由產業是否領先大盤探討台股市場的資訊傳遞速度

Do Industries Lead Stock Markets? Evidence from Taiwan

王名韡(Ming-Wei Wang)

指導教授 ： 林亦珍

淡江大學/商學院/經濟學系碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00535

摘要

本文旨在檢定Hong et al.(2007)提出的假說「若投資人的資訊處理能力有限，且資訊擴散緩慢，則產業投資組合的報酬率將能預測未來的大盤報酬率」。利用1988年2月至2006年12月的台灣股市月資料，本文發現，控制其他影響大盤報酬因子後，能預測下一期的大盤報酬率的產業有八個。甚至有五個產業的投資組合報酬率能預測六個月後的大盤報酬率。產業股價報酬率對未來大盤報酬率的邊際效果與產業股價報酬率對未來總體經濟指標的邊際效果，呈顯著正相關。這些結果顯示投資人能完美處理資訊，且資訊擴散迅速的傳統假設，未能得到實際資料的支持。相反的，結果顯示大盤投資人無法即時解讀產業資訊對未來總體經濟的影響，導致產業資訊於產業投資人與大盤投資人之間緩慢擴散。

關鍵字

行為財務學 ； 資產定價 ； 有限注意力 ； 資訊緩慢擴散

並列摘要

In this paper, we examine whether the returns of industry portfolios forecast movements in market returns using data on monthly returns to 29 Taiwanese industry portfolios for the years between 1988 and 2006. We find that there are eight industries that predict the market return in the following month and there are five industries that forecast the stock market by up to six months. Moreover, the effect of industry return on future market return is positively correlated with the effect of industry return on future macroeconomic indicator. These findings indicate that investors are unable to understand the influence of industry shocks on macroeconomic activities and information diffuses across investors in different markets only gradually.

並列關鍵字

behavioral finance ； asset pricing ； inattention ； information and market efficiency

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