, and Risk”, Journal of Finance 49, 1541–1578.
La Porta, Rafael, Florencio Lopez-de-Silanes, and Andrei Shleifer, 1999, “Corporate Ownership around the World,” Journal of Finance 54, 471-517.
La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert W. Vishny, 2002, “Investor Protection and Corporate Valuation,” Journal of Finance 57, 1147-1170.
Lemmon, Michael L., and Karlv. Lins, 2003, “Ownership Structure, Corporate Governance, and Firm Value: Evidence from the East Asian Financial Crisis,” Journal of Finance 58, 1445-1468.
Li, Haidan, Morton P.K. Pincus, and Sonja O. Rego, 2004, “Market Reaction to Events Surrounding the Sarbanes-Oxley Act of 2002: Overall and as a Function of Earnings Management and Audit Committee Effectiveness,” working paper, University of Iowa.
Liang, Bing, 1999, “Price Pressure: Evidence from the “Dartbord” Column”, Journal of Business 72, 119-134.
Mitton, T., 2002, “A Cross-firm Analysis of the Impact of Corporate Governance on the East Asian Financial Crisis”, Journal of Financial Economics 64, 215-241.
Nofsinger, J., and R. W. Sias, 1999, Herding and Feedback Trading by Institutional and Individual Investors. Journal of Finance 54: 2263-2295.
Parlour, C., 1998, “Price Dynamics in Limit Order Markets”, Review of Financial Studies 11, 789-816.
Ranaldo, A., 2003, “Order Aggressiveness in Limit Order Book Markets”, Journal of Financial Markets 7, 53-74.
Rashes, S. Michael, 2001, “Massively Confused Investors Making Conspicuously Ignorant Choices (MCI–MCIC) “, Journal of Finance 56, 1911-1927.
Rezaee, Zabihollah, and Pankaj K. Jain, 2005, “The Sarbanes-Oxley Act of 2002 and Security Market Behavior: Early Evidence,” Working paper, University of Memphis.
Routledge, Bryan and Stanley Zin, 2004,“Model Uncertainty and Liquidity,” working paper, Carnegie Mellon University.
Rock, K., 1996, “The Specialist’s Order Book and Price Anomalies,” working paper, Harvard University.
Seppi, D., 1997, “Liquidity Provision with Limit Orders and a Strategic Specialist,” Review of Financial Studies 10, 103-150.
Shiller, Robert J., 1984, “Stock prices and social dynamics”, Brookings Papers on Economic Activity 2, 457–510.
Shleifer, A. 2000, Inefficient Markets: An Introduction to Behavioral Finance, Oxford: Oxford University Press.
Shleifer, Andrei, and Summers, H. Lawrence, 1990, “The Noise Trader Approach to Finance”, Journal of Economic Perspectives 4, 19–33.
Shleifer, Andrew, and Vishny, Robert W., 1997, “The Limit of Arbitrage”, Journal of Finance 52, 35–55.
Shleifer, Andrei, and Vishny, Robert W., 1997, “A Survey of Corporate Governance”, Journal of Finance 52, 737-783.描述 博士
國立政治大學
財務管理研究所
92357502
96資料來源 http://thesis.lib.nccu.edu.tw/record/#G0923575021 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.advisor Lee, Jie Haun en_US dc.contributor.author (Authors) 范惠美 zh_TW dc.contributor.author (Authors) Fan, Whei May en_US dc.creator (作者) 范惠美 zh_TW dc.creator (作者) Fan, Whei May en_US dc.date (日期) 2007 en_US dc.date.accessioned 14-Sep-2009 09:05:53 (UTC+8) - dc.date.available 14-Sep-2009 09:05:53 (UTC+8) - dc.date.issued (上傳時間) 14-Sep-2009 09:05:53 (UTC+8) - dc.identifier (Other Identifiers) G0923575021 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31031 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 92357502 zh_TW dc.description (描述) 96 zh_TW dc.description.abstract (摘要) Despite being the twelfth largest financial market in the world, approximately 90 per cent of the entire trading volume in the Taiwan stock market is accounted for by only a small, but widely dispersed, group of local investors actively participating in the local market during the 1995-1999 period (Barber, Lee, Liu and Odean, 2007); it is, however, also the