臺灣博碩士論文加值系統

本研究利用台灣經濟新報資料庫(TEJ)中，2008年4月至2010年8月臺灣證券市場中全體上市公司(金融業除外)之日資料。
探討資券互抵交易比重不同的證券族群之資訊不對稱程度。另外，參考過去文獻加入影響資訊不對稱的相關變數，藉由將所有觀察樣本依資券互抵比重分組，探討不同資券互抵比重的證券族群於不同的股市景氣狀況下，與資訊不對稱相關變數之關聯性。此外，本研究亦探討不同資券互抵比重之證券族群在不同股市景氣狀況下，盈餘宣告日前後公司釋放好壞消息所造成的累積異常報酬與宣告價格漂移(Post Earnings Announcement Drift, PEAD)現象，進而形成一套短期投資組合策略供投資人參考。
研究發現，就整體研究期間或市場處與下跌階段，資券互抵交易比重最高的證券其資訊不對稱程度亦較大，故資券互抵交易者可能屬於資訊交易者(informed traders)；而在市場上漲及平盤階段，資券互抵比重最高的證券資訊不對稱程度最低，故此時期的資券互抵交易者較有可能為具有雜訊交易者(noise traders)或僅是流動性的提供者；同時，資券互抵交易者無論股市景氣狀況為何，也多以週轉率高、過往股價波動度高、法人持股比重高且市值偏低的公司作為資券互抵之目標。另外在整體研究期間或市場處於上漲及平盤階段，投資人於盈餘宣告前一日可自釋放好消息的公司中，購入資券互抵比重最低且賣出資券互抵比重最高的證券形成投資組合，持有至盈餘宣告日後隔日即有正報酬；而無論市場處於何種階段，可載盈餘宣告隔日自釋放好消息的公司中，買入資券互抵比重最低且賣出資券互抵比重最高的證券形成投資組合，並持有至盈餘宣告一個月，即以正報酬產生。
藉由本研究實證結果發現，資券互抵交易行為與其對市場造成的影響，將會因不同股市景氣狀況而有所改變；就一般投資人而言，可做為日後投資或交易策略的參考；就我國主管機關而言，可做為日後對於資券互抵交易制度的擬制及管制措施，可視股市景氣狀況有所調整，進而使我國證券市場於不同股市景氣狀況下，皆能健全且完善發展。

In Taiwan stock market, day trading is so called “Margin Netting”. This study focus on the day traders’behavior under different market situations form April, 2008 to Auguest, 2010. Also, there are some information asymmetry factors discussed in this study. While using the difference between effective spread and realized spread to measure information asymmetry, this study analysis investors doing margin netting under different market conditions while information asymmetry exists. In the findings, which show that when there was financial crisis in 2008, stocks being heavily day traded also with high information asymmetry; when market went up and unchanged, the heavily day traded stocks were with low information asymmetry. Also, we can find that the heavily day-traded stocks were those with high price volatility, high turnover rate, high institutional ownership, and with more analysts following. In the final part of this study, we apply standardized unexpected earnings and cumulative abnormal returns to analysis the pattern of heavily day-traded stocks. It turns out that investors can choose the companies which have positive and highest standardized unexpected earnings, forming the portfolio by buying stocks with low day-traded and selling heavily day traded stocks, keeping this portfolio about one to two months, thus would generate positive returns. The scale of margin netting in Taiwan is quite small than other countries, from this study, investors can refer to it and form their own portfolio , or, use margin netting as an indicator to measure information asymmetry content about the companies. For Financial Supervisory Commision, this study can be refered to using different regulations on margin netting when markets under different conditions, thus making Taiwan stock market to be well-developed in the near future.

第壹章 緒論 6
第一節 研究背景與動機 6
第二節 研究目的 8
第貳章 文獻探討 10
第一節 日內交易 (Day trading) 10
第二節 買賣價差與資訊不對稱 13
第三節 國內外文獻整理 15
第参章 交易制度及研究方法 16
第一節交易制度介紹 16
第二節 研究方法 18
第三節 資料來源 21
第四節 變數定義及衡量 22
第肆章 實證結果分析 29
第一節資券互抵行為與資訊不對稱程度變化 29
第二節資券互抵交易比重高低與資訊不對稱程度之關聯性 34
第三節盈餘宣告之未預期盈餘與資券互抵交易投資組合之累積異常報酬探討 47
第伍章 結論與建議 54
第一節 研究結論 54
第二節 研究限制與建議 56
參考文獻 59

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