摘要
本文以 2010-2020 年台灣上市上櫃公司為樣本，研究投資者關注與股價崩盤風險之間的影響，採用季度崩盤風險指標，並延伸從不同市場以及自然人持股高低探討投資者關注與股價崩盤風險。主要做法利用Google搜尋量指數，使用Bijl et al. (2016)及Da et al. (2011)的兩種方法作為投資者關注的代理變數。實證結果發現，隨著投資者關注提高，未來股價崩盤風險顯著上升，且該作用在上櫃市場以及高自然人持股的公司中更加顯著。本文以投資者的行為角度補充了股價崩盤影響因素的研究。
並列摘要
This research employs Taiwan OTC companies from 2010 to 2020 as a sample to study the effect of investor attention and stock price crash risk. This paper adopts quarterly stock price crash risk indicator to investigate investor attention and stock price risk which are from different markets and the ratio of the individual shareholder. The approach applies Google Search Volume Index (SVI) to use the two methods of Bijl et al. (2016) and Da et al. (2011) as an agent of investor attention. The empirical results show that as investor attention increases, the future stock price crash risk rises significantly. This effect is statistically significant in the OTC market and the companies with a high ratio of individual shareholders. This study has supplemented the research of factors that affect the stock price crash with the perspective of investor behavior.
參考文獻
延伸閱讀
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