跳空缺口之實證研究-以台指五十成分股為例

An Empirical Study of Gap Behavior for Underlying Stocks of Taiwan 50 Index

王武德(Wu-Der Wang)

指導教授 ： 倪衍森

淡江大學/管理學院/管理科學研究所企業經營碩士在職專班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00002

摘要

本研究探討2000年1月至2005年9月間，台指五十成分股跳空缺口對股價異常報酬之影響，以日交易數據為樣本，採事件研究法，依跳空缺口資料（全部跳空缺口資料、向上跳空缺口資料、向下跳空缺口資料），分別計算跳空缺口發生前五日及後五日之平均異常報酬及累計平均異常報酬並加以檢定，分析跳空缺口發生後是否具有資訊內涵？是否隱含異常報酬？能否以跳空缺口資訊，作為投資大眾選擇買賣股票策略之參考？本研究之重要結論如下：一、以跳空缺口訊息作為投資台灣股票市場買進或賣出之參考指標，可以獲得顯著之累計平均異常報酬。二、對於佔台股成交比重逾七成的電子股而言，向上跳空後短線上應出脫持股，向下跳空後短線上應買進持股。三、對於金融股而言，金融股向下跳空後，短線上仍應出脫持股或融券放空。四、其他類股無論是所有跳空缺口（向上或向下）或多頭市場、空頭市場，若發生向下跳空缺口後，短線上仍應出脫持股或融券放空。

關鍵字

跳空缺口 ； 技術分析 ； 累計平均異常報酬 ； 事件研究法

並列摘要

This research is to investigate the gap behavior of daily data for the underlying stocks of Taiwan 50 index from January 2000 to September 2005 by the event study approach. The gap events such as rising gap events and falling gap events are examined to find if these are average abnormal returns and accumulative average abnormal returns within the event period, i.e. the period from five days before the event happened to five day after the event happened, since we would like to disclose information within the event periods. As a result, several important empirical results are found in this study and these findings as mentioned below might be helpful investors in trading their stocks. 1. Investors are possible to get positive average abnormal returns by using the gap information, i.e. gap behavior could be concerned as important indicator in trading underlying stocks listed in Taiwan 50 index. 2. While appearing rising gap events for electronic stocks, investors might sell shares in the short-term; however, while appearing falling gap events, investors might buy shares in the short-term, even though electronic stocks overweigh 70% of Taiwan stock market.3. As for underlying financial stocks for Taiwan 50 index, investors are suggested to sell stocks to avoid loss if holding these underlying stocks or make profit by short-sell these underlying stocks. 4. For the underlying stocks excluding financial and electronic stocks in Taiwan 50 index, investors should sell stocks to avoid loss if holding these underlying stocks or make profit by short-sell these underlying stocks no matter what rising or falling gap events in bull markets or bear markets.

並列關鍵字

gap behavior ； technical analysis ； accumulative average abnormal returns ； event study

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