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
著者 Blenman, Lloyd P.; Chen, Dar-hsin; Duan, Chang-wen
單位 淡江大學財務金融學系
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 en
ISSN 2811-3799
期刊性質 國外
國別 MYS
出版型式 ,電子版,紙本

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SDGS 尊嚴就業與經濟發展,產業創新與基礎設施