臺灣博碩士論文加值系統

本研究以台灣上市公司資料為基礎，使用事件研究法來了解不同投資族群的交易量對股價的影響。資料樣本採自2012年至2015年台灣上市股票公司共106家與其公告日資料進行分析，以股票市場於發佈日前後一天之交易量推算投資群是否早已得知該消息。結果發現異常報酬與交易量兩部分均有顯著反應。
根據本文研究結果可知：
一、 在公司公佈財報的事件期，企業股價及交易量之間確實存在其資訊意涵。在每股盈餘比去年同期表現好的公告事件期，所有投資群交易量對股價於皆具有即時性的反應，投資群可藉由得知消息以獲得異常報酬。
二、 散戶對每股盈餘比去年同期表現差的公告事件具有即時性的反應，藉由提前得知事件消息做損失避險。

This study uses the event study method to realize the fluency of trading volume by different investors groups. The research’s data are based on the information of 106 listed companies in Taiwan and their statement dates during 2012-2015, and the stock trading volume in 10 days before and after the statement, reckoning whether the investor groups have got the information earlier than formal announcement. After the analysis, the result demonstrates the parts of abnormal return and transaction have positive reaction. According to results, we can comprehend:
1. The date of publishing statements, the stock price and trading volume has absolute relation. During the events that the EPS was higher than before, all of the investor groups would have immediate reaction. The investors can earn the abnormal return by knowing the statement earlier than announcement.
2. The retail investors had immediate reaction during the events that the EPS was lower than before. They can make the risk hedge by knowing the news early.

目錄
摘要 I
Abstract II
目錄 III
圖目錄 V
表目錄 VI
第壹章　緒論 7
第一節　研究背景與動機 7
第二節　研究目的 9
第貳章　文獻探討 11
第一節　資訊不對稱 11
第二節　資訊內涵，投資人情緒與投資行為 11
第三章　外資表現 12
第四節　國內投資者表現 12
第五節　交易量表現 13
第六節　事件研究法 14
第參章　研究方法 16
第一節　研究設計 16
第二節　樣本選取與資料來源 24
第肆章　實證結果與分析 25
第伍章　結論與建議 33
第一節　結論 33
第二節　未來研究及建議 33
參考文獻 35

參考文獻
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