處置制度是臺灣監視股票市場的一種方式,而股票在處置前通常會被列為注意股票,主管機關認為注意股票可提醒投資人「注意交易風險」,處置股票則可「抑制股價的異常波動持續擴大」。本研究希望對於「處置宣告後」的超漲與超跌個股進行處置期間的股價研究,以2013年1月1日至2018年12月31日,滿足第四項第一款之受處置上市及上櫃公司股票作為研究樣本,探討哪些「市場交易因素」及「公司特性因素」,將影響個股在處置期間內的股價漲幅,也將細分出不同子樣本,探討在上市及上櫃公司之間、超漲與超跌之間不同樣本的差異性。 本文實證結果發現: 1. 在全體樣本中,超漲處置股於處置宣告當天、宣告的前8個交易日及最後幾個處置交易日均有顯著正平均異常報酬,但在宣告日後,異常報酬便迅速下降至負值且不再顯著;全體超跌處置股僅有處置期中的最後3個交易日有顯著正平均異常報酬。 2. 就處置期間的全體樣本而言,多元迴歸分析中顯著的解釋變數為董監事持股變動率(正向關係),其次為處置期內的大盤漲幅(正向關係)及券資比(負向關係),最後則是股淨比(負向關係)及稅後淨利成長率(負向關係)。 3. 僅觀察處置第一天的全體樣本,最顯著的解釋變數為處置原因,也就是處置股在第一天的股價漲幅將因超漲而漲幅越小,其次為稅後淨利成長率(負向關係)。
Surveillance system in Taiwan is one of the approaches to monitor stock market, and stocks are classified as monitoring stocks before announcement of measuring stocks. The authorities believe that monitoring stocks can alert investors to “pay attention to trading risks” and measuring stock announcement can “suppress the expansion of abnormal fluctuations in stock prices.’’ This study hopes to analyze the stock price after “measuring stock announcement” and find out which market trading factors and company characteristics factors will mainly affect the stock price during restricted period. This study has obtained the following results: 1) Among all samples, there are significant positive average abnormal returns on the day of announcement, the first eight trading days announced and at the end of restricted period in over-rising measuring stocks, but the abnormal returns quickly fell to negative after the announcement and became no longer significant. Besides, there are significant positive average abnormal returns in the last three trading days of restricted period in oversold measuring stocks. 2) For the entire sample during restricted period, significant explanatory variables are the changing rate of directors' shareholding (positive relationship), follow by the fluctuation of index during restricted period (positive), short selling/margin buying ratio (negative), and finally PB ratio (negative) and net profit growth rate after tax (negative). 3) If we observe the entire sample only on the first day in restricted period, the most significant explanatory variables are the reason for disposal, follow by the net profit growth rate after tax (negative).
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