| Summary: | 碩士 === 國立中山大學 === 企業管理研究所 === 86 === From 1994 to 1997, not only the annual times of public auctions of listing stocks in Taiwan Stock Market increased, but also annualquantities traded by public auctions increased rapidly. The main purpose of this thesis is to investigate prices and quantities of each trading day of4 public auctions in 1997. For each public auction, the results are asfollowed: (1) On the first trading day, the seller''s and buyers'' reservationprices equal the close price of that day in the secondary market multiplysome discount rate, which is less than 1. But that discount rate almostequals 1 at the last trading day. (2) On the first trading day or the trading day on which the seller''s reservation changes, some bid prices are lowerthan the seller''s reservation price. If there are so many bid prices lower than the seller''s reservation price, it''s likely that part of those stocksdeclered to be sold by auction remain unsold. (3) About or over 60 percent of bids'' quantities with prices equal with or higher than theseller''s reservation price are the minimal bid quantity, which shows thatthe minimal bid quantity should not be too high for majory of investors. (4) Average bid quantities with odd and even prices (or whole numbersand otherwise) are different significantly. (5) When the declered quantity to sell is very large, those investors who want to buy huge amount of thestocks choose to wait until the seller''s reservation price reveal.On the other hand, I collect 7 auctions on stocks in Taiwan StockMarket from 1996 to 1997 to acumulate abnormal return aroundannouncement day and first trading day. Only the 27 and 28 trading day before announcement day appear significant positive cumulativeabnormal return.
|
|---|
