訊息發佈對市場的反應強度之研究

The Impact of Information Release on Market Response

吳幸姬(Hsing-Chi Wu) ； 李顯儀(Hsien-Yi Lee)

《中華管理學報》 6卷4期 (2005/12) Pp. 73-92

https://doi.org/10.30053/CHJM.200512.0005

摘要

本文的主要研究目的在於探討當重大訊息公告時，不同投資人之間的反應是否有差異？成交量較大的股價報酬對訊息的反應是否較成交量較小的顯著？實證結果發現：(1)多頭市場中不論是好或壞消息公告時，法人成交量對訊息的反應比散戶成交量來得敏感，但在空頭市場中卻相反。(2)在多頭市場中不論好或壞消息公告時，成交量較大的投資組合報酬對訊息的反應並沒有比成交量較小來得顯著；但在空頭市場中不論有好或壞消息公告時，只有在大規模集群中，成交量較大的投資組合報酬對訊息的反應比成交量較小來得顯著。

關鍵字

重大訊息 ； 法人 ； 散戶 ； 好／壞訊息

並列摘要

The purpose of this study is to explore when market-wide information is declared, whether the reactions of different kinds of investors are consistent, and whether the returns of stocks with high volumes respond more significantly than that with low trading volumes. The results indicate institutional trading volumes respond more sensitively than individual trading volumes in bull market when either good news or bad news is announced. However, the result is contrary in bear market. The other result we find is that the returns of portfolios with large volumes do not respond more heavily than that with small volumes despite good or bad news is announced in bull market. On the other hand, in large sized portfolios, the returns of large volume portfolios respond more heavily than that of small volume portfolios when good or bad news is announced in bear market.

並列關鍵字

Market-wide information ； Institutional investors ； Individual investors ； Good/Bad news