Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/31031
|
| Title: | 投資人對公司治理之認知：停止交易與下單策略之分析
Investors’ perception of corporate governance: cessation of trading and order strategies around Taiwan corporate scandals |
| Authors: | 范惠美
Fan, Whei May |
| Contributors: | 李志宏
Lee, Jie Haun
范惠美
Fan, Whei May |
| Keywords: | 公司治理
交易行為
停止交易
下單積極性
Corporate Governance
Trading Behavior
Cessation of Trading
Order Aggressiveness |
| Date: | 2007 |
| Issue Date: | 2009-09-14 09:05:53 (UTC+8) |
| Abstract: | Despite being the twelfth largest financial market in the world, approximately 90 per cent of the entire trading volume in the Taiwan stock market is accounted for by only a small, but widely dispersed, group of local investors actively participating in the local market during the 1995-1999 period (Barber, Lee, Liu and Odean, 2007); it is, however, also the case that these investors suffer from low levels of investor protection (La Porta, Lopez-de-Silances, Shleifer and Vishny, 1998).
The discovery of a series of corporate scandals in Taiwan, between 16 June and 15 September 2004 (the event period), offers a unique opportunity to investigate the perceptions of investors on the value of corporate governance. The main line of reasoning in this study is that at times when news of scandals flows into the market, the perceptions of certain types of investors, particularly uniformed outsiders, will lead to a systematic change in their trading habits; thus, they may avoid trading in certain firms altogether, or their incentives to place aggressive orders may be considerably weakened, particularly where there is a likelihood of expropriation by controlling insiders.
This dissertation undertakes a comprehensive analysis of trade and quote (TAQ) data for all investors on a sample of 94 firms listed on the Taiwan Stock Exchange (TSE), and provides evidence of extreme variations in the investment behavior of different types of investors. It is clear that during the event period, a substantial proportion of investors did cease trading altogether, with such cessation of trading even affecting their original non-scandal portfolios. This response was particularly discernible amongst small and medium-sized individual investors, who may often incur losses in firms with high cash-flow rights leverage. It seems that even the better-performed small-sized individual investors, who had previously enjoyed larger positive excess returns, tended to discard their previous trading strategy involving firms with no clear deviation between control rights and cash-flow rights.
An examination of this deviation in trading behavior shows that most investors, with the exceptions of foreign institutions and large-sized individual investors, began to enter the market more passively during the event period, particularly in firms in which the ultimate controllers had separate control and cash-flow ownership. However, throughout the event period, the trading strategies of foreign institutions and large-sized individual investors involved more aggressive submission of orders for stocks in firms with strong cash-flow rights leverage.
Finally, a direct test of the informativeness of aggressive orders placed by each category of investors, under different ownership structure portfolios, regardless of any order strategy, reveals that small-sized individual investors invariably performed badly during both the pre-event and event periods examined in this dissertation. Each line of our analysis shows that only foreign institutions and large-sized individual investors maintained acceptable returns; in comparative terms, these two groups of investors performed relatively well in portfolios with higher cash-flow rights leverage. |
| Reference: | References
Ahn, Hee-Joon, Kee-Hong Bae, and Kalok Chan, 2001, Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong”, Journal of Finance 56, 767-788.
Ailey, Warren, Chan, Kalok, and Chung, Peter Y., 2000, “Depositary Receipts, Country funds, and the Peso Crash: The Intraday Evidence”, Journal of Finance 55, 2693-2717.
Amy Dittmar and Jan Mahrt-Smith, 2007, “Corporate Governance and the Value of Cash Holdings,” Journal of Financial Economics 83, 599–634.
Amy K. Edwards, Lawrence E. Harris, Michael S. Piwowar 2007, “ Corporate Bond Market Transaction Costs and Transparency”, Journal of Finance 62, 1421-1451.
Ananda, Amber, Sugato Chakravartyb, and Terrence Martell, 2005, “Empirical Evidence on the Evolution of Liquidity: Choice of Market versus Limit Orders by Informed and Uninformed Traders”, Journal of Financial Markets 8, 289–309.
