政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36675
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 109952/140887 (78%)
造访人次 : 46353455      在线人数 : 614
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/36675


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/36675


    题名: Two Essays on the Trading Behavior of Institutional Investors: The Cases in the Open-ending Closed-End Funds in Taiwan & in the Changes of Stocks in MSCI Taiwan Index
    作者: 陳麗雯
    Chen,Li-Wen
    贡献者: 劉玉珍
    Liu,Yu-Jane
    陳麗雯
    Chen,Li-Wen
    关键词: Institutional Investors
    Open-ending Closed-End Funds
    Profit Opportunities
    MSCI Taiwan Index
    Downward Sloping Demand Curves
    Price Pressure
    Information Content
    日期: 2003
    上传时间: 2009-09-18 19:16:18 (UTC+8)
    摘要: This dissertation studies the reaction of trading behavior of investors, especially institutional investors, to the public information in Taiwan. Two kinds of public information are chosen in this dissertation. One is open-ending closed-end funds under the regulation set up by Taiwan authority. The other is the change of stocks in MSCI Taiwan Index that is decided by Morgan Stanley Capital International (MSCI), a well-known foreign institution in constructing various indices.
    Consistent with earlier studies using U.S. data, our results show that open-ending is a wealth-enhancing event for shareholders. We also provide evidence of the existence of noise traders in the closed-end fund market. The evidence is derived from the trading behavior of domestic institutional investors and small individual investors, who ignore price discounts when open-ending is imminent. The trading by noise traders impedes price adjustments to the discounts, and provides profit opportunities to arbitragers. Furthermore, we show that foreign investors gain considerable wealth, largely at the expense of domestic institutional investors and small individual investors, in the open-ending process. On average, their gains account for 30% of the total gains associated with open-ending, or NT$562 millions per case.
    On the issue of the change of stocks in MSCI Taiwan Index, we find that MSCI prefers to select the securities with good performance, high liquidity, and large firm size into MSCI Taiwan Index while tends to drop the securities with poor performance, lower liquidity, and small firm size from MSCI Taiwan Index. Besides, consistent with the previous studies, prices increase (decrease) significantly for stocks added to (deleted from) the MSCI Taiwan Index after the announcement date. As well as the deletions, the price decreases for unchanging stocks after the announcement date. However, there is no evidence to find that foreign investors have information advantage in MSCI news over domestic investors. Foreign investors increase (decrease) their holdings on stocks included in (excluded from) the MSCI Taiwan Index after the announcement date.
    Moreover, price pressure hypothesis is not supported. Visibility hypothesis, information content hypothesis, downward sloping demand curves hypothesis are supported. Finally, for additions and deletions, the market-adjusted returns are driven by the contemporaneous excess buy of foreign investors and the contemporaneous excess sells of domestic corporations and individuals.
    參考文獻: 1. Barclay, M. J., Clifford G. Holderness, and Jeffrey Pontiff, 1993, Private benefits from block ownership and discounts on closed-end funds, Journal of Financial Economics 33, 263-291.
    2. Boudreaux, K. J., 1973, Discounts and premiums on closed-end mutual funds: A study in valuation, Journal of Finance 28, 515-522.
    3. Brennan, M. and C. Cao, 1997, International portfolio investment flows, Journal of Finance 52, 1851-1880.
    4. Brauer, Gregory A., 1984, Open-ending closed-end funds, Journal of Financial Economics 13, 491-507.
    5. Brauer, Gregory A., 1988, Closed-end fund shares’ abcdrmal returns and the information content of discounts and premiums, Journal of Finance 43, 113-127.
    6. Brickley, James A. and James S. Schallheim, 1985, Lifting the lid on closed-end investment companies: A case of abcdrmal returns, Journal of Financial and Quantitative Analysis 20, 107-118.
    7. Chakrabarti R., W. Huang, N. Jayaraman, and J. Lee, 2002, Do international investors’ demand curves for stocks slope down too?, working paper.
    8. Chan, Kalok, Albert J. Menkveld, and Zhishu Yang, 2003, Are Domestic Investors more Informed than Foreign Investors? Evidence from the Perfectly Segmented Market in China, Working paper.
    9. Chen, Nai-Fu, Raymond Kan, and Merton H. Miller, 1993, Are the discounts on closed-end funds a sentiment index, Journal of Finance 48, 795-800.
