台灣上市櫃公司遭檢調搜索對其股價報酬率的影響

本研究利用事件研究法探討台灣上市櫃公司遭檢調搜索時對其股價是否產生異常報酬，並進一步檢定搜索行動是否有資訊洩漏現象發生。從檢定結果顯示，當公司遭檢調搜索時，事件日前一天與事件日當天其負向平均異常報酬率最為顯著，而在事件發生後的第1到2日的P值亦皆接近10%顯著水準，此現象說明了台灣上市櫃公司遭遇檢調搜索此重大事件會嚴重影響到持股人的投資信心，從而導致股票市場有較劇烈之顯著反應。而檢測結果亦發現股價反應搜索事件訊息的程度無法一次滿足到位，亦即會遞延持續一段時間，顯示台灣股市在反應該類事件之訊息時呈現弱勢效率市場的現象。此外，實證結果亦顯示公司遭檢調搜索之資訊可能在事件日前一日已有提前洩漏情況，值得台灣檢調機關在執行偵查搜索上市櫃公司行動時多予關注，確保其偵搜行動之保密性。

關鍵字

事件研究法；檢調搜索；異常報酬率；資訊洩漏

並列摘要

This study intends to examine whether the criminal searches of Taiwan's listed firms will result in significant abnormal rates of return on their stocks by event study methods. In addition, we try to further explore whether there exists information leakage phenomena in these events. Our empirical results show that negative abnormal returns were found significantly on the event day and the day prior to the event. Abnormality significances are also almost detected on the first day and the second day after the event with p-value close to 10%. The results not only justify that that stock performances are yes indeed negatively impacted by criminal searches but also show that these events in Taiwan exhibit a weak form of securities markets based on their continuous lagging stock price abnormality. The findings highlight that the quasi-illegal conducts of a company will completely destroy stockholders' confidence on the company. Moreover, in our testing results information leakage has been significantly detected on the first day prior to the search event, which show that Taiwan's prosecutors and investigators should act more confidentially and prudently in these major economic events.