國內股市定錨效應之研究─以2008年總統大選期間為例

A Study on Anchoring Effect in Domestic Stock Market: Evidence from Taiwan's Presidential Election in 2008

溫育芳(Yue-Fang Wen) ； \d趙珮伊(Pei-Yi Chao)

《創新與管理》 8卷4期 (2011/11) Pp. 101-137

https://doi.org/10.30118/JIM.201111.0005

摘要

本研究以2008年臺灣總統大選為例，利用事件研究法(Event Study)檢測在此期間國內股票市場是否存在異常報酬(Abnormal Returns, AR)，進而修改Amir and Ganzach(1998)之模型，以行為財務學的定錨效應(Anchoring Effect)來解釋股市投資人反應偏誤之現象。根據實證結果顯示，在總統當選人就職前由於存在相關行情，因此正向的異常報酬較為顯著，然而在就職過後，基於全球的經濟衰退導致投資人對股市失去信心及外資大量賣超，使得在就職日後產生明顯負向異常報酬的情況。另外，進一步的研究結果顯示，股票市場走勢在大選結束後，容易定錨於一開始的預期，以致股價修正不足，明顯地呈現出定錨效應。若再將樣本公司進一步區分為股價走勢高於原本預期(上修)，及低於原本預期(下修)兩組樣本時，可發現上修樣本組的修正幅度顯著大於預期而高於最後之股價，產生過度反應(Overreaction)之現象；下修的樣本組，其修正的幅度顯著不及應有的跌幅，而產生反應不足之現象，表示股市投資人在總統大選結束後存在定錨效應。

關鍵字

定錨效應 ； 過度反應 ； 反應不足

並列摘要

This study examines whether the abnormal returns exist in the stock market during the period of Taiwan's presidential election in 2008 by using the event study approach. Further, by adopting the concept of anchoring effect, Amir and Ganzach's model(1998) is modified to explain the biased reactions of stock market investors. According to the empirical results, the positive abnormal returns are significant before the president's inauguration day. However, the global economic recession made the investors lose confidence on the stock market and foreign investors oversell the stocks after the president's inauguration day, which caused the negative abnormal returns. On the other hand, the stock market trend after the election is anchored at the beginning's anticipation that caused the under reaction of price correction. Therefore, the anchoring effect is significant in the behavior of stock investors. If we further divide the samples into stock price rise (over correction than expectation) and stock price decline (under correction than expectation), we find the prices in the subsample of price rise are significantly higher than the final prices, which results in overreaction. In the subsample of price decline, the prices are higher than the final prices, implying underreaction. The phenomenon shows that the anchoring effect exists in the behavior of stock investors after the presidential election.

並列關鍵字

anchoring effect, ； overreaction ； underreaction