台灣股市除權期間投資人的下單行為與股價行為

Abstract

本論文的研究目的在探討公司發放不課稅與課稅的股票股利時，投資人在除權期間的下單行為與除權日產生異常報酬率的主要因素。第一篇文章旨在分析投資人在除權期間是否會呈現異常的下單行為與不同類型的投資人在除權期間的下單行為是否存在異質性。以1999年純粹除權的事件為樣本，分析全體投資人對台灣證券交易所下單的委託檔。實證發現，小額自然人在除權期間的行為與股價下跌假說吻合。外資與大額自然人傾向於棄權，但證據稍嫌薄弱。國內機構投資人在除權期間扮演短期套利者的角色。另外，從明顯的套利活動分析中，我們發現每一類投資人都在從事先買後賣的套利活動。所以，各類投資人在除權期間呈現異質的下單行為；同時，同一類投資人的下單行為也存在異質性。 第二篇文章旨在探討除權日產生異常報酬率的原因。以台灣經濟新報資料庫中，1971年至2003年純粹除權的事件為樣本。研究發現，稅負效果無法解釋除權日的異常報酬現象。不課稅的資本公積樣本在除權日的異常報酬率可以股利分配率解釋之。稅負效果、股價下跌效果與升降單位效果皆無法說明課稅的保留盈餘樣本為何在除權日有正的異常報酬率存在。另外，估計期有進行融資交易的公司在-3日呈現顯著為負的異常報酬率，此乃因為-3日開始實施停止融資的信用限制所造成。

This dissertation contains two essays on the ex-date anomaly issue. The first essay examines various types of investors’ order behavior around ex-dividend dates on the Taiwan Stock Exchange. We find that, different types of investors show entirely different patterns of order flows. For both taxable and non-taxable samples, small investors’ order behavior around ex-dividend days is consistent with the price drop hypothesis, which suggests that small investors prefer low-priced stocks. We find weaker evidence consistent with the tax hypothesis: foreigners and large domestic investors who are tax-disadvantaged avoid participating in taxable dividends. We also find strong evidence that tax-neutral institutions play the role of short-term arbitrageurs around ex-dividend dates. The second essay explores stock price behavior around ex-dividend days and the reasons why we observe the abnormal returns on the ex-date. The empirical results reveal that reasons except tax result in the abnormal returns on the ex-date in the both taxable and non-taxable samples. The distribution rate of stock dividends can explain the anomaly on the ex-date in the non-taxable sample. The tax effect hypothesis、price drop hypothesis and tick size hypothesis give no explanations for the anomalous stock prices on the ex-date. We also find that, the significant negative abnormal returns in day -3 in the margin trading sample is due to a forbidden margin purchase starting from day -3.