企業除權息事件對證券市場交易品質之影響

本研究主要從市場微結構觀點，以日內交易資料探討企業股票除權息如何影響證券市場交易品質。運用買賣價差、市場深度及暫時波動性等指標做為衡量交易品質變化的代理變數，研究樣本為2009至2013年發生除權息的台灣上市櫃公司，實證結果顯示企業除權息會造成證券市場交易品質降低。另外，發現公司配發現金股利與股票股利在除息與除權後對證券市場交易品質分別造成不同影響，公司若配發現金股利於除息後會造成證券市場交易品質降低；公司若配發股票股利於除權後反而使得證券市場交易品質提高。此外，更進一步了解填權息是否會對證券市場交易品質有所影響，結果發現除權息日發生填權息公司比未發生填權息公司對證券市場交易品質降低的程度較小。

關鍵字

市場微結構；資訊不對稱；除權息；填權息；證券市場交易品質

並列摘要

This paper uses intraday data to examine whether transaction quality in the security market is affected subsequent to firm's ex-dividend. Using the sample companies listed on TWSE and OTC which had occurred the event of ex-dividend from 2009 to 2013, and the intraday variables such as bid-ask spread, market depth and transient volatility to proxy the market transaction variables, our findings show that transaction quality in the security market is reduced subsequent to firm's ex-dividend. In addition, we find that the empirical results of ex-dividend event related to transaction quality for cash dividend are different with ones for stock dividend. For cash dividend, the transaction quality in the security market is reduced subsequent to firm's ex-dividend, whereas for stock dividend, the transaction quality in the security market is getting better subsequent to firm's ex-dividend. Besides, in order to further understand the influence of price recovery from ex-dividend on the transaction quality issue, we also use the closing price of ex-dividend date as the dummy variable to execute the examination and find the reduced level of transaction quality for the securities closing up on ex-dividend date is less than the securities closing down on ex-dividend date.

並列關鍵字

Market microstructure ； information asymmetry ； ex-dividend ； price-recovery after ex-dividend days ； transaction quality in security market

參考文獻

Aharony, J.,Swary, I.(1980).Quarterly dividend and earning announcements and stockholds' Returns: An empirical analysis.The Journal of Finance.35,1-12.

Google Scholar

Ainsworth, A.,Lee, A. D.(2014).Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia.Journal of Financial Markets.20,101-128.