公開資訊觀測站訊息如何影響股票報酬?
台灣股票市場日內及日間資料分析

本研究探討台灣證券交易所公開資訊觀測站發布之公開訊息對股票報酬率之影響效果，報酬率觀察期間由日內數十分鐘逐次擴展至數月及一年，探討之訊息類別涵蓋先前文獻鮮少包含之範圍，如發行債券、赴大陸投資、赴海外投資、購買債券、購買不動產、購買金融商品、處分資產、澄清報導與罰款，同時在分析公開訊息對股票報酬之影響程度時，包括日內數十分鐘、數小時之股價變化程度，補足以往文獻之事件研究較為不足的部分。本文研究目的包括：(1) 探討不同類別公開訊息對股票報酬率之影響效果；(2) 探討好壞消息對股票報酬率之影響效果；(3) 探討訊息發布後不同投資人類別對股票報酬率之影響效果。本研究實證結果發現，赴大陸投資訊息發布後，2個月內股價上漲主要是受到外資淨買超行為之影響。赴海外投資訊息發布後，日內股價上漲主要是受到外資與自然人淨買超行為所影響。澄清報導訊息發布後，日內股價持續性上漲，乃因外資與一般法人淨買超行為影響之故，當時間展延至一年時，主要受到投信基金淨買超行為影響。各投資人類別對壞消息的反應速度比好消息慢，此結果與Hong, Lim, and Stein (2000) 一致。此外，在公開訊息發布後，投信基金與自然人對部分好消息之淨買超行為，在日內分析與日間分析呈現不同偏好與股價上漲結果，一般法人則是對部分壞消息之淨買超行為，在日內分析與日間分析呈現不同偏好與股價下跌結果。

關鍵字

公開訊息；投資人類別；股票報酬率

並列摘要

This paper investigates the impact of issuing news in Market Observation Post System on stock prices in Taiwan Stock Exchange. The time horizons for calculating stock returns after issuing news range from thirty minutes to one year. This study includes many issues that previous literatures does not mention, such as issued bonds, investment in China, overseas investment, purchase bonds, purchase real estate, purchase financial commodity, disposal of properties, clarify reports and penalty. When analyzing the influence of the public information on the stock price, the time unit discussed is the changes of the intra-day stock price within minutes and hours, and it compensates the previous literatures. The research subject includes：(1) Discussion of influence of different kinds of public information on stock returns.(2) Examination whether there is difference between the influences of good news and bad news on stock returns.(3) Investigation of the difference of kinds of investors’ influence on stock returns after the public information.Empirical indicates that after the information announcement of investment in China, the stock price increase within two months due to the influence of net buy activity of a foreign investors.And after the information announcement of overseas investment, the intra-day stock price increases due to the influence of net buy activity of foreign investors and natural person.And after the information announcement of clarify reports, the stock price increases persistently due to intra-day influence of net buy activity of foreign investors and other institutions and net buy activity of mutual funds within a year.And all kinds of investors’ reflection to bad news is slower than to good news, and it is consistent with the viewpoint of Hong, Lim and Stein (2000).After the public information announcement, the net buy activity of mutual funds and natural person over good news have different preference and stocks advance results under intra- and inter-day analyses.And net buy activity of other institutions over bad news have different preference and stocks fall results under intra- and inter-day analyses.