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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93797

    Title: 事件宣告對股票市場價格效率之影響 : 以流動性之觀點
    Other Titles: Impact of event announcements on stock market price efficiency : a liquidity perspective
    Authors: 陳怡君;Chen, Yi-Chun
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;蔡蒔銓;Lin, William T.;Tsai, Shih-Chuan
    Keywords: 事件宣告;價格效率;流動性;Event Announcements;Price Efficiency;Liquidity
    Date: 2013
    Issue Date: 2014-01-23 13:31:58 (UTC+8)
    Abstract: 本研究探討事件宣告是否對市場價格效率造成影響,採用Hou (2005)之研究方法,利用高頻率日內資料計算每日之價格效率,藉此測試各事件隱含之資訊是否能立即反應於股價。另外,進一步探討委託單積極度指標及交易成本兩個流動性變數,對市場價格效率性之影響,最後將投資者分為外資、散戶、自營商及其它國內法人四類別,研究不同投資類別其所提供之流動性是否對市場價格效率有差異性的影響。
    This study is concerned with the impact of event announcements on the stock market price efficiency .According to Hou (2005)defined the price efficiency, thereby testing whether the information implicit in each event can immediately react to price. In addition, to further explore the impact of orders index liquidity and transaction costs on price efficiency, and different investment categories whether they provide liquidity to the market price difference of efficiency.
    The results indicate that after the announcement of the scheduled event, the market price efficiency and liquidity significantly enhance that the information can be reflected in the market. In different investment categories , foreign investors and dealers they are better able to provide liquidity to promote the efficiency of the market price. After the announcement of unscheduled event, because investors not know in advance the time of unscheduled event, and afterwards the efficiency and liquidity of the market price did not change significantly, the information not be reflected in the market.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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