臺灣博碩士論文加值系統

本文檢定F公司新聞事件對公司股價的不對稱反應。使用支援向量機的演算法，並以台灣50成份股的新聞與股價進行詞彙訓練，獲得正負面新聞分類的依據，針對台灣證券市場2016年的F公司為研究觀察樣本，非F公司為對照樣本，檢定F公司在媒體新聞報導揭露訊息後，新聞媒體影響F公司股價反應。實證結果顯示F公司媒體事件日，正面新聞發布影響股價向上反應呈現正相關，然而，負面新聞發布，對於股價價格呈現不顯著。此外，我們也發現投資人對於F公司存在資訊不對稱等疑慮，負面新聞揭露愈多，但其股價下跌有限，正面新聞揭露越多，股價上漲幅度也相對變大。

This article examines the asymmetric impacts from positive and negative news reports on the stock prices of “first listings of companies in Taiwan” (F companies) using Support Vector Machine algorithm on the component stocks in the TSEC Taiwan 50 index, and using relevant words to categorize positive and negative news. This article took F companies in 2016 Taiwan stock market as samples and non-F companies as comparison group；the differences are found in F company stock prices when the media reveals messages. The evidence shows on the day of positive news came out, there is positive correlation between the news and F company’s stock prices；but there is no strong evidence to show negative news has struck F company’s stock prices. Besides, there are asymmetric information phenomenon exists between the investors and F companies；when more negative news revealed, the drop of stock prices slowed down, while more positive news reported there has been a surge on the stock prices.

目錄
誌謝 2
摘要 3
Abstract 4
目錄 5
表目錄 6
壹、前言 7
貳、文獻探討與研究假說 10
一、海外企業來台上市 10
二、新聞媒體 11
三、研究假說 12
參、研究方法 13
一、新聞分類方法 13
二、新聞變數預測股價報酬率迴歸模型 14
三、新聞變數與F公司及國內公司交乘之股價報酬率迴歸模型 14
四、新聞變數與恐慌指數變動之股價報酬率迴歸模型 15
五、新聞變數、F公司及國內公司與恐慌指數變動交乘之股價報酬率迴歸模型 15
肆、研究樣本 16
一、新聞分類樣本 16
二、F公司樣本 17
三、研究變數 17
伍、實證結果 19
一、平均值檢定與敘述性統計分析 19
二、新聞變數影響F公司與國內公司之股價報酬率迴歸分析 20
三、新聞變數與F公司及國內公司交乘之累積股價報酬率迴歸分析 20
四、新聞變數與恐慌指數變動之股價報酬率迴歸分析 21
五、新聞變數與恐慌指數變動交乘之累積股價報酬率迴歸分析 21
六、新聞變數、F公司及國內公司與恐慌指數變動交乘累積股價報酬率之迴歸分析 22
陸、結論 22
參考文獻 24
表目錄
表 一、F公司樣本 29
表 二、股價報酬率及新聞變數敘述性統計 30
表 三、F公司與國內公司平均值檢定 31
表 四、新聞變數影響F公司與國內公司之股價報酬率迴歸分析 32
表 五、新聞變數與F公司及國內公司交乘之累積股價報酬率迴歸分析 33
表 六、新聞變數與恐慌指數變動之股價報酬率迴歸分析 34
表 七、新聞變數與恐慌指數變動交乘之累積股價報酬率迴歸分析 35
表 八、新聞變數、F公司及國內公司與恐慌指數變動交乘之累積股價報酬率迴歸分析 36

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