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題名:跨國上市的訊息傳遞與市場整合效果
作者:楊淑玲 引用關係
作者(外文):Shu-ling Yang
校院名稱:國立中正大學
系所名稱:財務金融所
指導教授:薛立言
劉亞秋
學位類別:博士
出版日期:2005
主題關鍵詞:市場整合訊息傳遞跨國上市Cross-listingInformation transmissionMarket
原始連結:連回原系統網址new window
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  • 點閱點閱:19
本文主要是透過檢測個別標的股票之日內波動性與交易量U-shape型態的變化,來探討台灣企業至美國進行初次跨國上市,是否有助於提升兩市場間訊息傳遞的效率性與市場整合程度?研究結果顯示,國際間存在的直接投資障礙與投資人母國偏誤的心理因素,乃是造成台灣與美國市場訊息傳遞效率性與市場整合程度「與時改變」的重要因素。另外,本研究也發現,企業在初次跨國上市後,其國內標的股票開、收盤時段之日內波動性與交易量交易型態,確實受到不對稱的影響;此項結果支持訊息基礎假說的論點。
This study investigates the effect of international cross-listing on intraday return volatility and volume for individual firms. A flattened U-shape pattern due to cross-listing is considered as evidence of more efficient information transmission and better market integration. Our empirical findings indicate that cross-listing has indeed resulted in a flattened U-shape pattern of return volatility and volume, yet such flattening exhibits a time-varying trend. Furthermore, we document that the time-varying feature of information flow and market integration can be explained by the gradual lifting of both the investment barriers and home bias of investors. Finally, this study finds an asymmetric impact of cross-listing on intraday volatility and volume U-shape patterns, which is consistent with the information-base hypothesis.
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