政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85312
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113318/144297 (79%)
造访人次 : 51001953      在线人数 : 918
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/85312


    题名: 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
    贡献者: 郭維裕
    黃琛汶
    Huang, Chen-Wen
    关键词: 流動性
    上櫃轉上市
    事件研究法
    liquidity
    exchange switching
    event study
    日期: 2001
    上传时间: 2016-04-18 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
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2245检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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 ©   - 回馈