企業除權息對證券市場交易品質的影響

The Influence of Firm's Ex-Dividend on Security Market Transaction Quality

盧建宏(Chien-Hung Lu)

指導教授 ： 王明昌

國立中正大學/管理學院/企業管理學系/碩士(2013年)

摘要

本文主要目的是以日內交易資料實證檢測企業除權息是否會造成證券市場交易品質降低.。本研究以買賣價差、市場深度、暫時波動性、買方積極度及賣方積極度等五個指標做為衡量交易品質變化的代理變數，研究樣本為2009年至2011年實際有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，本文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一樣的影響，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，本文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，實證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

填權息 ； 除權息 ； 資訊不對稱 ； 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 reduced 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 2011, and the five intraday variables such as bid-ask spread, market depth, transient volatility, order aggressiveness of buyer and order aggressiveness of seller 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

Transaction quality in security market ； price-recovery after ex-dividend days ； Ex-dividend ； Information asymmetry

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