OrderImbalanceandAbnormalReturnaroundSeasonedEquityOfferingsinTSE-ListedFirms

• Main Authors: YU-PING TSENG, 曾瑜萍
• Other Authors: Yu-Jane Liu
• Format: Others
• Language: en_US
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/24254142027556681518

碩士 === 國立政治大學 === 財務管理研究所 === 91 === Traditionally, volume has provided the link between trading activity and returns. This study attempts to not only investigate the trading behavior of all aspects of investors by daily order imbalances, the better index than dollar volume, around firm-specific news releases, but also explore the relation between order imbalances and daily returns. This study contributes to the shot-run market reactions and trading behaviours from different three or five kinds of investors around seasoned equity offerings announcement in Taiwan. We have examined 306 SEOs listed on Taiwan stock exchanges from 1995 to 1998, and test five subsequent SEO-related signaling dates, such as the shareholders’ conventions date, the formal announcement date, the ex-right date and the listed date. Our findings indicated the anomalies on returns and order imbalance did exist with the publication of SEO news in Taiwan. The negative information effect is significant on the shareholders’ convention date. Further we find a strong relation between order imbalance from individuals and daily return in the five day window. We infer that individual investors are extreme sensitivity to any news released and that the majority of traders in TSE are comprised by individual can explain the phenomenon. Finally, we also find not only correlation among different type of traders but also that returns, cash per share and the interest rate influence trading decision deeply.