本研究以2008年至 2019年曾進行鉅額交易的台灣上市(櫃)公司分析對象,以事件研究法探討鉅額交易前後10日對普通股股價的影響。本研究除針對全部樣本進行分析外,並進一步探討前述結果對樣本特性或研究期間之敏感度。 結果顯示台灣上市(櫃)公司普通股股價對鉅額交易訊息存在顯著異常反應,即具有顯著資訊內涵,但是股價對鉅額交易訊息反應程度與方向會受到研究期間、上市(櫃)別、產業別及交割股數之影響,存在不一致效果,以及也發現股價在鉅額交易後常出現顯著之修正調整,這表示市場對鉅額交易訊息解讀分歧,以致股價無法及時精確反應,此為投資人運用鉅額交易訊息進行買賣操作時應注意之事項。
This study analyzes Taiwanlistingcompanies that have engaged in block trades from 2008 to 2019. The event study method is used to investigate the impact on common stock prices during ten trading days before and after block trades. In addition to analyzing the entire sample, this study further explores the sensitivity of results to characteristics or periods of the sample. The results show that the common stock price of Taiwan listed companies has a significant abnormal response to the signal of block trades, that is, it has significant information content. However, the degree and direction of the stock price response to the signal of block trades is affected by research periods, listing exchanges, industry sectors, and number of delivered shares, andisresulted in inconsistent effects. It is also found that the stock price often significant corrective adjustments after huge trades. This means that the market interpretation to the signal of block trades is inconsistent, so that the stock price cannot precisely respond in time. Investors should pay attention to when using the signal of block trades for trading operations.