Ang, Andrew, and Geert Bekaert, 2002, “International Asset Allocation with Regime Shifts”, Review of Financial Studies 15, 1137–1187.
Ang, Andrew, and Joseph Chen, 2002, “Asymmetric Correlations of Equity Portfolios”, Journal of Financial Economics 63, 443–494.
Angel, Jim, 1994, “Limit Orders versus Market Orders”, Working Paper, Georgetown University.
Bae, Kee-Hong, Hasung Jang, and Kyung Suh Park, 2003, “Traders’ Choice between Limit and Market Orders: Evidence from NYSE Stocks”, Journal of Financial Markets 6, 517-538.
Barber, Brad, Lee, Yi-Tsung, Liu ,Yu-Jane, and Odean, Terrance, 2007,"Just How Much do Individual Investors Lose by Trading?", The Review of Financial Studies, forthcoming
Yuan, Kathy, 2005, “Asymmetric Price Movements and Borrowing Constraints: A REE Model of Crisis, Contagion, and Confusion”, Journal of Finance 60, 379-411.
Barber, Brad M., Odean, Terrance and Zhu, Ning, 2008, “Do Retail Trades Move Markets?”, Review of Financial Studies, forthcoming
Barberisa, Nicholas, Shleiferb, Andrei, and Wurgler, Jeffrey , 2005, “Comovement “, Journal of Financial Economics 75, 283–317
Barclay, M., Warner, J., 1993, “Stealth Trading and Volatility: Which Trades Move Prices?”, Journal of Financial Economics 34, 281-305.
Bebchuk, Lucian A., Alma Cohen, and Allen Ferrell, 2004, “What Matters in Corporate Governance?” Working paper, Harvard Law School and NBER.
Beber, Alessandro, and Cecilia Caglio, 2004, “Order Submission Strategies and Information: Empirical Evidence from the NYSE”, Working Paper, University of Lausanne.
Berkman, Henk, and Paul Koch, 2007, “Noise Trading and the Price Formation Process”, Journal of Empirical Finance, Forthcoming.
Bernanke, Ben, and Gertler, Mark, 1989, “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review 79, 14-31.
Bernanke, B., Gertler, M., and S. Gilchrist, 1996, “The Financial Accelerator and Flight to Quality,” Review of Economics and Statistics 78, 1-15.
Bessembinder, H., Kaufman, H., 1997, “A Cross-exchange Comparison of Execution Costs and Information Flow for NYSE-listed Stocks”, Journal of Financial Economics 45, 293-319.
Biais, B., P. Hillion, and C. Spatt, 1995, “An empirical analysis of the limit-order book and the order flow in the Paris Bourse,” Journal of Finance 50, 1655–1689.
Bikhchandani, Sushil, David Hirshleifer, and Ivo Welch, 1992, “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades”, Journal of Political Economy 100, 992–1026.
Black, Fisher, 1986, “Noise”, Journal of Finance 41, 529-544.
Bloomfield, R., M. O’Hara, and G. Saar, 2003, “The “Make or Take” Decision in an Electronic Market: Evidence on the Evolution of Liquidity,” working paper, Cornell University.
Blume, L., D. Easley, and M. O’Hara, 1994, “Market Statistics and Technical Analysis: The Role of Volume,” Journal of Finance 49, 153-181.
Boubakria, Narjess, Jean-Claude Cosseta, Omrane Guedhami, 2005, “Postprivatization Corporate Governance: The Role of Ownership Structure and Investor Protection”, Journal of Financial Economics 76, 369–399.
Boyer, Brian, Tomomi Kumagai, and Kathy Yuan, 2006, “How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices”, The Journal of Finance 61, 957-1003.
Brian H. Boyer, Kumagai, Tomomi, and Yuan, Kathy, 2006, “How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indice,” Journal of Finance 61, 957-1003.
