非預定事件宣告對股票市場異常報酬之影響：以流動性及資訊不對稱之觀點

The Impact of Unscheduled Event Announcements on Abnormal Return of Stock Market：A Liquidity and Information Asymmetry Perspective

曾莛雅(Ting-Ya Zeng)

指導教授 ： 林蒼祥

共同指導教授 ： 涂登才(Teng-Tsai Tu)

淡江大學/商管學院/財務金融學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.01054

摘要

本文研究期間以2005年到2010年台灣上市公司的股票為樣本，探討公司非預期事件(併購事件和庫藏股買回事件)宣告投資人資訊不對稱對股票異常報酬之影響，使用台灣證券交易所提供的成交檔、委託檔和揭示檔之日內資料，將投資人區分為外資、散戶、自營商和投信及其他國內法人做討論。利用資訊交易機率和異常交易量判別投資人是否有資訊不對稱存在，並檢驗資訊不對稱對股票異常報酬是否有顯著現象。
研究結果指出，併購事件方面，宣告日和宣告前一天僅異常交易量對市場異常報酬有明顯的影響，實證顯示，事件宣告前一天投信及其他國內法人對於事件較有預測能力，事先於市場上做出委買決策，進而帶動事件當天散戶進場交易。在庫藏股買回事件中，外資和自營商因握有較多的資訊且集中於少數人手中，且對藏股買回事件視為好消息，偏好進入市場下委買單，而投信與其他國內法人受到法規限制，先行針對已持有的部位賣出，來賺取訊息利多已反映的部分，所以交易行為偏好賣單。

關鍵字

事件宣告 ； 異常報酬 ； 異常交易量 ； 資訊交易

並列摘要

This study is concerned with the impact of unscheduled event announcements on the abnormal return of stock market. The data is based on from listed companies in Taiwan stock market from 2005 to 2010. We use the intraday limit order book, display data and transaction data from TWSE. And separating the investors in to four groups-foreign investors, individual investors, dealers, mutual fund, and other domestic institution investors in Taiwan stock market. Using the probability of informed trading and abnormal volume to recognize whether investors exist asymmetric information.
In M&A event, the empirical results show that the abnormal volume is obviously related to the market abnormal return on announcement day and before announcement day. And we can find that other domestic institution investors are more predictable to decide the buying strategy. In share repurchase announcements, foreign investors and dealers have more information and regard the events as good news. They prefer to decide the selling strategy. But mutual fund, and other domestic institution investors are subject to the law in Taiwan. They sell the shares which have already held the stock market to make the profit, so their behavior of trading prefers to decide the selling order.

並列關鍵字

Event Announcements ； Abnormal Return ； Abnormal Volume ； Information trading

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