{"title":"噪音信号会影响翻转活动吗","authors":"Fennee Chong, Ruhani Ali, Zamri Ahmad","doi":"10.32890/ijbf2009.6.2.8392","DOIUrl":null,"url":null,"abstract":"In this paper, we report the explanatory power of noise signal and fundamentals on flipping activities of share trading. Flipping is defined as the percentage of opening day trading volume divided by the number of shares offered on the first trading day (Miller and Reily, 1987, and Aggarwal, 2003) in an offer for sale. It is affected by investors’ opinion about, for example, the new issue’s future prospect on the first listing day.The initial premium which is defined as the difference between the opening price and the offer price divided by the offer price is used as a proxy for noise signal. Using initial public offers listed on the Main Board of Bursa Malaysia during the period of 1991 to 2003, we find support for the relationship between noise signal and flipping activity in the immediate aftermarket as evident in several models tested as well as the bullish and bearish market models. Among the fundamental factors included in this study, bigger size of offer was found to discourage flipping activities.","PeriodicalId":170943,"journal":{"name":"The International Journal of Banking and Finance","volume":"6 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"21","resultStr":"{\"title\":\"Does Noise Signal Affect Flipping Activities\",\"authors\":\"Fennee Chong, Ruhani Ali, Zamri Ahmad\",\"doi\":\"10.32890/ijbf2009.6.2.8392\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we report the explanatory power of noise signal and fundamentals on flipping activities of share trading. Flipping is defined as the percentage of opening day trading volume divided by the number of shares offered on the first trading day (Miller and Reily, 1987, and Aggarwal, 2003) in an offer for sale. It is affected by investors’ opinion about, for example, the new issue’s future prospect on the first listing day.The initial premium which is defined as the difference between the opening price and the offer price divided by the offer price is used as a proxy for noise signal. Using initial public offers listed on the Main Board of Bursa Malaysia during the period of 1991 to 2003, we find support for the relationship between noise signal and flipping activity in the immediate aftermarket as evident in several models tested as well as the bullish and bearish market models. Among the fundamental factors included in this study, bigger size of offer was found to discourage flipping activities.\",\"PeriodicalId\":170943,\"journal\":{\"name\":\"The International Journal of Banking and Finance\",\"volume\":\"6 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1900-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"21\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The International Journal of Banking and Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.32890/ijbf2009.6.2.8392\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The International Journal of Banking and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.32890/ijbf2009.6.2.8392","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 21
摘要
在本文中，我们报告了噪声信号和基本面对股票交易翻转行为的解释力。翻转被定义为开盘日交易量除以第一个交易日(Miller and Reily, 1987, and Aggarwal, 2003)提供的股票数量在要约出售中的百分比。它受到投资者对新股上市首日前景的看法的影响，比如投资者对新股未来前景的看法。初始溢价定义为开盘价与发行价之差除以发行价，作为噪声信号的代理。使用1991年至2003年期间在马来西亚证券交易所主板上市的首次公开募股，我们发现在几个测试模型以及看涨和看跌市场模型中，噪音信号与直接后市场翻转活动之间的关系得到了支持。在本研究包含的基本因素中，较大的报价规模被发现会抑制炒房行为。
In this paper, we report the explanatory power of noise signal and fundamentals on flipping activities of share trading. Flipping is defined as the percentage of opening day trading volume divided by the number of shares offered on the first trading day (Miller and Reily, 1987, and Aggarwal, 2003) in an offer for sale. It is affected by investors’ opinion about, for example, the new issue’s future prospect on the first listing day.The initial premium which is defined as the difference between the opening price and the offer price divided by the offer price is used as a proxy for noise signal. Using initial public offers listed on the Main Board of Bursa Malaysia during the period of 1991 to 2003, we find support for the relationship between noise signal and flipping activity in the immediate aftermarket as evident in several models tested as well as the bullish and bearish market models. Among the fundamental factors included in this study, bigger size of offer was found to discourage flipping activities.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
