English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113303/144284 (79%)
Visitors : 50804205      Online Users : 710
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85299


    Title: 內部人交易策略與股票價量之關係研究
    Authors: 張燕翎
    Chang, Yan-Ling
    Contributors: 林修葳
    張燕翎
    Chang, Yan-Ling
    Keywords: 內部人
    異常交易量
    異常報酬
    insiders
    abcdrmal trading volume
    abcdrmal return
    panel data
    Date: 2001
    Issue Date: 2016-04-18 16:24:19 (UTC+8)
    Abstract: 本篇論文探討在台灣獨有的先申報後轉讓的內部人交易制度下,到底內部人申報轉讓後之執行率公布對一般大眾的影響為何呢?內部人申報轉讓後,有可能實際轉讓,也可能不轉讓或不足額轉讓,端視內部人的策略。我們把焦點放在內部人申報轉讓持股後,當市場公布執行結果後,個股交易量的表現為何。結果發現異常交易量因執行率公布後獲知內部人之淨買淨賣行為而有所增加;但內部人無淨買賣時,交易量無明顯異常。
    Reference: (一)、英文部分
    Admati,Anat R.,and Paul Pfleiderer,1988, “A Theory of Intraday Patterns Volume and Price Variability” The Review of Financial Studies,3-40.
    Albert S. Kyle,1985, “Continuous Auctions and Insider Trading” Economitrica 53,1315-1335.
    Allen, Franklin, and Douglas Gale, 1992, “Stock-Price Manipulation.” The Review of Financial Studies 5, 503-529.
    Ananth Madhavan, 1996, “Security Prices and Market Transparency.” Journal of Financial Intermediation 5, 255-283.
    Bessembinder, Hendrik, and Kalok Chan, Paul J. Seguin, 1996, “An Empirical Examination of Information, Differences of Opinion, and Trading Activity.” Journal of Financial Economics 40, 105-134.
    Blume, Lawrence, and David Easley, Maureen O’Hara,1994, “Market Statistics and Technical Analysis:The Role of Volume.” The Journal of Finance 49,153-181.
    Campbel,John Y.,and Sanford J.Grossman,Jiang Wang,1993, “Trading Volume and Serial Correlation In Stock Returns”The Quarterly Journal of Economics November ,905-939.
    Chakravarty,Sugato,John J.Mcconnell,1999, “Does Insider Trading Really Move Stock Price?”,Journal of Financial and Quantitative Analysis 34,191-209.
    Easley,David,and Maureen O’Hara,1987, “Price,Trade Size,and Information in Securities Markets” Journal of Financial Economics 17,69-90.
    Easley, David, Nicholas M. Kiefer, Maureen O’Hara, and Joseph B. Paperman, 1996 “Liquidity, Information, and Infrequently Traded Stocks.” The Journal of Finance 51,1405-1436.
    Fama, Eugene F., and Kenneth R. French, 1992, “The Cross-Section of Expected Stock Returns.” The Journal of Finance 47, 427-465.
    Fama, Eugene F., and Kenneth R. French,1996, “Multifactor Explanations of Asset Pricing Anomalies.” The Journal of Finance 51, 55-83.
    Fishman, Michael J., and Kathleen M. Hagerty, 1995, “The Mandatory Disclosure of Trades and Market Liquidity.” The Review of Financial Studies 8, 637-676.
    Garfinkel, Jon A.,and Jonathan Sokobin,2000, “Rational Markets,Earnings Transparency and Post-Earnings Announcement Drift” Working paper Gallant, A.Ronld ,Perter E.Rossi, George Tauchen,1992, “Stock Prices and Volume” The Review of Financial Studies 5,199-242.
    Nejat H. Seyhun, 1986, “Insiders’ Profits, Costs of Trading , and Market Efficiency.” Journal of Financial Economics 16 ,189-212.
    Lawrence,Harris and Eitan Gurel, 1986, “Price and Vlume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures.” The Journal of Finance 41 ,815-829.
    Huddart, Steven, John S. Hughes, and Carolyn B. Levine, 2001, “Public Disclosure and Dissimulation of Insider Trades.” Econometrica 69, 665-683.
    Hasbrouck Joel, 1991, “The Summary Informativeness of Stock Trades: An Econometric Analysis.” The Review of Financial Studies 4, 571-595.
    Karpoff M.Jonathan,1987, “The Relation between Price Changes and Trading Volume:A Survey” Journal of Financial and Quantitative Analysis 22,109-126.
    Kose, John and Ranga Narayanan, 1997, “Market Manipulatin and The Role of Insider Trading Regulations.” Journal of Business 70, 217-247.
    Lakonishok, Josef, and Theo Vermaelen,1986, “Tax-induced Trading Around Ex-dividend Days” Journal of Financial Economics 16,287-319.
    Lisa K. Meulbroek,1992, “An Empirical Analysis of Illegal Insider Trading.” The Journal of Finance 47,1661-1699.
    Michaely, Roni, and Jean-Luc Vila,1995, “Investors’ Heterogeneity,Price,and Volme around the Ex-Divided Day” Journal of Financial and Quantitative Analysis 30,171-198.
    Michaely, Roni, and Maurizio Murgia, 1995, “The Effect of Tax Heterogeneity on Prices and Volume around the Ex-dividend Day: Evidence from the Milan Stock Exchange.” The Review of Financial Studies 8, 369-399.
    Paula A. Tkac, 1999, “A Trading Volume Benchmark: Theory and Evidence.” Journal of Financial and Quantitative Analysis 34, 89-114.
    Richardson, Gordon, and Stephan E. Sefcif, 1986, “A Test of Dividend Irrelevance Using Volume Reactions to A Change in Dividend Policy.” Journal of Financial Economics 17, 313-333.
    Sanders, Ralph W., and John S. Zdanowicz,1992, “Target Firm Abormal Returns and Trading Volume around the Initiation of Change in Control Transactions.” Journal of Financial and Quantitative Analysis 27, 109-129.
    Urrutia,Jorge L,and Joseph D. Vu,1999, “Is It Good or Bad to Make the Cover of Business Week?” Quarterly Journal of Business and Economics 38, 64-76.
    (二)、中文部分
    吳毓基, 內部關係人交易績效之研究,國立成功大學國際企業研究所未出版碩士論文,民國89年6月。
    李致榮, 內部關係人申報持股轉讓對股價與交易量的影響,私立輔仁大學管理研究所未出版碩士論文,民國89年6月。
    杜雅健, 內部關係人鉅額持股轉讓交易及申報對股價影響之實證研究, 國立中山大學企業管理研究所未出版碩士論文,民國81年6月。
    徐嘉志,集團內部關係人鉅額交易對其集團整體股價之影響,國立中興大學企業管理研究所未出版碩士論文,民國83年6月。
    郭郁琦, 公司內部關係人的交易行為與機構投資人的反應-以董監事申報持股轉讓為例,國立中正大學財務金融研究所未出版碩士論文,民國86年6月。
    賴薈群, 投資大眾對於內部關係人申報持股轉讓事件反應之實證研究,國立台灣大學國際企業研究所未出版碩士論文,民國87年6 月。
    繆震宇, 臺灣股票市場內部人交易與內部訊息及股價走勢之研究,國立台灣大學財務金融研究所未出版碩士論文,民國82年6月。
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    88351020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001511
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2371View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback