Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23690
標題: 市場交易活動與資訊擴散、金融市場整合之研究
Two Essays on Market Trading Activity
作者: 李家豪
Lee, Chia-Hao
關鍵字: 交易活動
Trading Activity
資訊擴散
市場整合
Information Dissemination
Market Integration
出版社: 財務金融系所
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Llorente, G., Michaely, R., Sarr, G., Wang, J., 2002. Dynamic volume-return relation of individual stocks. Review of Financial Studies 15, 1005-1047. Longin, F., Solnik, B., 1995. Is the Correlation in international equity returns constant: 1960-1990? Journal of International Money and Finance 14, 3-26. Longin, F., Solnik. B., 2001. Extreme correlations in international equity markets. Journal of Finance 56, 649-676. Mandelbrot, B.B., 1963. The variation of certain speculative prices. Journal of Business 36, 392-417. Morck, R., Yeung, B., Yu, W., 2000. The information content of stock markets: why do emerging markets have synchronous stock price movements? Journal of Financial Economics 58, 215-260. Nelson, D.B., 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59(2), 347-370. Newey, W.K., West, K.D., 1987, A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708. 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摘要: 本研究旨在分析市場交易活動的影響,由於市場交易活動是瞭解價格資訊過程、市場效率及投資人行為的主要方式之一,因此透過觀察市場交易活動可以幫助投資人、市場參與者及政策制訂者明白交易活動會傳遞價格資訊並反應至證券價格上,因而更加理解金融市場的運作效率及其資訊動態過程。因此,本研究以市場交易活動為主軸去探討兩個議題,分別是價格資訊擴散對於交易活動與價格變動關係之衝擊,以及市場交易活動對於金融市場整合之影響。 第一個議題利用來自亞太市場的ADR來檢驗當價格資訊在不同市場間擴散時對於其交易活動與價格變動關係之衝擊。結果發現此一價格資訊擴散效果會導致ADR市場的交易活動與價格變動形成不對稱關係,此一發現延伸了Karpoff (1987)的不對稱假說,即由於價格資訊擴散會影響投資人的交易行為,進而影響價格變動。更進一步,本研究更發現ADR投資人對於不同標的股市場的資訊會有不一致的反應,亦即標的股市場的金融發展程度、經濟發展程度及法規環境健全度會影響其價格資訊的準確性,進而造成ADR投資人的資訊敏感程度的不一致。而研究結果證實了當標的股市場的金融及經濟發展程度高及法規環境健全,則ADR投資人對於該標的股市場的價格資訊越敏感。 第二個議題是分析市場交易活動對於金融市場整合的影響。根據過去的文獻指出市場交易活動會傳遞價格資訊並反映到股票價格上,因此當市場交易活動增加時,可能將國際市場資訊反映到當地市場股票價格上,因而使其當地市場與國際市場間的整合程度提升。另一方面,過去的研究也發現當市場交易活動越活絡時,由於市場上的雜訊交易者會增加,則會使市場波動會提高,此外,許多研究亦指出當市場波動度增加時,會造成市場之間的依存度提升(Longin and Solnik, 1995; Ramchand and Susmel, 1998; Butler and Joaquin, 2002)。因此綜合這些文獻可以發現市場交易活動將會影響金融市場之間的整合程度。本研究分析亞洲市場與三個主要已開發市場之間的整合程度與其當地市場交易活動之關係後,證實了當地市場的交易活動不止會直接金融市場間的整合,亦會經由影響市場波動而間接影響金融市場的整合。
The objective of this dissertation is to analyze the effect of trading activity. Trading activity is a major approach for understanding price information process, market efficiency, and investor behavior. Through observing trading activity, the academics, financial market participants and regulators realize that operation efficiency and information dynamic of stock market, which trading activity conveys price information and impounded in price. Therefore, this study includes two articles which address the impact of information dissemination on the relation between trading activity and price changes and the effect of trading activity on the integration of international financial markets. The first article of this dissertation employed the data of ADRs from Asia-Pacific markets to examine the price information disseminated from underlying stock markets to ADR market induce the relation between trading activity and price changes in ADRs to become asymmetric. This study attempts to extend the asymmetric hypothesis of Karpoff (1987) that investors have sensitive response in their trading behavior due to the effect of price information dissemination, and then influence price to change. Furthermore, we analyze the inconsistent sensitive response of ADRs investors for price information from different underlying stock markets. Specifically, we examine the effect of financial development, economic development, and legal environment of underlying stock markets on the accuracy of price information, then, induced the inconsistent information sensitivity of ADRs investors. We expect that this article would help investors and market participants to improve their trading strategy and enhance the portfolio performance. The second article of this dissertation demonstrated that the influence of trading activity on the integration of international financial markets. According to the existing literature, trading activities convey price information and incorporate with stock price. However, higher trading activity may convey more information from international financial markets and then lead to integration both between Asian Markets and other developed markets. In the meantime, market trading activity enhance the volatility of stock market (e.g. Foster and Viswanathan, 1993; Andersen, 1996; Andersen and Bollerslev, 1998; Llorente et al., 2002; Lee and Rui, 2002; Huang and Masulis, 2003; Xu et al. 2006). Moreover, many researchers address the effect of market volatility on the interdependent of international financial markets is positive (e.g. Longin and Solnik, 1995; Solnik et al., 1996; Ramchand and Susmel, 1998; Butler and Joaquin, 2002). Integrating these studies, this article proposes that market trading activity could influence the integration of international financial markets. Particularly, market trading activity not only enhances the market volatility but also raises the integration of international financial markets. The findings of this article can help investors and policy markers to understanding that the market trading activity plays a significant role in the market integration.
URI: http://hdl.handle.net/11455/23690
其他識別: U0005-0905201016474700
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0905201016474700
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