本文從台灣證券市場交易距離探討異常交易量發生之因素，以台灣上市公司與各證券分公司之日內交易為研究樣本，衡量證券分公司與被投資公司距離及蒐集異常交易資料來分析當地偏誤現象，並應用區域人口統計、經濟活動與證券商特徵等探討當地偏誤之成因。實證結果發現被投資公司與當地證券分公司距離愈近時會產生異常交易，證實台灣股市確實存有當地偏誤情形。此外，不同的當地區域特徵分別對異常交易具有顯著影響，其原因可能與當地社群網絡、區域經濟發展與當地證券商所取得的資訊優勢有關。研究發現可提供給市場投資人投資決策參考，政府主管當局亦可據此管理市場內線交易，逐步改善證券市場交易制度，營造公正透明的證券交易環境。

(174_M68b68260afe7b_Abs.pdf(檔案不存在))

This paper set out to investigate the relationship between distance and abnormal volume in Taiwan Stock Exchange. We take the intraday trading data of Taiwan listed companies and the branches of various securities firms as research samples, measure the distance between the branches of securities firms and the invested listed companies, and aggregate abnormal transaction data to analyze local biases, and apply local demographics, economic activities and characteristics of securities firms to explore the factors that form local biases. The empirical results show that the closer the investee company and local securities branch, the more abnormal transactions will occur, which confirms that there is indeed a local bias in Taiwan Stock Exchange. In addition, different local regional characteristics have significant effects on abnormal transactions, which may be related to the local social network, regional economic development, and the information advantages obtained by local securities firms. The research findings will provide investors with a reference for their investment decisions. The competent government authorities can also manage insider trading in the market accordingly, gradually improve the securities market trading system, and construct a fair and transparent securities trading environment.

(174_M68b68260afe7b_Abs.pdf(檔案不存在))

中央研究院人社中心. (n.d.). Geocoding tool. 地理資訊科學研究專題中心技術服務系統程式。檢索於2015年7月18日，取自https://gissrv4.sinica.edu.tw/gis/tools/geocoding.aspx Research Center for Humanities and Social Sciences, Academia Sinica. (n.d.). Geocoding tool. Center for Geographic Information Science, Technical Service System Programs. Retrieved July 18, 2015, from https://gissrv4.sinica.edu.tw/gis/tools/geocoding.aspx Aarland, K., Davis, J. C., Henderson, J. V., & Ono, Y. (2007). Spatial organization of firms: The decision to split production and administration. The RAND Journal of Economics, 38(2), 480–494. https://doi.org/10.1111/j.1756-2171.2007.tb00079.x Adler, M., & Dumas, B. (1983). International portfolio choice and corporation finance: A synthesis. The Journal of Finance, 38(3), 925–984. https://doi.org/10.1111/j.1540-6261.1983.tb02511.x Admati, A. R., & Pfleiderer, P. (1988). A theory of intraday patterns: Volume and price variability. The Review of Financial Studies, 1(1), 3–40. https://doi.org/10.1093/rfs/1.1.3 Aggarwal, R. K., & Wu, G. (2006). Stock market manipulations. The Journal of Business, 79(4), 1915–1954. https://doi.org/10.1086/503652 Al-Nasseri, A., & Ali, F. M. (2018). What does investors’ online divergence of opinion tell us about stock returns and trading volume? Journal of Business Research, 86, 166–178. https://doi.org/10.1016/j.jbusres.2018.01.006 Anand, A., Gatchev, V. A., Madureira, L., Pirinsky, C. A., & Underwood, S. (2011). Geographic proximity and price discovery: Evidence from NASDAQ. Journal of Financial Markets, 14(2), 193–226. https://doi.org/10.1016/j.finmar.2010.11.001 Ayers, B. C., Ramalingegowda, S., & Yeung, P. E. (2011). Hometown advantage: The effects of monitoring institution location on financial reporting discretion. Journal of Accounting and Economics, 52(1), 41–61. https://doi.org/10.1016/j.jacceco.2011.03.003 Bae, K. H., Stulz, R. M., & Tan, H. (2008). Do local analysts know more? A cross-country study of the performance of local analysts and foreign analysts. Journal of Financial Economics, 88(3), 581–606. https://doi.org/10.1016/j.jfineco.2007.02.004 Barker, D., & Loughran, T. (2007). The geography of S&P 500 stock returns. The Journal of Behavioral Finance, 8(4), 177–190. https://doi.org/10.1080/15427560701684884 Bayoumi, T. A., & Rose, A. K. (1993). Domestic savings and intra-national capital flows. European Economic Review, 37(6), 1197–1202. https://doi.org/10.1016/0014-2921(93)90130-3 Beaver, W. H. (1968). The information content of annual earnings announcements. Journal of Accounting Research, 6, 67–92. https://doi.org/10.2307/2490070 Ben-David, I., Birru, J., & Rossi, A. (2019). Industry familiarity and trading: Evidence from the personal portfolios of industry insiders. Journal of Financial Economics, 132(1), 49–75. https://doi.org/10.1016/j.jfineco.2018.08.007 Bernile, G., Kumar, A., & Sulaeman, J. (2015). Home away from home: Geography of information and local investors. The Review of Financial Studies, 28(7), 2009–2049. https://doi.org/10.1093/rfs/hhv004 Blume, L., Easley, D., & O’Hara, M. (1994). Market statistics and technical analysis: The role of volume. The Journal of Finance, 49(1), 153–181. https://doi.org/10.1111/j.1540-6261.1994.tb04424.x Butler, A. W. (2008). Distance still matters: Evidence from municipal bond underwriting. The Review of Financial Studies, 21(2), 763–784. https://doi.org/10.1093/rfs/hhn002 Carroll, R., & Kearney, C. (2015). Testing the mixture of distributions hypothesis on target stocks. Journal of International Financial Markets, Institutions and Money, 39, 1–14. https://doi.org/10.1016/j.intfin.2015.05.003 Chan, K., Hameed, A., & Lau, S. T. (2003). What if trading location is different from business location? Evidence from the Jardine Group. The Journal of Finance, 58(3), 1221–1246. https://doi.org/10.1111/1540-6261.00564 Chen, Z., & Daigler, R. T. (2008). An examination of the complementary volume–volatility information theories. Journal of Futures Markets, 28(10), 963–992. https://doi.org/10.1002/fut.20344 Chi, S. S., & Shanthikumar, D. M. (2017). Local bias in Google Search and the market response around earnings announcements. The Accounting Review, 92(4), 115–143. https://doi.org/10.2308/accr-51632 Chiang, C. H., Chung, S. G., & Louis, H. (2017). Insider trading, stock return volatility, and the option market's pricing of the information content of insider trading. Journal of Banking & Finance, 76, 65–73. https://doi.org/10.1016/j.jbankfin.2016.11.027 Clark, P. K. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41(1), 135–155. https://doi.org/10.2307/1913889 Cohen, L., Frazzini, A., & Malloy, C. (2008). The small world of investing: Board connections and mutual fund returns. Journal of Political Economy, 116(5), 951–979. https://doi.org/10.1086/ 592415 Coval, J. D., & Moskowitz, T. J. (1999). Home bias at home: Local equity preference in domestic portfolios. The Journal of Finance, 54(6), 2045–2073. https://doi.org/10.1111/0022-1082.00181 Coval, J. D., & Moskowitz, T. J. (2001). The geography of investment: Informed trading and asset prices. Journal of Political Economy, 109(4), 811–841. https://doi.org/10.1086/322088 Døskeland, T. M., & Hvide, H. K. (2011). Do individual investors have asymmetric information based on work experience? The Journal of Finance, 66(3), 1011–1041. https://doi.org/10.1111/j.1540-6261.2011.01658.x Dimson, E., & Mussavian, M. (1998). A brief history of market efficiency. European Financial Management, 4(1), 91–103. https://doi.org/10.1111/1468-036X.00056 Easley, D., & O’Hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial Economics, 19(1), 69–90. https://doi.org/10.1016/0304-405X(87)90029-8 Eckel, S., Löffler, G., Maurer, A., & Schmidt, V. (2011). Measuring the effects of geographical distance on stock market correlation. Journal of Empirical Finance, 18(2), 237–247. https://doi.org/10.1016/j.jempfin.2010.12.001 