處置股票宣告後的股價異常報酬之探討─以台灣證券交易所與櫃檯買賣中心為例

Abnormal Returns of Stock Price after Measuring Stock Announcement-Empirical Study of TWSE and GTSM

李政毅(Cheng-I Lee)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2014年)

https://doi.org/10.6840/cycu201400806

摘要

本研究探討在2008年1月1日至2013年12月31日的這段期間內，投資台灣之處置股票在證交所或櫃買中心公告該股票為處置股票的公告日後(1)是否會產生異常報酬率？(2)該異常報酬率是否會因在證券交易所（證交所）或在櫃檯買賣中心（櫃買中心）上市而有所不同？(3)該異常報酬率是否又會因處置股票所屬的產業有所不同？(4)在處置股票公告日後之短期與長期之異常報酬率是否又會有所不同？本研究最後應探討投資處置股票的最佳時機。
根據實證結果，本研究發現台灣之處置股票在公告日後，投資處置股票確實會獲得異常報酬率。在採用GARCH-累積異常報酬率(GARCH-Cumulative average abnormal returns, GCAAR)模型所獲得的結果顯示，投資於公告該股票為處置股票的第一次公告日後會產生較準確之結果。但投資處置股票的異常報酬率，並不會因在證交所或在櫃買中心上市而有所不同。此外，實證也發現，在所屬產業方面，除了GCARR模型下之〔1,40〕期間之外，投資電子產業與非電子產業的處置股票獲得之異常報酬率並無顯著不同。另外，在所獲得之短期異常報酬率中，本研究發現採用GCAAR模型比採用GARCH-標準化的累積異常報酬率(GARCH-Standardized cumulative average abnormal returns, GSCAAR)模型之效率更高、且更精確。此外，本研究在採用GARCH-買進持有的平均異常報酬率(Buy-and-hold average abnormal returns, GBHAAR) 模型以探討長期之異常報酬率後，發現無論是短期或長期投資於處置股票，所獲得之異常報酬率，會因投資期限不同而有顯著不同。也發現電子業之處置股票是最值得投資之標的，其中又以電腦及週邊設備業為最佳。最後，本研究更發現投資人若能對每個處置股票，均投資相同額度之資金，便能獲得較高之平均異常報酬率。

關鍵字

事件研究 ； 處置股票 ； 異常報酬率 ； GBHAAR 模型 ； GCAAR模型 ； GSCAAR模型

並列摘要

This study first examines whether there are the abnormal rates of returns (ROR) on investment after the announcement of measuring stocks from January 1, 2008 to December 31, 2013. If the abnormal ROR exists, then this work investigates whether there is a difference between measuring stocks of the companies listed on Taiwan Stock Exchange (TWSE) and those on Taiwanese GreTai Securities Market (GTSM). Moreover, this investigation examines the difference of the short-term and long-term abnormal rates of returns on investment after the announcement of measuring stocks. Finally, this study attempts to explore the appropriate method to obtain the highest average abnormal ROR.
Empirical results indicate that the abnormal ROR exists upon the announcement of measuring stocks. Findings show that abnormal ROR obtained from the measuring stocks by employing the GARCH-Cumulative average abnormal returns (GCAAR) model outperforms those calculated by the GARCH-Standardized cumulative average abnormal returns (GSCAAR) model after the first measuring stock announcement date for short-term investment. Moreover, this study uses the GARCH-buy-and-hold average abnormal returns (GBHAAR) model to examine the long-term abnormal returns and finds that there is significant difference between short-term and long-term investments on measuring stocks. This investigation also finds that the measuring stocks of electronic industry (EI), particularly, computer & peripheral equipment (C&PE) industry, are worthy of investment regardless of short-term or long-term investment. Finally, this study suggests that the investors should invest an identical portion of their funds on each measuring stock to obtain the highest average abnormal ROR.

並列關鍵字

Abnormal returns ； Event study ； GBHAAR model ； GCAAR model ； GSCAAR model ； and Measuring stock

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