過去文獻主要探討會計資訊於股票市場的影響, 少部分國外文獻研究盈餘於債券市場有用性之結果並不一致, 但國內並無相關研究。 本文研究2000年至2008年臺灣上市櫃公司的公司債公開發行市場, 以債券報酬率與債券交易量作為研究會計資訊有用性的度量(metrics), 實證結果證實盈餘發布後, 債券交易量確實增加, 但進一步的分析顯示, 控制不同公司特性與債券特性後, 當期盈餘水準與未預期盈餘皆無法有效地解釋債券報酬率與債券交易量, 對於會計盈餘在債券市場有用性的探討, 尚待未來進一步之研究。 / Prior studies regarding the effects of earnings have been primarily focused within the context of stock markets. The effects on bond markets have been studied considerably less; moreover, what little research that does exist is solely in foreign markets. Two metrics, returns and trading volume, are used to gauge the influence of earnings announcements for Taiwan corporate bonds between 2000 and 2008. Findings suggest that bond trading volume changes positively shortly following earnings announcements. However, after controlling firm and bond characteristics, unexpected earnings and current earnings level can not effectively explain the behavior in bond prices and volume. More research is needed to explain the informativeness of earnings in the corporate bond market.

本篇論文探討在台灣獨有的先申報後轉讓的內部人交易制度下，到底內部人申報轉讓後之執行率公布對一般大眾的影響為何呢？內部人申報轉讓後，有可能實際轉讓，也可能不轉讓或不足額轉讓，端視內部人的策略。我們把焦點放在內部人申報轉讓持股後，當市場公布執行結果後，個股交易量的表現為何。結果發現異常交易量因執行率公布後獲知內部人之淨買淨賣行為而有所增加；但內部人無淨買賣時,交易量無明顯異常。

本論文在探討我國上市公司每月營收額對於市場交易量之影響，以瞭解每月營收額是否具有資訊內涵。我國證券交易法第36條規定，依證交法發行有價證券的公司所必須提供的財務資訊中，以每月營運情形最具即時性，但由於並未經過會計師查核、核閱等程序而缺乏可靠性。故本研究驗證缺乏可靠性的每月營收公告額，是否會影響市場投資人的投資決策。 本研究選取國內209家上市公司于民國84年至民國86年間的5395個每月營收公告為樣本，根據相關之理論及實證文獻找出可能影響市場交易量的因素─未預期營收大小及公司規模，以t檢定法及迴歸分析法檢視每月營收公告期間之資訊內涵假說是否成立。此外，本研究亦檢視在每月營收公告期間交易量的變化，是否受到其他因素影響而有所差異。實證結果顯示： 一.每月營收公告期間，交易量的變化會因為未預期營收的大小而有顯著的差異；未預期營收絕對值越大，異常交易量越大，符合幅度假說。 二.未預期營收絕對值越大者，在每月營收公告期間，其異常交易量的持續期間也會越長，符合持續期間假說。 三.每月營收公告期間，交易量並不會因為公司規模的大小而有明顯的變化，公司規模並不能解釋該期間交易量的波動。 四.將每月營收公告依月份細分發現，當公告月份屬於第一、第四季時，該月的營收公告較會被投資人所重視；反之，當公告月份屬於第二、第三季時，月營收而並不會被投資人利用作為投資時之依據。 / both

The impact of the introduction of derivatives on the underlying stock is a debatable topic among the researchers. The issue is quite controversial as contradictory results have been obtained by researchers in various stock markets. The purpose of this study is to examine the volatility and the liquidity effect on the underlying stock after the introduction of index options. We have investigated volatility and liquidity effect by collecting sample data from the stock markets of India, Korea, Taiwan, Hong Kong, Japan, Thailand, Malaysia and Singapore, only markets which are offering index options in Asia.   Applying the generalized autoregressive conditional heteroscedasticity (GARCH) model, we have examined the conditional volatility of intraday (high frequency) returns for each stock market, before and after the introduction of index options. We have also examined the liquidity effect through t-test and Wilcoxon Signed Rank Test. We used t-test to determine the mean differences between the trading volume of pre-index and post-index options periods.    By comparing the estimated parameters and the coefficient of conditional volatility in pre and post period of index options introductions, we have examined that the derivatives trading dramatically increases the persistence of the conditional volatility for all the selected stock markets. We also observed mixed evidence in context to liquidity effect. In the stock exchanges of Hong Kong, Japan, Korea, Taiwan and Thailand, we found that the respective markets become more liquid in the post index options periods in contrast to pre index options period. In these markets trading volume increased significantly after the introduction of index options.  On the other hand, India, Malaysia and Singapore stock markets show no liquidity effect in the post-index option period.   Finally, the empirical results of our study conclude that the introduction of index options on the selected Asian stock markets have increased in stock return volatility and liquidity on the underlying stocks.

此論文研究有什麼因子會影響台灣股票加權指數報酬率之偏態係數。過去的文獻顯示，交易量和報酬率為可能的因子。實證的結果確實發現，交易量和報酬率顯著地影響偏態係數。 / This study examines the determinants for conditional skewness of the return distribution of the Taiwan Stock Exchange Value-Weighted Index. Important driving factors that affect conditional skewness, based on the theory literature, include trading volumes and returns. To capture the skewness in the data, the family of time series model we consider focuses on the specifications of higher-order moments than mean and volatility that conventional models look at. With the specifications, we are able to test whether the factors, volumes and returns, can influence conditional skewnees of the return distribution. Our results suggest the significance of the factors using data from the Taiwan Stock Exchange Value-Weighted Index.

