| Summary: | 博士 === 國立中興大學 === 財務金融系所 === 98 === 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.
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