台灣股市效率再檢定－以大立光、宏達電為例

Abstract

本研究取樣自2015年至2017年台股加權股價指數、大立光及宏達電股票之日報酬資料，以事件研究法（event study）檢驗台灣股票市場效率，先將樣本期間前5個單日漲、跌幅最大交易日定義為正、負事件，並分別建構長樣本期間（2015年1月5日至2017年12月29日）、短樣本期間（大立光2016年12月23日至2017年8月24日／宏達電2015年1月26日至8月24日）與長估計期（事前6至200日）、短估計期（事前6至60日）之不同情況，再利用市場模型（Market Model）分別計算事前5日至事後5日之異常報酬進行統計檢定，並深入瞭解資訊來源與可能的影響關係。 研究發現，大立光與宏達電股價在長期正事件下，符合效率市場假說，惟在多數情況下，實證結果符合短期動能現象，且負面消息效果更為明顯，市場存在反應不足現象；其中又以短期（短樣本期間及短估計期）累積異常報酬持續效果較長期（長樣本期間及長估計期）更為顯著。 在面對消息衝擊股價反應方面，發現市場存在「汰弱留強」機制，大立光為長期穩定績優公司，在大漲時會超越大盤表現，而在低檔時則相對抗跌，反之，連年虧損的宏達電股票，面對大盤劣勢跌幅更深，拉漲階段表現又不突出，只能節節敗退。

This thesis applied event study to analyze the efficiency of Taiwan stock market and whether there is significantly abnormal return of the stock by taking daily Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), LARGAN and HTC stock price as the sample data. This research defined that the maximum daily fluctuation of five days as an event, and to construct the long-term (January 5, 2015 to December 29, 2017) and short-term (LARGAN from December 23, 2016 to August 24, 2017 and HTC from January 26 to August 24, 2015); as well as long-term estimation period (from 6 to 200 days in advance) and the short-term estimation period (from 6 to 60 days in advance) for evaluation. Empirical results show the price in Taiwan stock market is efficiency in the long-term and good events. Most of the time, it applies on the phenomenon of short-term momentum in Taiwan stock market and it is even more significant effect when the bad events occur that the market is always underreaction. However, the short-term (or short-term estimation period) accumulation of abnormal returns has more continuous effect than the long-term (or long-term estimation period). In response to the impact of news, it is found that there was a mechanism for “remaining stronger and stabilizing the weaker” to impact stock price. The LARGAN is the outperforming company with stable performance; when the market went up, the stock price followed the trend, and it was relatively defensive to be down when the market went down. On the other hand, the HTC stock price had lost years after years; it went deeply down when the market falling, and no significant rise even the market was up.