This thesis investigates abnormal trading volume around scheduled and unscheduled announcements. The research is an extension of Chae (2005), Journal of Finance, Vol 60, which tests corporate announcements in the US stock market. In this thesis, Australian stocks are used to establish whether market characteristics affect trading behaviour around announcements. In addition, I extend the traditional methodology to overcome possible shortcomings in the previous studies. This thesis also discusses how information asymmetry affects the abnormal trading volume on the announcement day. In contrast to earlier studies, I nd abnormal trading volume does not change before either scheduled or unscheduled announcements, but, as expected, increases on and after the scheduled and unscheduled announcements. Information asymmetry increases trading volumes when unscheduled announcements are made, but has no effect for scheduled announcements. I show that the failure to adjust for the correlation between corporate events, results in abnormal trading volumes being detected prior to announcements. Differences between the Australian and US results can not all be explained by methodological differences. It appears that the underlying dynamics of the Australian market are different; casting doubts on the ability to generalize market characteristics from US based studies on abnormal trading volumes.

Cette thèse étudie plusieurs aspects de la dynamique du rendement des actifs. Les trois premiers chapitres ont pour objet la formation des prix sur le marché de l'art. Le premier chapitre établit que les prix peuvent s'écarter temporairement, et de manière partiellement prévisible, de la valeur fondamentale. Cet article a été publié dans Economics Letters (Volume 122, Issue 3, pp. 432-434) et a été écrit avec Christophe Spaenjers et Luc Renneboog. Le chapitre 2 étudie la vitesse de transmission de l'information dans les prix agrégés du marché de l'art. Le chapitre 3 analyse la corrélation entre prix et volume et étaye des éléments concordant avec une hypothèse de bulles. Il a été écrit avec Luc Renneboog. Le chapitre 4 s'attache à la modélisation empirique de la prédictibilité d'indices boursiers sur quinze pays industrialisés. Il propose de combiner l'information donnée par chaque pays de façon à améliorer le pouvoir prédictif. / The doctoral thesis studies several aspects of asset returns dynamics. The first three chapters focus on returns in the fine art market. The first chapter provides evidence for the existence of a slow-moving fad component in art prices that induces short-term return predictability. The article has been published in Economics Letters (Volume 122, Issue 3, pp. 432-434), and was written together with Christophe Spaenjers and Luc Renneboog. Chapter 2 investigates how fast is information incorporated into aggregate art prices. Chapter 3 studies price-volume dynamics in the art market and documents evidence of bubble patterns in prices and is written with Luc Renneboog. Chapter 4 proposes a Bayesian estimation procedure that makes efficient use of cross-sectional information, and revisits the return predictability literature.

A central topic in behavioural finance is extensive trading. One of the most common behav- ioural explanations for this phenomenon is overconfidence. In finance, overconfident traders feel that their information is sufficient to justify a trade even though it is not. Investors who consider themselves to be above average in their level of expertise show higher trading volumes. During the COVID-19 pandemic, the trading volume in the financial markets increased significantly. Further, young and inexperienced traders entered financial markets and volatility increased. Overconfidence could provide explanations for some of these financial market particularities. The study of Glaser and Weber (2007), which investigates the correlation of overconfidence and trading volume, lays the foundation for this study. We extend their research with a survey testing the degree of overconfidence and trading volume during COVID-19. The central aim of the thesis is to investigate to what extent overconfidence influences the trading volume during the COVID-19 pandemic. The analysis is unable to show a significant positive effect of overconfidence on the trading volume during COVID-19. But our research supports the findings that younger and inexperienced traders entered the market during 2020, who are on average more overconfident than experienced traders. The results further show that retail investors with more than two years of trading experience have significantly increased their trading volume during COVID-19. The analysis also provides evidence that during the COVID- 19 pandemic, traders who assign themselves above average within their investment skills traded significantly more.

Throughout history stock splits have only been seen as a cosmetic change on how a firm express its market value of equity. This study investigates if abnormal return occurs in connection with stock split announcements on Nasdaq Stockholm and how the variations may be explained by selected factors. An event study is performed on 83 stock splits during the time period 2010-2020 to establish if abnormal return is present. With a multivariate linear regression, split quota, firm size and trading volume are the selected factors which may explain the variations in abnormal return. The results from the event study establish abnormal return one day prior to the announcement and the event day itself. Further, the regression confirms at a statistically significant level the negative relationship between firm size and abnormal return. For trading volume, the regression finds no statistically significant result and thereby it does not explain the variations in abnormal return. As for split quota, no conclusion can be drawn whether it affects abnormal return or not. The study concludes the occurrence of abnormal return in connection with stock split announcements on Nasdaq Stockholm and firm size as one of the factors explaining the variations.

本文著重在探討現股放空限制與交易成本對期貨錯價之影響。以門檻自我迴歸與續航門檻自我迴歸模型分析期貨錯價之非線性過程，我們發現錯價有回歸平均(mean reversion)的現象。當期貨錯價為正時(套利策略為買現貨賣期貨)，交易量對錯價影響為負；但若期貨錯價為負(套利策略為賣現貨買期貨)，考慮到昂貴的放空成本(costly short sell hypothesis)，交易量對錯價的影響將是較不明確的。 / This article highlights the impact of short selling restrictions and trading costs on the relation on futures mispricing error. Within threshold autoregression model (TAR) and momentum threshold autoregressive model (M-TAR), the influence of optimal arbitrage trading on the mispricing is analyzed. Results concerning trading volume and level, mean reversion in mispricing error, and the model which describes mispricing process better. The empirical evidence suggests that trading costs and short selling costs are influential factors for the mispricing behavior. Moreover, the futures trading volume affects mispricing level significantly.