Brockman, Paul, and Chung, Dennis Y., 2003, “Investor Protection and Firm Liquidity”, Journal of Finance 58, 921-937.
Caballero, Ricardo & J. Arvind Krishnamurthy, 2007, “Collective Risk Management in a Flight to Quality Episode,” working paper, MIT & NBER.
Calvo, Guilermo A., 1999, “Contagion in emerging markets: When Wall Street is a carrier”, Working paper, University of Maryland
Cao,C., O. Hansch, and X. Wang, 2003, “The Informational Content of an Open Limit Order Book,” working paper, Pennsylvania State University.
Carpenter, Robert, Steven Fazzari, and Bruce Petersen, 1994, “Inventory Investment, Internal Finance Fluctuations, and the Business Cycle,” Brookings Papers on Economic Activity, Vol. 2, 75-122.
Chakravarty, S., 2001, “Stealth Trading: Which Traders’ Trades Move Stock Prices?”, Journal of Financial Economics 61, 289-307.
Chakravarty, S., Holden, C., 1995, “An Integrated Model of Market and Limit Orders”, Journal of Financial Intermediation 4, 213-241.
Chan, L., Lakonishok, J., 1995, “The Behavior of Stock Prices around Institutional Trades”, Journal of finance 50, 1147-1174.
Chen, Kevin C.W., Zhihong Chen, and K.C. John Wei, 2004, “Disclosure, Corporate Governance, and the Cost-of-equity in Emerging Markets”, Working paper, HKUST.
Chhaochharia, Vidhi & Vaniv Grinstein, 2007, “Corporate Governance and Firm Value: The Impact of the 2002 Governance Rules,” Journal of Finance, forthcoming.
Chiraphol N. Chiyachantana, Pankaj K. Jain, Christine Jiang, and Robert A. Wood, 2004, “International Evidence on Institutional Trading Behavior and Price Impact,” Journal of Finance 59, 869-898.
Chung, K., Van Ness, B., Van Ness, B., 1999, “Limit Orders and the Bid-ask Spread”, Journal of Financial Economics 53, 255-287.
Claessens, S., S., Djankov, J. Fan, and L., Lang, 2002, “Disentangling the Incentive and Entrenchment Effects of Large Shareholdings”, Journal of Finance 57, 2741-2771.
Cohen, K., S. Maier, R. Schwartz, and D. Whitcomb, 1981, “Transaction Costs, Order Placement Strategy and Existence of the Bid-ask Spread”, Journal of Political Economy 89, 287-305.
Connolly, R.A. (1989), “An Examination of the Robustness of the Weekend Effect”, Journal of Financial and Quantitative Analysis, 24: 133-69.
Connolly, Robert, and Albert Wang, 1998, “On Stock Market Return Co-movements: Macroeconomic News, Dispersion of Beliefs, and Contagion”, Working paper, University of North Carolina-Chapel Hill.
Copeland, T., and D. Galai, 1983, “Information Effects on the Bid-ask Spread”, Journal of Finance 38, 1457–69.
Core, John E., Wayne R. Guay, and Tjomme O. Rusticus, 2006, “Does Weak Governance Cause Weak Stock Returns? An Examination of Firm Operating Performance and Investors’ Expectations,” Journal of Finance 61, 655-687.
Cremers, Martijn, & Vinay B. Nair, 2005, “Governance Mechanisms and Equity Prices,” Journal of Finance, Vol.60, 2859-2894.
De Long, J. Bradford, Andrei Sheiler, Lawrence H. Summers, and Robert J. Waldman,1990, “Noise Trader Risk in Financial Markets”, Journal of Political Economy 98, 703~738.
Dreman, D., 1979, Contrarian Investment Strategy: The Psychology of Stock Market Success, Random House, New York.
Easley, David and Maureen O’Hara, 2005,“Regulation and Return: The Role of Ambiguity,” working paper, Cornell University.
