| Summary: | 碩士 === 淡江大學 === 管理科學研究所碩士班 === 97 === According to Gervais et al.(2001), this research suggests that trading volumes imply some information, this research employ the data of underlying stocks of Taiwan 50 from 2005~2007. By concerning controlling variables, this study investigates whether financial statement variables, cooperation governance variables, and market mechanism parameter, will affect trading volume of underlying stocks of Taiwan, and several important findings are disclosed as follows:
P/E ratio and assets turnover rate are positive related to trading volume and opening and closing trading volumen of these underlying stocks of Taiwan 50. It reveals that investors prefer high P/E ratio and good asset management stocks, and it means that management ability and market value for these stocks are imporant concerns for investing stocks.
While considering turnover ratio of these stocks, we find that investors don’t prefer holding the stocks with low iquitidy ratio and high margin trading. Since the above concerns, investors trading these stocks quite frequintly, and no wonder have these stocks high turnover ratio.
In addition, the behavior of short-selling is different between opening trading volume and closing trading volume. Since the Taiwan stock markets are not big enough to be affected by financial institution. Therefore, financial institutions with market power might lift up the share price to 7%, the authority permit rising percent per day in Taiwan, so short-selling investors might not buy back their short-selling stocks before the markets is closed. Thus, the trading volume might not be difficult to expand under the above situation. However, the investors with short-selling suffer pressure yesterday might buy back their short-selling stocks, and then cause increasing opening trading volume, which might be a special phenomenon exists in Taiwan.
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