The Evolution Analysis of the Industry Exhibition Process on the Proportion Day Trading – Taking COMPUTEX Taipei as an Example

• Main Authors: PAN,HSIN-YU, 潘信宇
• Other Authors: WANG,MING-CHANG
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/889pbr

碩士 === 國立中正大學 === 企業管理系研究所 === 107 === This study explores the evolution of the proportion of day trading during the industry’s exhibition process. The sample consists of companies listed in Taiwan Stock Exchange (TWSE) and allowed for day trading during 2015-2018. The changes in the proportion of day trading of these companies’ stocks over time and different transparency levels during COPMUTEX Taipei exhibitions are analyzed. The exhibition process is divided into three periods, including the pre-exhibition period (from 35 days before to 6 days before the event day), the exhibition period (5 days starting from the event day), and the post-exhibition period (35 days after the event), with the total duration spanning 75 days. Based on the model adopted by Madhavan, Porter & Weaver (2005) and Boehmer, Saar & Yu (2005) and using the proportion of day trading as the dependant variable and the pre-exhibition period and the exhibition period as dummy variables, this study measures how different periods are related to the proportion of day trading. Besides, a robustness test with the interaction term is carried out on companies that participated in the exhibition and companies that did not. Empirical statistics indicate that among both exhibition-participating companies and non-exhibition-participating companies, the pre-exhibition period is positively and significantly related to the proportion of day trading, and the exhibition period is negatively and significantly related to the proportion of day trading. The empirical results suggest that investors capable of identifying intraday highs and lows can seek gains from intraday spreads by trading when the proportion of day trading is high during the pre-exhibition period, while robust and long-term investors, for the sake of lowering transactions costs, should avoid trading when the proportion of day trading is high.