教師資料查詢 | 類別: 期刊論文 | 教師: 段昌文 CHANG-WEN DUAN (瀏覽個人網頁)

標題:Exchange Listing Changes : Volatility and Liquidity Effects in Taiwan
學年92
學期1
出版(發表)日期2003/12/01
作品名稱Exchange Listing Changes : Volatility and Liquidity Effects in Taiwan
作品名稱(其他語言)
著者Blenman, Lloyd P.; Chen, Dar-hsin; Duan, Chang-wen
單位淡江大學財務金融學系
出版者
著錄名稱、卷期、頁數The International Journal of Banking and Finance 1(1), p.45-72
摘要We examine the volatility, liquidity and returns effects on stocks that switch exchange listings from the ROSE to the TSE in Taiwan from 1992 to 2000. Switching Jims earn statistically positive returns before the transfer day and earn statistically negative returns after that day. We find evidence of improved liquidity, ownership dispersion and actual trading volume for such firms. The relative volatility of trading volume, compared against the firms ' own histories, and volatility of return also increase after a listing change. We show that increased trading volume and liquidity are associated with the abnormal returns around the transfer date. We find no evidence that the past earnings of firms significantly affect the abnormal returns realized in the post-listing period.
關鍵字volatility;liquidity;abnormal returns;Taiwan;listing transfer
語言英文
ISSN1617-722
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別馬來西亞
公開徵稿
出版型式,電子版,紙本
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