case that these investors suffer from low levels of investor protection (La Porta, Lopez-de-Silances, Shleifer and Vishny, 1998). The discovery of a series of corporate scandals in Taiwan, between 16 June and 15 September 2004 (the event period), offers a unique opportunity to investigate the perceptions of investors on the value of corporate governance. The main line of reasoning in this study is that at times when news of scandals flows into the market, the perceptions of certain types of investors, particularly uniformed outsiders, will lead to a systematic change in their trading habits; thus, they may avoid trading in certain firms altogether, or their incentives to place aggressive orders may be considerably weakened, particularly where there is a likelihood of expropriation by controlling insiders. This dissertation undertakes a comprehensive analysis of trade and quote (TAQ) data for all investors on a sample of 94 firms listed on the Taiwan Stock Exchange (TSE), and provides evidence of extreme variations in the investment behavior of different types of investors. It is clear that during the event period, a substantial proportion of investors did cease trading altogether, with such cessation of trading even affecting their original non-scandal portfolios. This response was particularly discernible amongst small and medium-sized individual investors, who may often incur losses in firms with high cash-flow rights leverage. It seems that even the better-performed small-sized individual investors, who had previously enjoyed larger positive excess returns, tended to discard their previous trading strategy involving firms with no clear deviation between control rights and cash-flow rights. An examination of this deviation in trading behavior shows that most investors, with the exceptions of foreign institutions and large-sized individual investors, began to enter the market more passively during the event period, particularly in firms in which the ultimate controllers had separate control and cash-flow ownership. However, throughout the event period, the trading strategies of foreign institutions and large-sized individual investors involved more aggressive submission of orders for stocks in firms with strong cash-flow rights leverage. Finally, a direct test of the informativeness of aggressive orders placed by each category of investors, under different ownership structure portfolios, regardless of any order strategy, reveals that small-sized individual investors invariably performed badly during both the pre-event and event periods examined in this dissertation. Each line of our analysis shows that only foreign institutions and large-sized individual investors maintained acceptable returns; in comparative terms, these two groups of investors performed relatively well in portfolios with higher cash-flow rights leverage. en_US dc.description.tableofcontents Contents ii List of Figures iv List of Tables v Abstract v 1 Introduction 5 2 Cessation of Trading in Light of Financial Scandals 5 2.1 Introduction 5 2.2 Hypotheses 5 2.3 Market Trading Rules 5 2.4 Data Description 5 2.5 Empirical Findings 5 2.5.1 Trading activities of investors 5 2.5.2 Do individual investors systematically leave with information? 