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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/101943

    Title: 非預定事件宣告對股票市場異常報酬之影響 : 以流動性及資訊不對稱之觀點
    Other Titles: The impact of unscheduled event announcements on abnormal return of stock market : a liquidity and information asymmetry perspective
    Authors: 曾莛雅;Zeng, Ting-Ya
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.;涂登才;Tu, Teng-Tsai
    Keywords: 事件宣告;異常報酬;異常交易量;資訊交易;Event Announcements;abnormal return;Abnormal Volume;Information trading
    Date: 2014
    Issue Date: 2015-05-04 09:43:40 (UTC+8)
    Abstract: 本文研究期間以2005年到2010年台灣上市公司的股票為樣本,探討公司非預期事件(併購事件和庫藏股買回事件)宣告投資人資訊不對稱對股票異常報酬之影響,使用台灣證券交易所提供的成交檔、委託檔和揭示檔之日內資料,將投資人區分為外資、散戶、自營商和投信及其他國內法人做討論。利用資訊交易機率和異常交易量判別投資人是否有資訊不對稱存在,並檢驗資訊不對稱對股票異常報酬是否有顯著現象。
    This study is concerned with the impact of unscheduled event announcements on the abnormal return of stock market. The data is based on from listed companies in Taiwan stock market from 2005 to 2010. We use the intraday limit order book, display data and transaction data from TWSE. And separating the investors in to four groups-foreign investors, individual investors, dealers, mutual fund, and other domestic institution investors in Taiwan stock market. Using the probability of informed trading and abnormal volume to recognize whether investors exist asymmetric information.
    In M&A event, the empirical results show that the abnormal volume is obviously related to the market abnormal return on announcement day and before announcement day. And we can find that other domestic institution investors are more predictable to decide the buying strategy. In share repurchase announcements, foreign investors and dealers have more information and regard the events as good news. They prefer to decide the selling strategy. But mutual fund, and other domestic institution investors are subject to the law in Taiwan. They sell the shares which have already held the stock market to make the profit, so their behavior of trading prefers to decide the selling order.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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