中國概念股對於中國相關訊息反應強度之研究

Abstract

本研究旨在透過實證研究分析中國概念股對於不同的中國相關訊息內涵的反應，中國相關訊息分為兩種不同層次，即中國總體經濟指標發布消息（簡稱總體經濟消息）及公司於中國相關消息（簡稱公司消息）。 採用事件研究法的結果發現，總體經濟方面，中概股對於好消息發布當天有顯著異於零的正向反應、中性消息未對中概股造成顯著的異常報酬。而壞消息對於中概股造成顯著的負向報酬，且幅度大於好消息對中概股的影響。可推知市場對於壞消息的反應較大。 公司消息部分，中概股反應十分迅速，當天具有超額報酬，且事件當天即反應完畢，符合半強勢效率市場的特徵。另外，非電子類中概股有顯著的正向反應，但電子類中概股對於個股相關消息沒有顯著的反應。 最後，中概股股價僅對於個股營運狀況相關消息有顯著異於零的異常報酬率，且異常報酬率在交易日當天即反應完畢；相反的，中概股對於盈餘、資本預算、其它個股相關消息沒有顯著的反應。

This study investigates the responses of China concept stocks to the releases of China-related news. We divide the news into macroeconomic and firm-specific categories. Based on the event study method, we find that firm-specific news can explain more significant fraction of China concept stock price movements than macroeconomic news does. On the event day, China concept stocks response positively to good macroeconomic news; while no significant response to neutral macroeconomic news and negative response to the bad one. And stock prices have a stronger response toward bad news. Stock prices response quickly to firm-specific news. In addition, the response lasts only one day, which indicates that there is semi-strong form efficiency attribute following the release of firm-specific news. We also separate the samples into tech stocks and non-tech stocks. Only non-tech stocks response significantly to firm-specific news. Lastly, share prices only response significantly to firm-specific news regarding to business operation. There are no significant responses to firm-specific news regarding to earnings result, capital budgeting or other news.