| Summary: | 碩士 === 國立中正大學 === 企業管理研究所 === 99 === Abstract
The purpose of this study is to examine the relationship between credit trading and stock returns under the dividend announcements (announcement date and ex-dividend date) for the listed companies of Taiwan from January 2000 to December 2009. According to the analysis results of abnormal credit trading, I find that individual investors can not make abnormal returns by doing credit trading activities before the special events. It implies that since the costs and risks of credit trading are higher, people who own the internal information may do the credit trading. In addition, the credit trading activities of institutional investors and insiders are restricted by the rules of Taiwan stock market. This may causes the hypotheses set up by our empirical research can not reach the significant effect. From the analysis results of abnormal credit trading level during the announcement date and ex-dividend date, I find that the abnormal credit trading still exists after announcements. Therefore, it presents that the stock market lacks efficiency because of the tardy response after the special event.
Keywords: regression analysis; special event; credit trading; abnormal returns
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