| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 98 === Surveillance System was intended as a mechanism to prevent illegal operations and insider trading, and to ensure the security of settlement of securities trades. Yet in recent years major cases of default were still being committed under high surveillance by The Competent Authority and Taiwan Stock Exchange. The present study attempted to investigate from various perspectives whether the dispositions measures of the surveillance System served to enhance the management of abnormal trading activities.
The present study used abnormal trading stocks that were listed on the Taiwan Stock Exchange from 1st Jan. 2002 to 15th July 2009 and were subsequently put on dispositions as analysis samples. Case study and t-testing were carried out with the different dispositions conditions of consecutive five trading days and six out of the ten most recent trading days. Stock samples of different abnormal qualities including the abnormal percentage of increase or decrease were then observed.
We discovered that dispositions measures indeed served as management enhancers. In terms of stocks with abnormal percentage of increase five consecutive business days, or for any six-business days with the most recent 10-day period, both stock absolute returns and abnormal returns that were positive prior to dispositions became very obviously negative. In terms of percentage of increase with abnormal decrease five consecutive business days that had negative returns both before and after dispositions experienced significantly reduced falls after dispositions compared to dramatic falls prior to dispositions. In summary, comparisons of abnormal returns before and after dispositions reflected that regulatory announcements indeed casted a certain degree of impact and reversal effect. These implied regulatory measures had already prevented the escalation of insider trading and manipulation of security price.
In terms of liquidity, both the volume and turnover of stocks with abnormal rises over five consecutive business days became greater after dispositions. The volume of trading volume with abnormal decrease slightly increased, and turnover decreased. In addition, the volume and turnover of stocks with abnormal percentage of increase for any six-business days with the most recent 10-day period became comparatively smaller after dispositions. The study results showed there was no uniformity.
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