公司減資宣告對市場微結構之衝擊

The Impact of Firm's Capital Reduction Announcement on Market Microstroucture

王元章(Yung-Jang Wang) ； 黃永成(Yung-Cheng Huang)

《證券市場發展季刊》 25卷1期 (2013/03) Pp. 27-65

https://doi.org/10.6529/RSFM.2013.25(1).2

摘要

本研究主要在探討臺灣股票市場2002年7月1日至2007年6月30日期間公司依公司法宣告減資期間對市場微結構的影響。實證結果發現減資事件宣告後股票流動性顯著地變好，且事件宣告後樣本組公司比對照組公司有較高的股票流動性。其次，減資之樣本公司於事件宣告後會顯著地增加股價之波動性，對照組公司則不顯著，此外，事件宣告後減資之樣本公司比對照組公司具有較高的股價波動性。至於市場效率性方面，實證結果發現臺灣股票市場似不具有效率性。此可歸納出以下兩個推論：一、臺灣股票市場對於正面訊息的反應，較具效率性；對於負面訊息的反應則較不具效率性，容易產生過度反應的現象。二、臺灣股票市場中投資人會有追漲殺跌的傾向，若能適時的操作可獲得超額報酬。

關鍵字

現金減資 ； 彌補虧損減資 ； 市場微結構 ； 流動性 ； 波動性 ； 市場效率性

並列摘要

This study examines the impact of firm's capital reduction announcement on market microstructure using intra-day trading data from July 2002 to June 2007 in Taiwan Stock Exchange. The empirical results indicate that, firstly, stock market liquidity becomes significantly better after firm's declaration of capital reduction. And the sampling firm's liquidity is higher than that of controlling firm's. Secondly, price volatility increases significantly after firm's declaration of capital reduction. And the sampling firm's price volatility is higher than that of controlling firm's. As for market efficiency, we can draw two following inferences from the results: (1)Taiwanese Stock market usually reacts to the positive information with higher efficiency. However, it behaves more inefficiently with respect to negative information. (2)Investors in this market tend to buy high and sell low. But they still can earn abnormal return if they capture the right timing.

並列關鍵字

Capital Reduction ； Market Microstructure ； Liquidity ； Volatility ； Market Efficiency

參考文獻

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