5 2.6 Conclusions 5 3 Ordering Strategies for Various Types of Traders in Light of Local Corporate Scandals 5 3.1 Introduction 5 3.2 Order Aggressiveness Strategy 5 3.3 Empirical Methodology 5 3.4 Empirical Analysis 5 3.4.1 Univariate statistics on ownership structure and order aggressiveness 5 3.4.2 Multivariate analysis of ownership structure and order submission strategies 5 3.4.3 Informativeness of classified orders submitted by investors 5 3.5 Conclusions 5 4 Summary and Conclusions 5 References 5 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0923575021 en_US dc.subject (關鍵詞) 公司治理 zh_TW dc.subject (關鍵詞) 交易行為 zh_TW dc.subject (關鍵詞) 停止交易 zh_TW dc.subject (關鍵詞) 下單積極性 zh_TW dc.subject (關鍵詞) Corporate Governance en_US dc.subject (關鍵詞) Trading Behavior en_US dc.subject (關鍵詞) Cessation of Trading en_US dc.subject (關鍵詞) Order Aggressiveness en_US dc.title (題名) 投資人對公司治理之認知：停止交易與下單策略之分析 zh_TW dc.title (題名) Investors’ perception of corporate governance: cessation of trading and order strategies around Taiwan corporate scandals en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) References zh_TW dc.relation.reference (參考文獻) Ahn, Hee-Joon, Kee-Hong Bae, and Kalok Chan, 2001, Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong”, Journal of Finance 56, 767-788. zh_TW dc.relation.reference (參考文獻) Ailey, Warren, Chan, Kalok, and Chung, Peter Y., 2000, “Depositary Receipts, Country funds, and the Peso Crash: The Intraday Evidence”, Journal of Finance 55, 2693-2717. zh_TW dc.relation.reference (參考文獻) Amy Dittmar and Jan Mahrt-Smith, 2007, “Corporate Governance and the Value of Cash Holdings,” Journal of Financial Economics 83, 599–634. zh_TW dc.relation.reference (參考文獻) Amy K. Edwards, Lawrence E. Harris, Michael S. Piwowar 2007, “ Corporate Bond Market Transaction Costs and Transparency”, Journal of Finance 62, 1421-1451. zh_TW dc.relation.reference (參考文獻) Ananda, Amber, Sugato Chakravartyb, and Terrence Martell, 2005, “Empirical Evidence on the Evolution of Liquidity: Choice of Market versus Limit Orders by Informed and Uninformed Traders”, Journal of Financial Markets 8, 289–309. zh_TW dc.relation.reference (參考文獻) Ang, Andrew, and Geert Bekaert, 2002, “International Asset Allocation with Regime Shifts”, Review of Financial Studies 15, 1137–1187. zh_TW dc.relation.reference (參考文獻) Ang, Andrew, and Joseph Chen, 2002, “Asymmetric Correlations of Equity Portfolios”, Journal of Financial Economics 63, 443–494. zh_TW dc.relation.reference (參考文獻) Angel, Jim, 1994, “Limit Orders versus Market Orders”, Working Paper, Georgetown University. zh_TW dc.relation.reference (參考文獻) Bae, Kee-Hong, Hasung Jang, and Kyung Suh Park, 2003, “Traders’ Choice between Limit and Market Orders: Evidence from NYSE Stocks”, Journal of Financial Markets 6, 517-538. zh_TW dc.relation.reference (參考文獻) Barber, Brad, Lee, Yi-Tsung, Liu ,Yu-Jane, and Odean, Terrance, 2007,"Just How Much do Individual Investors Lose by Trading?", The Review of Financial Studies, forthcoming zh_TW dc.relation.reference (參考文獻) Yuan, Kathy, 2005, “Asymmetric Price Movements and Borrowing Constraints: A REE Model of Crisis, Contagion, and Confusion”, Journal of Finance 60, 379-411. zh_TW dc.relation.reference (參考文獻) Barber, Brad M., Odean, Terrance and Zhu, Ning, 2008, “Do Retail Trades Move Markets?”, Review of Financial Studies, forthcoming zh_TW dc.relation.reference (參考文獻) Barberisa, Nicholas, Shleiferb, Andrei, and Wurgler, Jeffrey , 2005, “Comovement “, Journal of Financial Economics 75, 283–317 zh_TW dc.relation.reference (參考文獻) Barclay, M., Warner, J., 1993, “Stealth Trading and Volatility: Which Trades Move Prices?”, Journal of Financial Economics 34, 281-305. zh_TW dc.relation.reference (參考文獻) Bebchuk, Lucian A., Alma Cohen, and Allen Ferrell, 2004, “What Matters in Corporate Governance?” Working paper, Harvard Law School and NBER. zh_TW dc.relation.reference (參考文獻) Beber, Alessandro, and Cecilia Caglio, 2004, “Order Submission Strategies and Information: Empirical Evidence from the NYSE”, Working Paper, University of Lausanne. zh_TW dc.relation.reference (參考文獻) Berkman, Henk, and Paul Koch, 2007, “Noise Trading and the Price Formation