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研究生：	蔡佳雯 Wen, Tsai-Jia
論文名稱：	超鉅額交易下的異常現象 Abnormal Phenomena from the Largest Block Trading
指導教授：	陳俊男 Chen, Chun-Nan
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2003
畢業學年度：	91
語文別：	英文
論文頁數：	83
中文關鍵詞：	事件研究、異常流動性、異常波動性、異常報酬、鉅額交易
外文關鍵詞：	abnormal volatility, abnormal return, block trades, abnormal liquidity, event study
相關次數：	點閱：83 下載：2
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Abstract
Recently, as the security market grows, block trading becomes a frequent phenomenon and has great impact on the market. Although many researchers were interested in the study of block trading, their studies focused on block trading from institutional investors and examined how block trading affects stock prices and returns. Different from theirs, my study pays attention to an impact of the largest block trade from an individual stock which bears the characteristics of an outlier. By using event study methodology, this study examines whether there is abnormal phenomena as soon the largest block trade occurs. Here, abnormal phenomena include abnormal returns, abnormal volatility and abnormal liquidity. There appears to be little understanding in the impact of the largest block trade and this study is expected fill the void.
The findings are as follows. There are significant abnormal phenomena at least on the event day. Although there is usually no abnormal return, volatility, and liquidity prior to and posterior to the event day, the cumulative abnormal phenomena, however, do exist prior or posterior to the event period and even during the entire event window. Abnormal return implies that the market is not efficient enough to make price reflect a security’s true value right away. On the other hand, one can make profits by buying the options immediately after a super-block trade. Moreover, trading posterior to the block trade is better than trading prior to the block trade because of abnormal liquidity. All the above provide evidence that a largest block trade will affect the behavior of investors and the market structure. Except the cumulative abnormal phenomena, test results are robust to different periods.

Table of contents
Abstract........................................................................i
Table of contents..............................................................ii
List of Figures................................................................iv
List of Tables..................................................................v
Chapter 1  Introduction.........................................................1
1.1 Background..................................................................1
1.2 Questions Concerned.........................................................2
1.3 Objectives..................................................................3
1.4 Research Framework..........................................................3
Chapter 2  Literature Review....................................................6
2.1 Theoretical Foundations.....................................................6
2.2 Empirical paper............................................................12
Chapter 3  Event Study Methodology.............................................23
4.1 Summary....................................................................23
3.2 Procedure for an Event Study...............................................24
Chapter 4  Framework Design....................................................29
4.1 Conceptual Framework.......................................................29
4.2 The Scope of Research......................................................31
4.3 Data.......................................................................32
4.4 Research Design............................................................36
Chapter 5  Results.............................................................46
5.1 Descriptive Statistics.....................................................46
5.2 Results of Average Abnormal Phenomena Tests................................47
5.3 Results of cumulative average abnormal phenomena (CAR, CAV, and CAL).......48
5.4 Sensitivity test...........................................................49
Chapter 6  Discussion..........................................................51
6.1 Summary....................................................................51
6.2 Implication................................................................51
6.3 Future Research............................................................52
Reference......................................................................80

List of Figures
Figure 1.1 Framework of Research................................................5
Figure 4.1  Conceptual Framework...............................................30
Figure 4.2 Time Line for this Event Study......................................38

List of Tables
Table 4-1  Summary of Sample Selection Procedures..............................53
Table 5-1  Descriptive Statistics for Block Trading Activity (Bull Market Data)
...............................................................................54
Table 5-2  Descriptive Statistics for Block Trading Activity (Bear Market Data)
...............................................................................57
Table 5-3  Tests of Average Abnormal Return for Bull Market....................60
Table 5-4  Tests of Average Abnormal Volatility (Absolute Return) for Bull Market	...............................................................................61
Table 5-5  Tests of Average Abnormal Volatility (RET2) for Bull Market.........62
Table 5-6  Tests of Average Abnormal Volatility (HLV) for Bull Market..........63
Table 5-7  Tests of Average Abnormal Liquidity for Bull Market.................64
Table 5-8  Tests of Average Abnormal Return for Bear Market....................65
Table 5-9  Tests of Average Abnormal Volatility (Absolute Return) for Bear Market	...............................................................................66
Table 5-10  Tests of Average Abnormal Volatility (RET2) for Bear Market........67
Table 5-11  Tests of Average Abnormal Volatility (HLV) for Bear Market.........68
Table 5-12  Tests of Average Abnormal Liquidity for Bear Market................69
Table 5-13  Tests of Cumulative Average Abnormal Return for Bull Market........70
Table 5-14  Tests of Cumulative Average Abnormal Volatility (Absolute Return) for Bull Market....................................................................71
Table 5-15  Tests of Cumulative Average Abnormal Volatility (RET2) for Bull Market.........................................................................72
Table 5-16  Tests of Cumulative Average Abnormal Volatility (HLV) for Bull Market	...............................................................................73
Table 5-17  Tests of Cumulative Average Abnormal Liquidity for Bull Market.....74
Table 5-18  Tests of Cumulative Average Abnormal Return for Bear Market........75
Table 5-19  Tests of Cumulative Average Abnormal Volatility (Absolute Return) for Bear Market....................................................................76
Table 5-20  Tests of Cumulative Average Abnormal Volatility (RET2) for Bear Market.........................................................................77
Table 5-21  Tests of Cumulative Average Abnormal Volatility (HLV) for Bear Market.........................................................................78
Table 5-22  Tests of Cumulative Average Abnormal Liquidity for Bear Market.....79


                                    

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中文文獻
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校內：2004-06-25公開
校外：2004-06-25公開

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