資訊意涵與股票報酬之關連性研究－以台股上市塑膠業為例

The Correlation between Information Content and Stock Return-Evidence from Plastic Industry in Taiwan

陳天志(Tien-Chih Chen) ； 蔡孟易(Meng-Yi Tsai)

《南亞學報》 31期 (2011/12) Pp. 427-442

https://doi.org/10.6989/JN.201112.0427

摘要

本文旨在觀察單一產業內投資人的行為，而塑膠類在台灣的傳統產業上最具代表性，因此，本文擬探討台灣上市塑膠類股票異常報酬與資訊不對稱是否存在相互影響關係。此外，本研究以市場模型（market model）估計超額報酬，並加入GARCH控制異質變異，同時以相對買賣價差衡量資訊不對稱，且採用向量自我迴歸模型，再加入衝擊反應分析與變異數分解分析來解釋變數相互影響的程度。本研究選取台灣上市全部21家塑膠類，期間為2005年1月1日到2009年12月31日止之日資料。實證結果顯示，台灣上市塑膠類股票異常報酬與資訊不對稱確實存在顯著相關，然而此一關係只有單向，且變數受到自身的影響程度大於其他變數。

關鍵字

市場模型 ； 異常報酬 ； 資訊不對稱 ； 相對買賣差價

並列摘要

This article aims to observe within a single industry investor behavioral, while plastic class in the traditional industries of Taiwan's most representative, Hence this text discussed the relevance of abnormal returns in the plastic stocks listed in Taiwan and information asymmetry. In addition, this study market model (market model) estimated excess return, and joined GARCH to control the heteroscedasticity, while the relative bid-ask spread to measure the information asymmetry, and the use of vector autoregression (VAR) model, and then joined the impulse response analysis and variance decomposition analysis to explain the degree of interaction between variables. This study selected all 21 Taiwan listed plastic, the period January 1, 2005 to December 31, 2009 only date information. The empirical results show that Taiwan's plastics market abnormal return and information asymmetry exists a significant correlation, but this relationship is only one way, and the variables are greater than the impact of their other variables.

並列關鍵字

market model ； abnormal return ； information asymmetry ； relative bid-ask spread