    10. Chen, Y. M., 2001, Domestic investors’ herding behavior in reaction to foreign trading, working paper.
    11. Choe, H., B. Kho, and Rene M Stulz, 1999, Do foreign investors destabilize stock markets? The Korean experience in 1997, Journal of Financial Economics 54, 227-264.
    12. Choe, H., B. Kho, and Rene M Stulz, 2001, Do domestic investors have more valuable information about individual stock than foreign investors, NBER working paper No.8073.
    13. Dahlquist M., and G. Robertsson, 2001, Direct foreign ownership, institutional investors, and firm characteristics, Journal of Financial Economics 59, 413-440.
    14. De Long, J. Bradfore, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738.
    15. Dhillon, U., and H. Johnson, 1991, Changes in the Standard and Poor’s 500 list, Journal of Business 64, 75-85.
    16. Dimson, Elroy and Carolina Minio-Paluello, 2002, The closed-end fund discount, Working paper, London Business School.
    17. Froot, Kenneth, Paul G. J. O’Connell, and Mark S. Seasholes, 2001, The portfolio flows of international investors, Journal of Financial Economics 59, 151.
    18. Grinblatt, M and M. Keloharju, 2000, The investment behavior and performance of various investor types: a study of Finland’s unique data set, Journal of Financial Economics 55, 43-67.
    19. Harris, L., and E. Gurel, 1986, Price and volume effects associated with changes in the S&P 500: New evidence for the existence of price pressures, Journal of Finance 41, 815-829.
    20. Kang, Jun-Koo and Rene M. Stulz, 1997, Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan, Journal of Financial Economics 46, 2-18.
    21. Kaul, A., V. Mehrotra, and R. Morck, 2000, Demand curves for stocks do slope down: New evidence from an index weights adjustment, Journal of Finance 55, 893-912.
    22. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, 1990, Anomalies: Closed-end mutual funds, Journal of Economic Perspectives 4, 153-164.
    23. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, 1991, Investor sentiment and the closed-end fund puzzle, Journal of Finance 46, 75-109.
    24. Lee, Yi-Tsung, Ji-Chai Lin, and Yu-Jane Liu, 1999, Trading patterns of big versus small players in an emerging market: An empirical analysis, Journal of Banking and Finance 23, 701-725.
    25. Lee, Yi-Tsung, Yu-Jane Liu, Richard Roll, and Avanidhar Subrahmanyam, 2003, Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Journal of Financial and Quantitative Analysis, forthcoming.
    26. Levy, H., 1978, Equilibrium in an imperfect market: A constraint on the number of securities in the portfolio, American Economic Review 68, 643-658.
    27. Liu, S., 2000, Changes in the Nikkei 500: New evidence for download slopping demand curves for stocks, International Review of Finance 1, 245-267.
    28. Lynch, A., and R. Mendenhall, 1997, New evidence on stock price effects associated with changes in the S&P 500 index, Journal of Business 70, 351-383.
    29. Malkiel, Burton G., 1977, The valuation of closed-end investment company shares, Journal of Finance 32, 847-859.
    30. Mukherjee, P., S. Bose, and D. Coondoo, 2002, Foreign institutional investment in the Indian Equity Market: An Analysis of Daily Flows during January 1999-May 2002, Money and Finance 2.
    31. Nofsinger, J. R., 2001, The impact of public information on investors, Journal of Banking and Finance 25, 1339-1366.
    32. Pontiff, Jeffrey, 1995, Closed-end fund premia and returns implications for financial market equilibrium, Journal of Financial Economics 37, 341-370.
    33. Pontiff, Jeffrey, 1996, Costly arbitrage: Evidence from closed-end funds, The Quarterly Journal of Economics 111, 1135-1151.
    34. Pontiff, Jeffrey, 1997, Excess volatility and closed-end funds, The American Economic Review, 155-169.
    35. Pruitt, S. W., and K. C. John Wei, 1989, Institutional ownership and changes in the S&P 500, Journal of Finance 44, 509-513.
    36. Shleifer, A., 1986, Do demand curves for stock slope down?, Journal of Finance 41, 579-590.
    37. Wang, J., 2001, Foreign trading and market volatility in Indonesia, working paper.
    描述: 博士
    國立政治大學
    財務管理研究所
    87357504
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0087357504
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2257检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