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題名 流動性：指標與實證－台灣股票市場之上櫃轉上市
Liquidity: Measures and Evidences form Exchange Listings in Taiwan Stock Market
作者 黃琛汶
Huang, Chen-Wen
貢獻者 郭維裕
黃琛汶
Huang, Chen-Wen
關鍵詞 流動性
上櫃轉上市
事件研究法
liquidity
exchange switching
event study
日期 2001
上傳時間 18-Apr-2016 16:24:46 (UTC+8)
摘要 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 abcdrmal 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.
參考文獻 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)
描述 碩士
國立政治大學
國際經營與貿易學系
88351010
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001526
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 黃琛汶zh_TW
dc.contributor.author (Authors) Huang, Chen-Wenen_US
dc.creator (作者) 黃琛汶zh_TW
dc.creator (作者) Huang, Chen-Wenen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:24:46 (UTC+8)-
dc.date.available 18-Apr-2016 16:24:46 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:24:46 (UTC+8)-
dc.identifier (Other Identifiers) A2002001526en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85312-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 88351010zh_TW
dc.description.abstract (摘要) 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 abcdrmal 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.en_US
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     1. Introduction
     2. Methodology
     2.1 Liquidity Measurement
     2.2 Model Estimation
     2.2.1 Event Study: Price Behavior
     2.2.2 Distributional Properties of Abcdrmal Returns and Testing Statistics
     2.2.3 Event Study: Liquidity Measures and Improvements
     3. Data Description
     4. Empirical Results
     4.1 Empirical Results: non-bundle sample
     4.1.1 Exchange switching returns
     4.1.2 Exchange switching liquidity
     4.2 Empirical Results: bundle sample
     4.2.1 Exchange switching returns
     4.2.2 Exchange switching liquidity
     4.3 Results Comparison
     5. Implication and conclusion
     Reference
     Appendix		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001526en_US
dc.subject (關鍵詞) 流動性zh_TW
dc.subject (關鍵詞) 上櫃轉上市zh_TW
dc.subject (關鍵詞) 事件研究法zh_TW
dc.subject (關鍵詞) liquidityen_US
dc.subject (關鍵詞) exchange switchingen_US
dc.subject (關鍵詞) event studyen_US
dc.title (題名) 流動性：指標與實證－台灣股票市場之上櫃轉上市zh_TW
dc.title (題名) Liquidity: Measures and Evidences form Exchange Listings in Taiwan Stock Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 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)		zh_TW