Ellul, A., C.W. Holden, P. Jain, and R. Jennings, 2003, “Determinants of Order Choice on the New York Stock Exchange”, working paper, Indiana University.
Fama, Eugene F., and Kenneth R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics 33, 3-56.
Fama, Eugene F., and Kenneth R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance 51, 55-84.
Foucault, T., 1999, “Order Flow Composition and Trading Costs in a Dynamic Limit Order Market“, Journal of Financial Markets 2, 193-226.
Friedman, Benjamin M., 1984, “A Comment: Stock Prices and Social Dynamics”, Brookings Papers on Economic Activity 2, 504–508.
Froot, Kenneth A., David S. Scharfstein, and Jeremy C. Stein, 1992, “Herd on the Street: Informational Inefficiencies in a Market with Short-term Speculation”, Journal of Finance 47, 1461–1484.
Gemmill, Gorden, and Dylon Thomas, 2002, “Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Close-End Funds,” Journal of Finance 57, 2571-2494.
Glosten, L., 1994, “Is the electronic open limit order book inevitable?,“ Journal of Finance 49, 1127-1161
Glosten, L. R., and P. R. Milgrom, 1985, “Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders”, Journal of Financial Economics 14, 71-100.
Gompers, Paul A., Joy L. Ishii, and Andrew Metrick, 2003, “Corporate Governance and Equity Prices,” Quarterly Journal of Economics 118, 107-155.
Greene James T., and Scott Smart, 1999, “Liquidity Provision and Noise Trading: Evidence from the Investment Dart Board Column”, Journal of Finance 54, 1885-1899.
Griffiths, M., Smith, B., Turnbull, D., White, R. W., 2000, “The Costs and the Determinants of Order Aggressiveness”, Journal of Financial Economics 56, 65-88.
Handa, P., Schwartz, R., 1996, “Limit Order Trading”, Journal of Finance 51, 1835-1861.
Handa, P., Schwartz, R., Tiwari, A., 1998, “Determinants of the Bid-ask Spread in an Order Driven Market”, Working Paper, University of Iowa.
Harris, Lawrence, 1998, “Optimal Dynamic Order Submission Strategies in some Stylized Trading Problem,” Financial Markets, Institutions and Instruments 7, 1-76.
Haugen, Robert A., 1995, The New Finance: The Case Against Efficient Markets, Prentice Hall, Englewood Cliffs, N.J.
Hausman, J., Lo, A., Mackinlay, A., 1992, “An Ordered Probit Analysis of Transaction Stock Prices”, Journal of Financial Economics 31, 319-379.
Himmelberg, Charles, and Bruce Petersen, 1992, “R&D and Internal Finance: A Panel Study of Small Firms in High-Tech Industries,” working paper, Washington University.
Hirshleifer, David, Avanidhar Subrahmanyam, and Sheridan Titman, 1994, “Security Analysis and Trading Patterns When Some Investors Receive Information before Others”, Journal of Finance 49, 1665–1698.
Hollifield, B., Miller, R., Sandas, P., 1999, “Empirical Analysis of Limit Order Markets ”, working paper, Carnegie Mellon University.
Hong, H., J.D. Kubik, and J.C., Stein, 2005, “Thy Neighbor’s Portfolio: Word-of-Mouth Effects in the Holdings and Trades of Money Managers”, Journal of Finance 60, 2801-2824.
Huang, R., and Stoll, H., 1996, “Security house versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE,” Journal of Financial Economics, 41, 313–357.
Ivaschenko, V. Iryna , 2004, “Coping with Financial Spillovers from the United States: the Effect of US Corporate Scandals on Canadian Stock Prices”, Journal of Multinational Financial Management 14 , 407–424.
Johnson, S., r., La Porta, F., Friedman, 2000, “Corporate Governance in the Asian Financial Crisis 1997-1998”, Journal of Financial Economics 58, 141-186.
