領先落後效果對台灣股票價格調整之影響

Abstract

由於市場存在的摩擦因素，以及訊息流通的現實限制，每家公司對訊息的反應速度不一致，形成股價調整速度的差異性。這當中差異性可能與某些公司特性有關聯，進而使市場上存在著一種非對稱的領先落後效果。 如此一來，到底有哪些公司特性會是造成領先落後效果的決定因素，且該領先落後效果主要是存在於同一產業之內，或是產業與產業之間，都是值得探討的議題。 本研究依據 Hou (2007) 檢驗美國股市股票報酬領先落後效果的研究方法，以台灣股市所有上市上櫃公司為研究樣本，民國七十五年起至民國九十五年為樣本期間，股票週報酬與其相對應之公開資訊為樣本事件，首先觀察以公司規模為變數之下，檢驗產業內(間)的領先落後效果是否為統計上顯著。其作法為，根據公司規模進行排名分組，然後觀察同產業內最高排名組別的上市上櫃公司股票報酬是否會領先最低排名組別之間的上市上櫃公司股票報酬。再針對公司規模這項變數探討產業間大公司過去股票報酬與小公司現時股票報酬之間是否也有顯著的領先落後效果。之後，將檢驗除了公司規模這項變數以外，其他像是機構投資人持股、股票週轉率、銷貨收入等變數是否都是影響領先落後效果的決定因素。為了確保公司規模不會影響到這些變數，此處檢驗的做法要增加一道手續，即在進行排名分組時，要排除公司規模的影響，之後以同樣方式來檢驗產業內的領先落後效果是否仍為統計上顯著。 以台灣股票市場實證結果顯示，同一產業內大公司股票報酬確實領先小公司股票報酬，即大公司的過去股票報酬與小公司的現時報酬之間有著統計上的顯著正向相關性。而且這樣領先落後的效果存在於產業內比產業之間來得強烈許多。此外，將公司規模的影響移除之後，機構投資人持股、股票週轉率、銷貨收入在同一產業內皆具有領先落後效果的影響。

Due to friction existing in the market and constraints of information diffusion, the speed each firm reacts to the information varies. And because those different speeds of reactions influence the speed of stock price adjustment, it is possible that there might be certain asymmetric lead-lag effects existing in the stock market. If there is lead-lag effect, then which variable is the determinant, and whether the lead-effect contains a persistent and highly significant industry component are the issues worth discussed. Moreover, I want to find out if there are any other alternative determinants which can also result in lead-lag effects. This study is based on the method used by Hou (2007) estimating the lead-lag effects in American stock market to test the intra-industry (inter-industry) lead-lag effects among the weekly stock returns on the Taiwan Stock Exchange from 1st January, 1986 to 31st December, 2006. First, I estimate within industries, whether the lead-lag effect is caused from firm size. Then compare the intra-industry lead-lag effects and the inter-industry lead-lag effects based on the firm-size variable, and figure out if the industry-specific information is the primary source of lead-lag effects. Finally, I test other possible variables such as institutional ownership, turnover, and sales and see without influences from firm size, are they the alternative determinates causing intra-industry lead-lag effects. The results indicate that: 1. Within the same industry, the stock returns of big firms lead the stock returns of small firms significantly. 2. Based on the firm-size variable, the lead-lag effect within industries is significantly stronger than the lead-lag effect across industries. 3. Under the condition of removing the influences of firm size, institutional ownership, turnover, and sales are also the determinants of lead-lag effects within industries.