Process”, Journal of Empirical Finance, Forthcoming. zh_TW dc.relation.reference (參考文獻) Bernanke, Ben, and Gertler, Mark, 1989, “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review 79, 14-31. zh_TW dc.relation.reference (參考文獻) Bernanke, B., Gertler, M., and S. Gilchrist, 1996, “The Financial Accelerator and Flight to Quality,” Review of Economics and Statistics 78, 1-15. zh_TW dc.relation.reference (參考文獻) Bessembinder, H., Kaufman, H., 1997, “A Cross-exchange Comparison of Execution Costs and Information Flow for NYSE-listed Stocks”, Journal of Financial Economics 45, 293-319. zh_TW dc.relation.reference (參考文獻) Biais, B., P. Hillion, and C. Spatt, 1995, “An empirical analysis of the limit-order book and the order flow in the Paris Bourse,” Journal of Finance 50, 1655–1689. zh_TW dc.relation.reference (參考文獻) Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch, 1992, “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades”, Journal of Political Economy 100, 992–1026. zh_TW dc.relation.reference (參考文獻) Black, Fisher, 1986, “Noise”, Journal of Finance 41, 529-544. zh_TW dc.relation.reference (參考文獻) Bloomfield, R., M. O’Hara, and G. Saar, 2003, “The “Make or Take” Decision in an Electronic Market: Evidence on the Evolution of Liquidity,” working paper, Cornell University. zh_TW dc.relation.reference (參考文獻) Blume, L., D. Easley, and M. O’Hara, 1994, “Market Statistics and Technical Analysis: The Role of Volume,” Journal of Finance 49, 153-181. zh_TW dc.relation.reference (參考文獻) Boubakria, Narjess, Jean-Claude Cosseta, Omrane Guedhami, 2005, “Postprivatization Corporate Governance: The Role of Ownership Structure and Investor Protection”, Journal of Financial Economics 76, 369–399. zh_TW dc.relation.reference (參考文獻) Boyer, Brian, Tomomi Kumagai, and Kathy Yuan, 2006, “How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices”, The Journal of Finance 61, 957-1003. zh_TW dc.relation.reference (參考文獻) Brian H. Boyer, Kumagai, Tomomi, and Yuan, Kathy, 2006, “How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indice,” Journal of Finance 61, 957-1003. zh_TW dc.relation.reference (參考文獻) Brockman, Paul, and Chung, Dennis Y., 2003, “Investor Protection and Firm Liquidity”, Journal of Finance 58, 921-937. zh_TW dc.relation.reference (參考文獻) Caballero, Ricardo & J. Arvind Krishnamurthy, 2007, “Collective Risk Management in a Flight to Quality Episode,” working paper, MIT & NBER. zh_TW dc.relation.reference (參考文獻) Calvo, Guilermo A., 1999, “Contagion in emerging markets: When Wall Street is a carrier”, Working paper, University of Maryland zh_TW dc.relation.reference (參考文獻) Cao,C., O. Hansch, and X. Wang, 2003, “The Informational Content of an Open Limit Order Book,” working paper, Pennsylvania State University. zh_TW dc.relation.reference (參考文獻) Carpenter, Robert, Steven Fazzari, and Bruce Petersen, 1994, “Inventory Investment, Internal Finance Fluctuations, and the Business Cycle,” Brookings Papers on Economic Activity, Vol. 2, 75-122. zh_TW dc.relation.reference (參考文獻) Chakravarty, S., 2001, “Stealth Trading: Which Traders’ Trades Move Stock Prices?”, Journal of Financial Economics 61, 289-307. zh_TW dc.relation.reference (參考文獻) Chakravarty, S., Holden, C., 1995, “An Integrated Model of Market and Limit Orders”, Journal of Financial Intermediation 4, 213-241. zh_TW dc.relation.reference (參考文獻) Chan, L., Lakonishok, J., 1995, “The Behavior of Stock Prices around Institutional Trades”, Journal of finance 50, 1147-1174. zh_TW dc.relation.reference (參考文獻) Chen, Kevin C.W., Zhihong Chen, and K.C. John Wei, 2004, “Disclosure, Corporate Governance, and the Cost-of-equity in Emerging Markets”, Working paper, HKUST. zh_TW dc.relation.reference (參考文獻) Chhaochharia, Vidhi & Vaniv Grinstein, 2007, “Corporate Governance and Firm Value: The Impact of the 2002 Governance Rules,” Journal of Finance, forthcoming. zh_TW dc.relation.reference (參考文獻) Chiraphol N. Chiyachantana, Pankaj K. Jain, Christine Jiang, and Robert A. Wood, 2004, “International Evidence on Institutional Trading Behavior and Price Impact,” Journal of Finance 59, 869-898. zh_TW dc.relation.reference (參考文獻) Chung, K., Van Ness, B., Van Ness, B., 1999, “Limit Orders and the Bid-ask Spread”, Journal of Financial Economics 53, 255-287. zh_TW dc.relation.reference (參考文獻) Claessens, S., S., Djankov, J. Fan, and L., Lang, 2002, “Disentangling the Incentive and Entrenchment Effects of Large Shareholdings”, Journal of Finance 57, 2741-2771. zh_TW dc.relation.reference (參考文獻) Cohen, K., S. Maier, R. Schwartz, and D. Whitcomb, 1981, “Transaction Costs, Order Placement Strategy and Existence of the Bid-ask Spread”, Journal of Political Economy 89, 287-305. zh_TW dc.relation.reference (參考文獻) Connolly, R.A. (1989), “An Examination of the Robustness of the Weekend Effect”, Journal of Financial and Quantitative Analysis, 24: 133-69. zh_TW dc.relation.reference (參考文獻) Connolly, Robert, and Albert Wang, 1998, “On Stock Market Return Co-movements: Macroeconomic News, Dispersion of Beliefs, and Contagion”, Working paper, University of North Carolina-Chapel Hill. zh_TW dc.relation.reference (參考文獻) Copeland, T., and D. Galai, 1983, “Information Effects on the Bid-ask Spread”, Journal of Finance 38, 1457–69. zh_TW dc.relation.reference (參考文獻) Core, John E., Wayne R. Guay, and Tjomme O. Rusticus, 2006, “Does Weak Governance Cause Weak Stock Returns? An Examination of Firm Operating Performance and Investors’ Expectations,” Journal of Finance 61, 655-687. zh_TW dc.relation.reference (參考文獻) Cremers, Martijn, & Vinay B. Nair, 2005, “Governance Mechanisms and Equity Prices,” Journal of Finance, Vol.60, 2859-2894. zh_TW dc.relation.reference (參考文獻) De Long, J. Bradford, Andrei Sheiler, Lawrence H. Summers, and Robert J. Waldman,1990, “Noise Trader Risk in Financial Markets”, Journal of Political Economy 98, 703~738. zh_TW dc.relation.reference (參考文獻) Dreman, D., 1979, Contrarian Investment Strategy: The Psychology of Stock Market Success, Random House, New York. zh_TW dc.relation.reference (參考文獻) Easley, David and Maureen O’Hara, 2005,“Regulation and Return: The Role of Ambiguity,” working paper, Cornell University. zh_TW dc.relation.reference (參考文獻) Ellul, A., C.W. Holden, P. Jain, and R. Jennings, 2003, “Determinants of Order Choice on the New York Stock Exchange”, working paper, Indiana University. zh_TW dc.relation.reference (參考文獻) Fama, Eugene F., and Kenneth R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics 33, 3-56. zh_TW dc.relation.reference (參考文獻) Fama, Eugene F., and Kenneth R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance 51, 55-84. zh_TW dc.relation.reference (參考文獻) Foucault, T., 1999, “Order Flow Composition and Trading Costs in a Dynamic Limit Order Market“, Journal of Financial Markets 2, 193-226. zh_TW dc.relation.reference (參考文獻) Friedman, Benjamin M., 1984, “A Comment: Stock Prices and Social Dynamics”, Brookings Papers on Economic Activity 2, 504–508. zh_TW dc.relation.reference (參考文獻) Froot, Kenneth A., David S. Scharfstein, and Jeremy C. Stein, 1992, “Herd on the Street: Informational Inefficiencies in a Market with Short-term Speculation”, Journal of Finance 47, 1461–1484. zh_TW dc.relation.reference (參考文獻) Gemmill, Gorden, and Dylon Thomas, 2002, “Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Close-End Funds,” Journal of Finance 57, 2571-2494. zh_TW dc.relation.reference (參考文獻) Glosten, L., 1994, “Is the electronic open limit