Longin, Francois, and Bruno Solnik, 2001, “Extreme Correlation of International Equity Markets”, Journal of Finance 56, 649–676
Kaniel, Ron and Liu, Hong, 2006, “So What Orders Do Informed Traders Use?”, Journal of Business 79, 1867-1913.
Karpoff, Jonathan, 1986, “A Theory of Trading Volume”, Journal of Finance 41, 1069-1088.
Keim, D., Madhaven, A., 1995, “Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders”, Journal of Financial Economics 37, 371-398.
Kumar, Alok and Charles M.C. Lee, 2006, “Retail Investor Sentiment and Return Comovements”, Journal of Finance, 61, 2451-2486.
Kumar, Praveen, and Seppi, Duane, 1993, “Limit and Market Orders with Optimizing Traders”, working paper, Carnegie Mellon University.
Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994,” Contrarian Investment, Extrapolation, and Risk”, Journal of Finance 49, 1541–1578.
La Porta, Rafael, Florencio Lopez-de-Silanes, and Andrei Shleifer, 1999, “Corporate Ownership around the World,” Journal of Finance 54, 471-517.
La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert W. Vishny, 2002, “Investor Protection and Corporate Valuation,” Journal of Finance 57, 1147-1170.
Lemmon, Michael L., and Karlv. Lins, 2003, “Ownership Structure, Corporate Governance, and Firm Value: Evidence from the East Asian Financial Crisis,” Journal of Finance 58, 1445-1468.
Li, Haidan, Morton P.K. Pincus, and Sonja O. Rego, 2004, “Market Reaction to Events Surrounding the Sarbanes-Oxley Act of 2002: Overall and as a Function of Earnings Management and Audit Committee Effectiveness,” working paper, University of Iowa.
Liang, Bing, 1999, “Price Pressure: Evidence from the “Dartbord” Column”, Journal of Business 72, 119-134.
Mitton, T., 2002, “A Cross-firm Analysis of the Impact of Corporate Governance on the East Asian Financial Crisis”, Journal of Financial Economics 64, 215-241.
Nofsinger, J., and R. W. Sias, 1999, Herding and Feedback Trading by Institutional and Individual Investors. Journal of Finance 54: 2263-2295.
Parlour, C., 1998, “Price Dynamics in Limit Order Markets”, Review of Financial Studies 11, 789-816.
Ranaldo, A., 2003, “Order Aggressiveness in Limit Order Book Markets”, Journal of Financial Markets 7, 53-74.
Rashes, S. Michael, 2001, “Massively Confused Investors Making Conspicuously Ignorant Choices (MCI–MCIC) “, Journal of Finance 56, 1911-1927.
Rezaee, Zabihollah, and Pankaj K. Jain, 2005, “The Sarbanes-Oxley Act of 2002 and Security Market Behavior: Early Evidence,” Working paper, University of Memphis.
Routledge, Bryan and Stanley Zin, 2004,“Model Uncertainty and Liquidity,” working paper, Carnegie Mellon University.
Rock, K., 1996, “The Specialist’s Order Book and Price Anomalies,” working paper, Harvard University.
Seppi, D., 1997, “Liquidity Provision with Limit Orders and a Strategic Specialist,” Review of Financial Studies 10, 103-150.
Shiller, Robert J., 1984, “Stock prices and social dynamics”, Brookings Papers on Economic Activity 2, 457–510.
Shleifer, A. 2000, Inefficient Markets: An Introduction to Behavioral Finance, Oxford: Oxford University Press.
Shleifer, Andrei, and Summers, H. Lawrence, 1990, “The Noise Trader Approach to Finance”, Journal of Economic Perspectives 4, 19–33.
Shleifer, Andrew, and Vishny, Robert W., 1997, “The Limit of Arbitrage”, Journal of Finance 52, 35–55.
Shleifer, Andrei, and Vishny, Robert W., 1997, “A Survey of Corporate Governance”, Journal of Finance 52, 737-783. |
| Description: | 博士
國立政治大學
財務管理研究所
92357502
96 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0923575021 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 159 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
