中文摘要 本研究藉由檢測MSCI台灣指數成分股的月營收變化率與股價報酬率之因果關係,探討台灣股票市場中上市公司之月營收與股價報酬間的關聯性。本文在向量自我迴歸(VAR)模型下利用Granger因果關係檢定樣本公司在2000年1月到2012年9月這段時期,月營收變化率與股價報酬率是否存在Granger因果關係。實證結果顯示:103家樣本公司中,月營收變化率領先股價報酬率的個股占10.68%,而股價報酬率領先月營收變化率的個股占32.04%,互為因果關係者有3.88%。再進一步檢驗公司特性,發現MSCI台灣指數成分股的平均資本額與股價顯著高於其他非MSCI成分股。過去研究顯示資本額較小 、股價較低之公司,其資訊內涵較不明顯,因此MSCI台灣指數成分股資訊較透明,推測這可能是月營收變化率無法發揮預測股價報酬的功能的原因。
Abstract This study examines the relationship between monthly revenue change and stock return in Taiwan stock market utilizing MSCI Taiwan components. Vector autoregressive (VAR) Model and Granger Causality Test aree used for analyzing related data acquired from January 2000 to September 2012, and for evaluating the led-lag interactions among variables. The empirical results show that 10.68% samples indicating monthly revenue chenge granger cause stock return while 32.04% samples indicating stock return granger cause monthly revenue chenge. Only 3.88% samples demostrate bi-directional granger causality between monthly revenue chenge and stock return. Further, characteristics examination of companies shows that the mean values of market capitalization and stock prices of MSCI components are much higher than the ones of Non-MSCI corporations. The past studies indicated that companies with smaller capitals and lower stock prices exhibit more serious asymmetric information problem. As a result, we conclude that MSCI Taiwan components have more transport information and it maybe the reason why monthly revenue chenge could not provide valuable information for stock return predictiability.