媒體效應與市場行為： 東森財經新聞台《57金錢爆》個案研究

Abstract

關於媒體效應與資本市場的投資行為研究，目前國內外的相關文獻多以歐美新聞媒體及其上市公司做為研究對象，反觀國內則缺乏以台灣電視節目的內容，進行財經媒體對資本市場的相關性研究。有鑑於台北股市雖然隨著法人參與度提高，散戶投資佔股市成交量比例減少，但市場價格仍常有資訊反應不足或反應過度的現象。所以，基於台灣電視節目所代表的媒體效應對於資本市場價格影響的研究，不僅可開創此一領域的研究視野，更可清楚地認識媒體效應在資本市場發展中的作用。因此，本研究採用一般散戶在投資台北股市時，常收看的電視財經節目做為研究對象，以事件研究法進行檢定，觀察節目播出後，隔日股價之短期異常報酬出現的情形。研究結果發現在樣本期間約兩年內，再加後續一年的績效追蹤，共有66檔標的，出現顯著正異常報酬。從本研究得到的觀察結論可知，媒體效應對於台灣證券市場的影響實質存在。

The prior studies on the media effect and investor behavior primarily focused on the Western press and public media companies, but the related issues associated with media companies and the stock market in Taiwan have received far less attention. The overreaction and underreaction to important information still can be observed in the Taiwan stock market, even though the participation of institutional (individual) investors in this market has increased (decreased) over time. This study attempts to explore the issue on the relation between the media effect and the stock market response to the information revealed by a financial television program in Taiwan. The results from this study would advance our understanding of the media effect on the capital market.The financial programs are an important vehicle for individual investors to collect the information about the stock market. This study employs the event study methodology to examine the short-term stock price response to the information broadcasted by a popular financial television program in Taiwan and trace the long-term performance for 66 stocks . The results show that these stocks exhibit significant positive abnormal returns conditional on the event, indicating that the media effect does exist in the Taiwan stock market.