處置制度對股票異常報酬之影響

Abstract

監視制度在臺灣股市蓬勃發展之今日顯得格外重要，民國83年開始實施處置制度，直至民國103年4月制度更新才建立起與現行制度接近一致的規定。但過往文獻幾乎沒有對於因處置制度法規變革而造成異常報酬影響的研究，且在實證上常使用事件研究法，以真實處置樣本分析為主。本研究以103年4月為分界點，分別取前後五年做為實證區間，比較兩區間因制度變革而造成股票異常報酬之影響，研究兩個主題：(1)處置制度是否有收斂及加速消弭異常報酬之效果；(2) 103年4月後之處置制度是否有收斂及加速消弭異常報酬之效果。實證結果如下：(1)在「連3日第一款注意」處置類型上，就處置期間累積異常報酬而言，沒有顯著一致的結果，意即有無處置對股票異常報酬收斂情形並沒有顯著有效的論證；而對於加速消弭異常報酬，以因累積異常報酬為正進處置之樣本為例，平均異常報酬轉負天數1.67顯著小於沒有處置之2.01 (2)「連5日注意」處置類型之實證，103年4月後之處置制度不僅在累積異常報酬檢定上可驗證比前段期間更有收斂異常報酬的效果，也在加速消弭異常報酬上取得更顯著的實證結果。總結來說，雖然就處置期間累積異常報酬，有處置制度沒有特別顯著收斂異常報酬的效果，但在加速收斂異常報酬則有顯著結果，且因為處置制度造成流動性差異，平均成交量銳減至原先的40%-50%，相對來說超漲超跌個股之成交金額也減少了不少，整體而言還是達到了主管機關的目的；就103年4月後之處置制度，不論是收斂或加速異常報酬，都有比前段期間更顯著的效果。

The surveillance system in Taiwan's stock market has become particularly important today. The implementation of the disposal system began in the year 1994 and continued until April 2014 when the system was updated to establish rules closely aligned with current regulations. However, there is scarce research on the impact of abnormal returns caused by changes in disposal system regulations in past literature, and empirical studies often use event study methodology, focusing primarily on real disposal samples for analysis. This study uses April 2014 as a dividing point, taking the preceding and following five years as empirical intervals to compare the impact of system changes on abnormal stock returns between the two periods. The research focuses on two main themes: (1) Whether the disposal system has the effect of convergence and accelerating the elimination of abnormal returns; (2) Whether the disposal system after April 2014 has the effect of convergence and accelerating the elimination of abnormal returns. The empirical results are as follows: (1) For the "first warning for three consecutive days" disposal type, in terms of cumulative abnormal returns during the disposal period, there is no significant consistent result, indicating that the presence or absence of disposal does not significantly converge abnormal returns for stocks. Regarding the acceleration of eliminating abnormal returns, for example, the average number of days with negative cumulative abnormal returns after the disposal is 1.67, which is significantly lower than 2.01 for stocks without disposal. (2) Empirical evidence for the "warning for five consecutive days" disposal type shows that the disposal system after April 2014 not only confirms a convergence effect in cumulative abnormal returns compared to the earlier period but also achieves more significant empirical results in accelerating the elimination of abnormal returns. In conclusion, while there is no significant convergence effect of abnormal returns due to the disposal system during the disposal period, there is a significant result in accelerating the convergence of abnormal returns. Due to differences in liquidity caused by the disposal system, average trading volume has decreased by 40%-50% compared to before, and consequently, the number of equity investors affected by excessive fluctuations has also decreased significantly. Overall, this has achieved the regulatory authorities' objectives. Regarding the disposal system after April 2014, there are more significant effects in both convergence and acceleration of abnormal returns compared to the earlier period.