台灣期貨市場之效率性研究－ 特殊事件研究分析與省思

Abstract

過去歷史中台灣期現貨市場經歷不少重大事件，本研究就過去的歷史洪流中，針對一些特定的事件(例如:地震、選舉、國內外重大訊息)對台灣市場所造成的特殊市況作回顧探討，並利用事件研究法分析這些事件對市場所造成的影響，期盼在這些特殊事件從中了解台灣期現貨市場的反應。 本文實證結果顯示，事件發生的當日以及其後的1個交易日之內，AR皆顯著為負，代表在事件當日以及下一個交易日的期間內，市場都存在顯著的異常報酬，顯示市場面對意外事件的衝擊下，是不具效率性的，而回顧這些事件的歷程，在盲從的群聚效應作用之下市場往往會出現超漲、超跌的情況，在每一次的事件中，其實投資人應學習以市場為師，作足準備迎接下一次的挑戰。

Taiwan stock market has experienced a lot of issues in the past history. According to the previous events (such as earthquake, election, domestic and international messages) due to the special conditions, it is necessary to analyze the impact these events had caused on the market. Hopefully we will learn and understand more about Taiwan's stock market and how it works when meets special conditions. From this article, it shows the fact that, within the day the incident happens until the next trading date, both AR turned out to be negative, which means that, in between both trading dates, the market shows outstanding abnormal return. If the market faces the unexpected incident, it would be inefficient. However, while we look at those incidents, the clustering effect usually appears to have inflation or deflation in the market. Therefore, the investors should learn from those incidents and carefully observe daily changes in the market. If you are well prepared, it will not be a hassle for the upcoming challenges.