台灣股票市場中訊息的反應與傳遞效果之研究

Analysis on Information Impact and Transmission in Taiwan Stock Market

李顯儀(Hsien-Yi Lee) ； 吳幸姬(Shing-Ching Wu)

《輔仁管理評論》 12卷3期 (2005/10) Pp. 71-94

https://doi.org/10.29698/FJMR.200510.0004

摘要

本文的主要研究目的在於探討重大訊息對股市報酬反應的影響與訊息對不同投資組合間傳遞的效果。實證結果：(l)訊息反應方面：在多頭市場中，當有好（壞）消息公告時，股價報酬會有顯著為正（負）；在空頭市場中，當有好消息公告時，股價報酬為負，但不顯著；當有壞消息公告時，股價報酬會有顯著為負。(2)訊息傳遞方面：成交量較大的股票報酬對訊息的反應相對於成交量較小的股票報酬來得領先，此結果在大公司集群下成立，但小公司集群則相反。

關鍵字

重大訊息 ； 好／壞訊息 ； 訊息反應 ； 訊息傳遞 ； VAR檢定

並列摘要

The main purpose of this paper is to explore the information impact and transmission of portfolio returns when market-wide information is declared. The results indicate returns of index will be positive negative when good bad news is announced in bull market. In bear market, when good news is announced, the returns of index are negative but insignificant, and the negative returns of index when bad news is announced. Another results we find that returns of stocks with high trading volume lead returns of stocks low trading volume when market-wide information is announced, the result is for large size companies, but small size companies is contrary.

並列關鍵字

market-wide information ； good/bad news ； information impact ； information transmission ； VAR test

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