中國大陸上市公司營收資訊對股價之傳遞速度

近年來，大陸股市成為國際重要經濟市場也逐步開放國外投資機構投資其股市。根據經濟部統計，中國大陸已成為台灣第一大對外投資地區，但過去文獻對大陸股市營收資訊對股價之傳遞效果並未加以探討。因此，本研究之目的在以向量自我迴歸模型（vector autoregressive model, VAR model）探討中國大陸上海及深圳股市上市公司營收高低不同，是否會造成股價報酬反應速度上的差異。本文以2002年5月至2012年4月，共10年之上海與深圳證券交易所上市之普通股股票日資料為研究對象。實證結果發現，在多頭時期且控制規模及成交量之前提下，上海及深圳股市均出現公司營收成長率較高的投資組合報酬領先公司營收成長率較低的投資組合報酬之情形。這代表營收成長率高的公司確實會引起投資人的關注，所以營收成長率高低確實會左右投資人的投資行為，因而具有資訊內涵；但在空頭時期，各營收投資組合集群之股價領先關係並不明顯。

關鍵字

營業收入；股票價格；中國大陸股市；訊息傳遞；向量自我迴歸模型

並列摘要

In recent years, the stock markets of mainland China have become important economic markets of the global economy and gradually opened to international institutional investors. According to the statistics from Taiwan's Ministry of Economic Affairs, China had become the largest foreign investment area of Taiwan. However, previous literature has not deeply studied the transmission effect for revenue information on stock prices of the stock markets in mainland China. Therefore, the objective of this study was to examine whether the difference in revenue caused different transmission speeds in stock prices by using vector autoregressive model (VAR model). The daily returns of the common stocks listed in Shanghai and Shenzhen stock markets from May 2002 to April 2012 were used as empirical data in this study. The analytical results showed that in bull market periods, the returns of the portfolios with higher revenue growth rates lead the returns of the portfolios with lower revenue growth rates in Shanghai and Shenzhen stock markets when scale and exchange volume factors were controlled. This result indicated that the stocks with high growth rates in revenue caused the attention of investors and affected the investment behavior of investors. Therefore, the revenue growth rate indeed included information content for the stock price in bull market periods. However, in bear market periods, the leading relationships of stock prices for portfolios with different revenue levels were not significant.