本文研究的主要目的以台灣非金電股市場的股利宣告反應進行實證,以2010年到2015年台灣股票市場非金電股票上市公司為樣本,利用事件研究法來分析。探討異常報酬(Abnormal Returns)、異常交易量(AV)、公司市值(Market Cap)、週轉率(Turnover)與股權結構變數對異常報酬的影響關係。本研究參考Chen et al. (2014) 以事件宣告日為事件期概念來做研究,若事件宣告日當天之個股收盤價以漲跌停作收,改以打開該漲跌停之該期間為事件期。研究股利宣告對非金電股的異常報酬影響,並加入股權結構產生的反應差異。 從實證結果發現非金電股對股利宣告的異常報酬呈現顯著關係。在加入股權結構後,發現法人持股對異常報酬呈現正相關,外資持股對異常報酬呈現負相關。將異常交易量與股權結構之交乘項進一步探討發現,異常交易量對於異常報酬影響的結果,在加入股權結構對此結果皆呈現正顯著。可知對於法人來說,在消息取得及蒐集資訊能力較佳,使得法人機構和投資者有資訊不對稱,因此會買進持股而有異常交易現象發生。
The main purpose1of this article is to2conduct an3empirical study on the4Taiwan stock1non-financial1and1non-electronic1stock1market.1Mainly1based1on1the Taiwan stock1non-financial1and1non-electronic1stock market from 2010 to 2015, use the event research. Investigate the1relationship between1abnormal1volume1(AV), company market capitalization (Market Cap), turnover rate(turnover) and ownership structure on abnormal returns.1This research refers to2Chen et al. (2014) for3the concept of the event announcement1date as the5event period.1Should1the price6hit1limit1up/down1 on announcement7date, the event period8would be1extended to1the date9when the limit1is1lifted. Examine the abnormal compensation effect of dividend declaration1on the non-financial and non-electronics stocks and incorporate the difference in response arising from the ownership structure. From the1empirical results, the abnormal returns of the non-financial and non-electronics stocks from dividend2announcements in Taiwan was3the most significant. After adding the ownership structure, it was found that the corporate ownership is positive correlated with abnormal returns and the foreign ownership is negatively correlated with abnormal returns. The synergy between abnormal volume and ownership structure is further explored. The result of the effect of abnormal volume on abnormal returns is positive correlated when the ownership structure is added. It can be seen that for legal entities, the ability to obtain and collect information is greater, so there is a mismatch of information between legal entities and investors, and therefore abnormal trading due to stock purchases can occur.