Stock Market Surveillance and Market Performance: The Case of Taiwan  

Oleh:

Ma, Tai ; Chen, Ha J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Asia Pacific Journal of Management vol. 11 no. 2 (Okt. 1994), page 305-325.
Fulltext: Tai Ma.pdf (30.82KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: AA66 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The effect of warning announcements on the price behavior of stocks is investigated, using data from the Taiwan Stock Exchange. The results show that when the deviations from normal transactions are not serious, a warning announcement serves to improve the performance of stocks, especially in enhancing efficiency and reducing excess liquidity. When deviations are serious, as in the consecutive warning cases, the warning announcement fails to improve the situation. Generally speaking, the corrective measures taken after the consecutive warnings are able to reduce the volatility, the abnormal returns, and the liquidity of the stocks. In addition, the level of volatility measures, abnormal returns, and trading volumes after the corrective measure period reverts to about the same level as in the pre-warning period. Call auctions can effectively reduce the intraday volatility, but not the interday volatility.

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