期刊論文
| 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 | en |
| ISSN | 2811-3799 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | MYS |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23640 ) |