A Study of the Influence of Information Disclosure and Stock Return Synchronicity on Institutional Investors Shareholdings

• Main Authors: Yung-ta Huang, 黃勇達
• Other Authors: Hsiu-I Ting
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/91086954042240820582

碩士 === 國立高雄第一科技大學 === 金融營運所 === 95 === After the relaxation of investment for institutional investors in Taiwan financial market, the investment behavior of institutional investors drew more attention. This study takes listed companies from 2003 to 2004 as samples to probe for the influence of information disclosure and stock return synchronicity on institutional investors’ shareholdings. The contribution of this study lies in integrating various dimensions of information disclosure measures, and connecting stock return synchronicity that implies information contents of a company in order to analyze the stockholding strategies of institutional investors. This research regards information disclosure evaluating system, overseas depository receipts, and accounting audit as information disclosure quality, and divides institutional investors into foreign investment, investment trust, and dealers. The results turns out that among information disclosure variables, ADR and GDR have positive effects on institutional investors’ shareholdings, especially foreign investors. Big Four accounting firms have positive relation with investment trust and foreign investment shareholdings. Accounting attestation has a positive effect on dealers. However, in independent T test, companies with better information disclosure get higher foreign investment and investment trust shareholdings. This study uses stock return synchronicity to measure the information contents of stock price volatility, and finds that stock return synchronicity has a positive effect on foreign investment and investment trust shareholdings. It demonstrates that institutional investors prefer stocks with price related more to market and industry information.