| dc.contributor.advisor | 劉玉珍 | zh_TW |
| dc.contributor.advisor | Liu,Yu-Jane | en_US |
| dc.contributor.author (Authors) | 陳麗雯 | zh_TW |
| dc.contributor.author (Authors) | Chen,Li-Wen | en_US |
| dc.creator (作者) | 陳麗雯 | zh_TW |
| dc.creator (作者) | Chen,Li-Wen | en_US |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-Sep-2009 19:16:18 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 19:16:18 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 19:16:18 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0087357504 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36675 | - |
| 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) | 87357504 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.description.tableofcontents | 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 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0087357504 | en_US |
| dc.subject (關鍵詞) | Institutional Investors | en_US |
| dc.subject (關鍵詞) | Open-ending Closed-End Funds | en_US |
| dc.subject (關鍵詞) | Profit Opportunities | en_US |
| dc.subject (關鍵詞) | MSCI Taiwan Index | en_US |
| dc.subject (關鍵詞) | Downward Sloping Demand Curves | en_US |
| dc.subject (關鍵詞) | Price Pressure | en_US |
| dc.subject (關鍵詞) | Information Content | en_US |
| dc.title (題名) | Two Essays on the Trading Behavior of Institutional Investors: The Cases in the Open-ending Closed-End Funds in Taiwan & in the Changes of Stocks in MSCI Taiwan Index | zh_TW |
| dc.type (資料類型) | thesis | en |
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