order book inevitable?,“ Journal of Finance 49, 1127-1161 zh_TW dc.relation.reference (參考文獻) Glosten, L. R., and P. R. Milgrom, 1985, “Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders”, Journal of Financial Economics 14, 71-100. zh_TW dc.relation.reference (參考文獻) Gompers, Paul A., Joy L. Ishii, and Andrew Metrick, 2003, “Corporate Governance and Equity Prices,” Quarterly Journal of Economics 118, 107-155. zh_TW dc.relation.reference (參考文獻) Greene James T., and Scott Smart, 1999, “Liquidity Provision and Noise Trading: Evidence from the Investment Dart Board Column”, Journal of Finance 54, 1885-1899. zh_TW dc.relation.reference (參考文獻) Griffiths, M., Smith, B., Turnbull, D., White, R. W., 2000, “The Costs and the Determinants of Order Aggressiveness”, Journal of Financial Economics 56, 65-88. zh_TW dc.relation.reference (參考文獻) Handa, P., Schwartz, R., 1996, “Limit Order Trading”, Journal of Finance 51, 1835-1861. zh_TW dc.relation.reference (參考文獻) Handa, P., Schwartz, R., Tiwari, A., 1998, “Determinants of the Bid-ask Spread in an Order Driven Market”, Working Paper, University of Iowa. zh_TW dc.relation.reference (參考文獻) Harris, Lawrence, 1998, “Optimal Dynamic Order Submission Strategies in some Stylized Trading Problem,” Financial Markets, Institutions and Instruments 7, 1-76. zh_TW dc.relation.reference (參考文獻) Haugen, Robert A., 1995, The New Finance: The Case Against Efficient Markets, Prentice Hall, Englewood Cliffs, N.J. zh_TW dc.relation.reference (參考文獻) Hausman, J., Lo, A., Mackinlay, A., 1992, “An Ordered Probit Analysis of Transaction Stock Prices”, Journal of Financial Economics 31, 319-379. zh_TW dc.relation.reference (參考文獻) Himmelberg, Charles, and Bruce Petersen, 1992, “R&D and Internal Finance: A Panel Study of Small Firms in High-Tech Industries,” working paper, Washington University. zh_TW dc.relation.reference (參考文獻) Hirshleifer, David, Avanidhar Subrahmanyam, and Sheridan Titman, 1994, “Security Analysis and Trading Patterns When Some Investors Receive Information before Others”, Journal of Finance 49, 1665–1698. zh_TW dc.relation.reference (參考文獻) Hollifield, B., Miller, R., Sandas, P., 1999, “Empirical Analysis of Limit Order Markets ”, working paper, Carnegie Mellon University. zh_TW dc.relation.reference (參考文獻) Hong, H., J.D. Kubik, and J.C., Stein, 2005, “Thy Neighbor’s Portfolio: Word-of-Mouth Effects in the Holdings and Trades of Money Managers”, Journal of Finance 60, 2801-2824. zh_TW dc.relation.reference (參考文獻) Huang, R., and Stoll, H., 1996, “Security house versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE,” Journal of Financial Economics, 41, 313–357. zh_TW dc.relation.reference (參考文獻) Ivaschenko, V. Iryna , 2004, “Coping with Financial Spillovers from the United States: the Effect of US Corporate Scandals on Canadian Stock Prices”, Journal of Multinational Financial Management 14 , 407–424. zh_TW dc.relation.reference (參考文獻) Johnson, S., r., La Porta, F., Friedman, 2000, “Corporate Governance in the Asian Financial Crisis 1997-1998”, Journal of Financial Economics 58, 141-186. zh_TW dc.relation.reference (參考文獻) Longin, Francois, and Bruno Solnik, 2001, “Extreme Correlation of International Equity Markets”, Journal of Finance 56, 649–676 zh_TW dc.relation.reference (參考文獻) Kaniel, Ron and Liu, Hong, 2006, “So What Orders Do Informed Traders Use?”, Journal of Business 79, 1867-1913. zh_TW dc.relation.reference (參考文獻) Karpoff, Jonathan, 1986, “A Theory of Trading Volume”, Journal of Finance 41, 1069-1088. zh_TW dc.relation.reference (參考文獻) Keim, D., Madhaven, A., 1995, “Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders”, Journal of Financial Economics 37, 371-398. zh_TW dc.relation.reference (參考文獻) Kumar, Alok