| Summary: | 碩士 === 國立高雄第一科技大學 === 金融研究所 === 104 === F-shares are those listed in the Taiwan by foreign issuers. They may have higher information asymmetry, thus higher adverse selection risk for investors. In this paper, we examine the market liquidity of F-shares relative to domestic shares. Using F-shares listed on the TWSE and the TPEX as a sample, and for each foreign stock, we select a domestic stock listed on the TWSE and the TPEX as a control. The control firms are matched on exchange, industry, stock price, market capitalization, volatility and asset book value. We find that F-shares have lower liquidity than domestic shares under relevant firm characteristics being controlled. The evidence reveals that higher information asymmetry in F-shares than domestic stocks. Our findings indicate that regulators should take measures to reduce the information asymmetry of F-shares to improve the liquidity of market.
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