Engelberg, J. E., & Parsons, C. A. (2011). The causal impact of media in financial markets. The Journal of Finance, 66(1), 67–97. https://doi.org/10.1111/j.1540-6261.2010.01626.x Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5 Feng, L., & Seasholes, M. S. (2004). Correlated trading and location. The Journal of Finance, 59(5), 2117–2144. https://doi.org/10.1111/j.1540-6261.2004.00694.x Figueiredo, O., Guimarães, P., & Woodward, D. (2002). Home-field advantage: Location decisions of Portuguese entrepreneurs. Journal of Urban Economics, 52(2), 341–361. https://doi.org/10.1016/S0094-1190(02)00006-2 French, K. R., & Poterba, J. M. (1991). Investor diversification and international equity markets. American Economic Review, 81, 222–226. Gallant, A. R., Rossi, P. E., & Tauchen, G. (1992). Stock prices and volume. The Review of Financial Studies, 5(2), 199–242. https://doi.org/10.1093/rfs/5.2.199 Garcia, D., & Norli, Ø. (2012). Geographic dispersion and stock returns. Journal of Financial Economics, 106(3), 547–565. https://doi.org/10.1016/j.jfineco.2012.06.007 Gaspar, J. M., & Massa, M. (2007). Local ownership as private information: Evidence on the monitoring–liquidity trade-off. Journal of Financial Economics, 83(3), 751–792. https://doi.org/10.1016/j.jfineco.2005.10.010 Giroud, X. (2013). Proximity and investment: Evidence from plant-level data. The Quarterly Journal of Economics, 128(2), 861–915. https://doi.org/10.1093/qje/qjs073 Google. (n.d.). Google Maps. Retrieved from https://www.google.com.tw/maps?source=tldso Grinblatt, M., & Keloharju, M. (2001). How distance, language, and culture influence stockholdings and trades. The Journal of Finance, 56(3), 1053–1073. https://doi.org/10.1111/0022-1082.00355 Harris, M., & Raviv, A. (1993). Differences of opinion make a horse race. The Review of Financial Studies, 6(3), 473–506. https://doi.org/10.1093/rfs/5.3.473 Harris, L., & Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. The Journal of Finance, 41(4), 815–829. https://doi.org/10.1111/j.1540-6261.1986.tb04550.x Hong, H., Kubik, J. D., & Stein, J. C. (2005). Thy neighbor’s portfolio: Word-of-mouth effects in the holdings and trades of money managers. The Journal of Finance, 60(6), 2801–2824. https://doi.org/10.1111/j.1540-6261.2005.00817.x Huang, S. Y., Hwang, B. H., & Lou, D. (2021). The rate of communication. Journal of Financial Economics, 141(2), 533–550. https://doi.org/10.1016/j.jfineco.2021.03.013 Huang, Y., Qiu, H., & Wu, Z. (2016). Local bias in investor attention: Evidence from China’s Internet stock message boards. Journal of Empirical Finance, 38, 338–354. https://doi.org/10.1016/j.jempfin.2016.07.007 Huberman, G. (2001). Familiarity breeds investment. The Review of Financial Studies, 14(3), 659–680. https://doi.org/10.1093/rfs/14.3.659 Ito, T., Lyons, R. K., & Melvin, M. T. (1998). Is there private information in the FX market? The Tokyo experiment. The Journal of Finance, 53(3), 1111–1130. https://doi.org/10.1111/0022-1082.00045 Ivković, Z., & Weisbenner, S. (2005). Local does as local is: Information content of the geography of individual investors’ common stock investments. The Journal of Finance, 60(1), 267–306. https://doi.org/10.1111/j.1540-6261.2005.00730.x Jenter, D. (2005). Market timing and managerial portfolio decisions. The Journal of Finance, 60(4), 1903–1949. https://doi.org/10.1111/j.1540-6261.2005.00783.x Kallunki, J. P., Nilsson, H., & Hellström, J. (2009). Why do insiders trade? Evidence based on unique data on Swedish insiders. Journal of Accounting and Economics, 48(1), 37–53. https://doi.org/10.1016/j.jacceco.2009.06.002 Kandel, E., & Pearson, N. D. (1995). Differential interpretation of public signals and trade in speculative markets. Journal of Political Economy, 