and Charles M.C. Lee, 2006, “Retail Investor Sentiment and Return Comovements”, Journal of Finance, 61, 2451-2486. zh_TW dc.relation.reference (參考文獻) Kumar, Praveen, and Seppi, Duane, 1993, “Limit and Market Orders with Optimizing Traders”, working paper, Carnegie Mellon University. zh_TW dc.relation.reference (參考文獻) Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994,” Contrarian Investment, Extrapolation, and Risk”, Journal of Finance 49, 1541–1578. zh_TW dc.relation.reference (參考文獻) La Porta, Rafael, Florencio Lopez-de-Silanes, and Andrei Shleifer, 1999, “Corporate Ownership around the World,” Journal of Finance 54, 471-517. zh_TW dc.relation.reference (參考文獻) La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert W. Vishny, 2002, “Investor Protection and Corporate Valuation,” Journal of Finance 57, 1147-1170. zh_TW dc.relation.reference (參考文獻) Lemmon, Michael L., and Karlv. Lins, 2003, “Ownership Structure, Corporate Governance, and Firm Value: Evidence from the East Asian Financial Crisis,” Journal of Finance 58, 1445-1468. zh_TW dc.relation.reference (參考文獻) Li, Haidan, Morton P.K. Pincus, and Sonja O. Rego, 2004, “Market Reaction to Events Surrounding the Sarbanes-Oxley Act of 2002: Overall and as a Function of Earnings Management and Audit Committee Effectiveness,” working paper, University of Iowa. zh_TW dc.relation.reference (參考文獻) Liang, Bing, 1999, “Price Pressure: Evidence from the “Dartbord” Column”, Journal of Business 72, 119-134. zh_TW dc.relation.reference (參考文獻) Mitton, T., 2002, “A Cross-firm Analysis of the Impact of Corporate Governance on the East Asian Financial Crisis”, Journal of Financial Economics 64, 215-241. zh_TW dc.relation.reference (參考文獻) Nofsinger, J., and R. W. Sias, 1999, Herding and Feedback Trading by Institutional and Individual Investors. Journal of Finance 54: 2263-2295. zh_TW dc.relation.reference (參考文獻) Parlour, C., 1998, “Price Dynamics in Limit Order Markets”, Review of Financial Studies 11, 789-816. zh_TW dc.relation.reference (參考文獻) Ranaldo, A., 2003, “Order Aggressiveness in Limit Order Book Markets”, Journal of Financial Markets 7, 53-74. zh_TW dc.relation.reference (參考文獻) Rashes, S. Michael, 2001, “Massively Confused Investors Making Conspicuously Ignorant Choices (MCI–MCIC) “, Journal of Finance 56, 1911-1927. zh_TW dc.relation.reference (參考文獻) Rezaee, Zabihollah, and Pankaj K. Jain, 2005, “The Sarbanes-Oxley Act of 2002 and Security Market Behavior: Early Evidence,” Working paper, University of Memphis. zh_TW dc.relation.reference (參考文獻) Routledge, Bryan and Stanley Zin, 2004,“Model Uncertainty and Liquidity,” working paper, Carnegie Mellon University. zh_TW dc.relation.reference (參考文獻) Rock, K., 1996, “The Specialist’s Order Book and Price Anomalies,” working paper, Harvard University. zh_TW dc.relation.reference (參考文獻) Seppi, D., 1997, “Liquidity Provision with Limit Orders and a Strategic Specialist,” Review of Financial Studies 10, 103-150. zh_TW dc.relation.reference (參考文獻) Shiller, Robert J., 1984, “Stock prices and social dynamics”, Brookings Papers on Economic Activity 2, 457–510. zh_TW dc.relation.reference (參考文獻) Shleifer, A. 2000, Inefficient Markets: An Introduction to Behavioral Finance, Oxford: Oxford University Press. zh_TW dc.relation.reference (參考文獻) Shleifer, Andrei, and Summers, H. Lawrence, 1990, “The Noise Trader Approach to Finance”, Journal of Economic Perspectives 4, 19–33. zh_TW dc.relation.reference (參考文獻) Shleifer, Andrew, and Vishny, Robert W., 1997, “The Limit of Arbitrage”, Journal of Finance 52, 35–55. zh_TW dc.relation.reference (參考文獻) Shleifer, Andrei, and Vishny, Robert W., 1997, “A Survey of Corporate Governance”, Journal of Finance 52, 737-783. zh_TW
