amihud 中文意思是什麼
amihud
解釋
阿米胡德-
This paper examines the effects of the mechanism - call auction mechanism and continuity mechanism by which securities are traded on their stock returns. firstly, we explain the relational concepts. later, under the market inefficiency hypothesis, we draw into the amihud & mendelson model of price adjustment. because the different market tradings have different assets and these assets are traded in different environments, hence it would be hard to discern differences resulting from the trading mechanism itself from differences due to dissimilarities of securities and environments. we offers to resolve this difficulty by comparing the stock returns in the opening transactions with the price behavior of the some stocks traded at the same exchange during the same period in the closing transactions
而後，在市場無效的假設前提下，我們引入了amihud和mendelson構建的帶有噪聲的偏調整模型。由於不同的市場交易有不同的證券，而且這些證券又處在不同的環境中交易，因而很難看出排除證券本身以及環境因素后，交易制度對股票價格行為的影響。因此，我們利用同一交易所交易的同一股票在盤整時期的開盤（開盤交易採用集合競價制度）和收盤（收盤價採用連續競價制度確定）數據來比較不同的交易制度對股票收益的影響。 -
Using standard event methodology to examine the daily abnormal returns around the prospectus date and the listing date of b shares shows that the dual listing has a negative effect on returns. these negative abnormal returns can be explained by the market segmentation hypothesis and the investor recognition theory of merton, but not consistent with the liquidity theory of amihud and mendelson
我們發現a股上市企業在b股招股公布前價格出現明顯的正超額收益，但上市后就大幅下跌，主要原因在於投資者預期收益隨著市場分割程度的降低和投資者數量的增加而下降，與國外情況不同的是， b股上市后a股流動性降低，這也是導致價格下跌的原因之一。
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