本篇論文主係探討臺灣證券櫃檯買賣中心之特有交易市場–興櫃股票交易市場中,各產業月營收資訊與其股價報酬之間的關聯程度,透過研究可以瞭解臺灣興櫃公司的月營收變化率和其股價報酬是否有因果關係及是否有預測的功能。本研究資料區間係以 2015 年 1 月至 2019 年 12 月為樣本,將全體公司分為全體產業、製造業、電子業、服務業與其他產業等,並將研究事件區間設定在該月 10 號前後 10 天、前 10 天、後 10 天及前後 5 天、前 5 天、後 5 天,在向量自我迴歸模式 (vector autoregressive mode) 下利用因果關係檢定 (Granger causality test) 進行實證分析,並透過實證結果發現所有產業類別無論在何種研究事件區間內,其營收增減皆與該產業的股價報酬之間皆不存有因果關係。我們認為,此結果可能是因為興櫃公司籌碼集中、股票流動性差且資訊、信息量較不流通,加上月股價表現在月營收公告前已事先反應完畢所致。
This study mainly discusses the causal relationship between monthly revenue announcement and rate of return, focusing on the listed companies in Taiwan emerging stock market. In this study, the sample period takes from January 2015 to December 2019. All the data have been divided into 5 categories: namely, all industry, manufacturing industry, electronics industry, service industry and others. Furthermore, the event interval has been considered in different periods, that is, 10 days before (after) the 10th day of each month, 5 days before (after) the 10th day of each month, and many others. The vector autoregressive mode and the Granger causality test are used for empirical analysis. We found that no matter what event intervals were considered, there is no causal relationship between monthly revenue announcement and rate of return. In our point of view, we think that these results may be due to the concentration of counters, the poor stock liquidity in emerging market and the asymmetry information in the market.