價量的劇烈變化、公開訊息宣告與股市效率性之研究

Large Price and Volume Changes, Public Announcements and the Efficiency of Stock Market

林育秀(Yu-Hsiu Lin) ； 盧依君(Yi-Jiun Lu)

《中華科技大學學報》 42期 (2010/01) Pp. 143-159

https://doi.org/10.7095/JCUST.201001.0143

摘要

本研究根據股價與交易量的劇烈變化兩個指標定義事件，透過股價於事件日前後的累積異常報酬反應，來探討公開訊息的影響，以及股價反應是否有反應不足或過度反應的現象。實證結果發現，事件日的股價反應有顯著的異常報酬，事件日後，兩種指標所定義的事件於短期皆有反應不足現象，投資人可依據正負事件進行同向操作而獲利，其中以股價劇烈變化所定義之事件，且有伴隨著公開訊息宣告的獲利空間最大。在事件日後的中期，有伴隨著公開訊息宣告的事件，其累積異常報酬多已顯著不為零，市場回歸效率；但無伴隨著公開訊息宣告的事件多數呈過度反應，有顯著的反向累積異常報酬，投資人可依據正負事件進行反向操作而獲利，其中以交易量劇烈變化所定義之事件，且無伴隨著公開訊息宣告的獲利空間最大。

關鍵字

反應不足 ； 過度反應 ； 公開訊息宣告 ； 累積異常報酬

並列摘要

This article investigates the influences of public announcements and the phenomena of over-and under-reactions by event study, where events are identified by selecting samples with extreme one-day stock returns and extreme daily trading volumes. We find that abnormal returns on the event day are significant for all event samples. During the post-event period, stock prices exhibit underreaction in the short-term. Investors can make a profit by adopting momentum-like strategies in response to the favorableness of the event. The potential profit is most salient from the event samples that are identified by extreme one-day returns and have public announcements on the event day.
In the mid-term, cumulated abnormal returns (CAR) become insignificant and market efficiency is restored for those event samples that have public announcements on the event day. On the contrary, for those event samples with no public announcements stock prices exhibit overreaction and CARs are significant with opposite sign to the favorableness of the event. Thus investors can make a profit by adopting contrarian strategies. The potential profit is most salient from the event samples that are identified by extreme daily trading volumes and have no public announcements on the event day.

並列關鍵字

underreaction ； overreaction ； public announcements ； cumulated abnormal returns