Surveillance operation is the most important control policy in Taiwan stock market. The stock listed on Taiwan Security Exchange will be warned publicly by the operation if its price behaves anomalously, in order to protect investors and prohibit illegal manipulation. However, the inappropriate warning criteria will not only cause signal effects but also corrode the market efficiency. Hence, we intend to evaluate the performance of surveillance operation by means of comparing the stockholding behavior of normal and warning stocks, which experiment is proceeded by accelerated failure time model. We found that: (1) If the warning announcement lasts less than two days, the stockholding behavior will be improved significantly. Otherwise, it is easy to cause signal effects if the announcement lasts more than three days. (2) The warning criteria is still unappropriate for speculative stocks.
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