新聞資訊與股票市場動態之關連性-報紙資訊對法人持股以及個股報酬率的影響

The Relation between News and the Stock Market -The Effect of Newspaper Information on the Holding of the Juristic Person and Stock Return

鍾尚倫(Shang-Lun, Chung)

指導教授 ： 黃俊堯

國立臺灣大學/管理學院/商學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.01340

摘要

台灣的資本市場中，散戶投資人佔了大部份比例。這些散戶投資人，除專業知識有限外，資訊來源也不若機構法人。大部份散戶的資訊來源都是報章雜誌、甚至是所謂的股市名嘴。然而這些由法人或其相關人士所發布的資訊，消息來源未必可靠。而即便其為真，資訊傳遞到散戶時也已經有了時間上的落差。也因為這些可信度與時間等方面的落差，機構投資人與散戶投資人針對市場資訊所執行之市場進出策略與結果，可以想見應有很大的不同。因此本研究欲探討報紙報導與三大法人買賣超中間的關聯性，進而探討法人是否藉由資訊發布的事件而有所謂「拉抬出貨」的現象。而另一方面，投資人是否能用這些釋放利多或利空消息的報導獲利，也是另一個有趣的議題。本研究採用事件研究法，研究問題和研究結果分別列舉如下：
一、三大法人在媒體訊息發佈前後之持股動態是否合乎常理？
1. 外資持股在正面消息前快速累積持股，而消息發佈後不再有買進或賣出的動作。本研究在此解讀為發佈日前外資先行獲得該資訊，因此買超。而發佈日後外資認為股價已調整完畢，故持續持有。
2. 投信在正面訊息日前累積持股，發佈日後逐漸賣出。數據上支持「拉抬出貨」的現象，但也可以解讀為投信的投資策略為傾向獲利了結，無直接證據顯示為何者。
3. 自營商在正面訊息日前累積持股之現象較不明顯，而訊息發佈日後也將持股逐漸賣出。在此本研究解讀為其傾向在正面訊息後逢高獲利了結。
4. 負面訊息而言，三大法人在發佈前就有出脫持股的現象，發佈日後不再有任何買賣超。在此解讀為法人先行獲得資訊而調整持股。
二、投資人是否能利用大眾媒體的資訊報導帶來超額報酬？
1. 正面訊息套利空間有限。
2. 負面訊息經由本研究之模擬方法模擬後，發現有套利空間。

關鍵字

三大法人持股 ； 事件研究法 ； 訊息效果 ； 散戶

並列摘要

We know that the capital market in Taiwan is mostly composed of private investor. Lacking market information, their invest strategies depend on the mass media. However, the information from the mass media might not be so reliable. After some scandal breaking out, a lot of cheating tricks are revealed. It’s said that some malicious institute investors manipulate the information on the mass media to misdirect private investors. The most common cheat method is: they first claim that this stock has a bright future, and then sell it. In order to know whether this phenomenon exists or not, I want to investigate the over buying/selling information of institutional investors before and after a stock-related news is issued. Moreover, I also want to shed light on the information value of the stock-related news. I use the event study method to measure the interaction between the report of the mass media and (1) the over buying/over selling information and (2)the price of the stock. Therefore, the followings are my two study topics and brief conclusions:
1. Whether the over buying/over selling information of institutional investors is reasonable before and after a stock-related news is issued?
a. Foreign Investors increase their stock holding before the positive news is issued. After issued, they don’t significantly over buy or over sell. I interpret it as the Foreign Investor got the positive information before it’s issued, so they buy it. After issued, they are inclined to believe the adjusted stock price, so they hold it.
b. Investment Trusts over buy the stock before the positive news is issued, and then sell it after issued. The result supports the assumption that they apply the cheat method mentioned above, but I can’t jump into any conclusion because it’s just a sufficient condition. There still might be other reasons causing this pattern of buying/selling behavior.
c. Security Dealers don’t over buy or over sell before the positive news issued. However, they over sell their holdings after news issued. I interpret it as they are inclined to liquidate the stock when it reaches highest price.
d. For negative news, Foreign Investors, Investment Trusts, and Investment Trusts all sell their stocks before issued. After issued, they don’t significantly over buy or over sell. I interpret it as they know the information before issued, so they adjust their holdings.

2. Can investors use the news of mass media to get excess return?
a. Barely can we arbitrage by positive news.
b. It’s possible to arbitrage by negative news.

並列關鍵字

Stock Holdings ； Over Sell ； Over Buy ； Event Study ； Information Effect ； Private Investor

參考文獻

18. 高武忠(2006)：各系外資研究報告之可信度及對個股股價表現影響，臺灣大學財務金融學研究所碩士論文。

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