103(4), 831–872. https://doi.org/10.1086/262005 Karpoff, J. M. (1986). A theory of trading volume. The Journal of Finance, 41(5), 1069–1087. https://doi.org/10.1111/j.1540-6261.1986.tb02531.x Kim, O., & Verrecchia, R. E. (1991). Trading volume and price reactions to public announcements. Journal of Accounting Research, 29(2), 302–321. https://doi.org/10.2307/2491051 Kim, D., Wang, Q., & Wang, X. (2022). Geographic clustering of institutional investors. Journal of Financial Economics, 144(2), 547–570. https://doi.org/10.1016/j.jfineco.2021.08.011 Koubaa, Y., & Slim, S. (2019). The relationship between trading activity and stock market volatility: Does the volume threshold matter? Economic Modelling, 82, 168–184. https://doi.org/10.1016/j.econmod.2019.01.003 Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315–1335. https://doi.org/10.2307/1913210 Lamoureux, C. G., & Lastrapes, W. D. (1990). Heteroskedasticity in stock return data: Volume versus GARCH effects. The Journal of Finance, 45(1), 221–229. https://doi.org/10.1111/j.1540-6261.1990.tb05088.x Liao, L., Li, Z., Zhang, W., & Zhu, N. (2012). Does the location of stock exchange matter? A within-country analysis. Pacific-Basin Finance Journal, 20(4), 561–582. https://doi.org/10.1016/j.pacfin.2011.12.007 Li, M., & Zhao, X. (2016). Neighborhood effect on stock price comovement. The North American Journal of Economics and Finance, 35, 1–22. https://doi.org/10.1016/j.najef.2015.10.002 Loughran, T., & Schultz, P. (2005). Liquidity: Urban versus rural firms. Journal of Financial Economics, 78(2), 341–374. https://doi.org/10.1016/j.jfineco.2004.10.008 Malloy, C. J. (2005). The geography of equity analysis. The Journal of Finance, 60(2), 719–755. https://doi.org/10.1111/j.1540-6261.2005.00744.x Massa, M., & Simonov, A. (2006). Hedging, familiarity and portfolio choice. The Review of Financial Studies, 19(2), 633–685. https://doi.org/10.1093/rfs/hhj013 Moulton, P. C. (2005). You can’t always get what you want: Trade-size clustering and quantity choice in liquidity. Journal of Financial Economics, 78(1), 89–119. https://doi.org/10.1016/j.jfineco.2004.10.007 Piotroski, J. D., & Roulstone, D. T. (2005). Do insider trades reflect both contrarian beliefs and superior knowledge about future cash flow realizations? Journal of Accounting and Economics, 39(1), 55–81. https://doi.org/10.1016/j.jacceco.2004.01.003 Pirinsky, C., & Wang, Q. (2006). Does corporate headquarters location matter for stock returns? The Journal of Finance, 61(4), 1991–2015. https://doi.org/10.1111/j.1540-6261.2006.00895.x Seasholes, M. S., & Zhu, N. (2010). Individual investors and local bias. The Journal of Finance, 65(5), 1987–2010. https://doi.org/10.1111/j.1540-6261.2010.01600.x Seyhun, H. N. (1988). The information content of aggregate insider trading. The Journal of Business, 61(1), 1–24. https://doi.org/10.1086/296417 Shalen, C. T. (1993). Volume, volatility, and the dispersion of beliefs. The Review of Financial Studies, 6(2), 405–434. https://doi.org/10.1093/rfs/6.2.405 Smith, C. W., & Watts, R. L. (1992). The investment opportunity set and corporate financing, dividend, and compensation policies. Journal of Financial Economics, 32(3), 263–292. https://doi.org/10.1016/0304-405X(92)90029-W Sivakumar, K., & Waymire, G. (1994). Insider trading following material news events: Evidence from earnings. Financial Management, 23(1), 23–32. https://doi.org/10.2307/3666053 Tesar, L. L., & Werner, I. M. (1995). Home bias and high turnover. Journal of International Money and Finance, 14(4), 467–492. https://doi.org/10.1016/0261-5606(95)00023-8 Uysal, V. B., Kedia, S., & Panchapagesan, V. (2008). Geography and acquirer returns. Journal of Financial Intermediation, 17(2), 256–275. https://doi.org/10.1016/j.jfi.2007.12.001