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研究生:陳政文
研究生(外文):Chen Cheng Wen
論文名稱:交易與非交易時間盈餘宣告之日內市場反映
論文名稱(外文):The Intraday Market Response to Earnings Announcements during Tarding and Nontrading Periods
指導教授:闕河士闕河士引用關係李春安李春安引用關係
指導教授(外文):Horace ChuehChun-An Lee
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:1999
畢業學年度:87
語文別:中文
論文頁數:98
中文關鍵詞:日內效應市場效率性盈餘宣告
外文關鍵詞:intraday effectmarket efficiencyearnings announcement
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摘要
就資訊傳遞速度而言,由於證券交易機構皆有一定的交易時間,在非交易時間中所發生的事件,經由較長時間的充分傳遞,於是在一開盤後,市場便會有明顯而立即的反應,反之,在交易時間中所發生的事件,隨著資訊的陸續被投資人取得,才逐漸反應在股價上,因此在事件發生後的一段時間,股價才會將資訊的內涵加以反應完畢。
本論文欲探討交易時間與非交易時間盈餘宣告之日內市場反應,選取台灣股票上市公司共111個季盈餘宣告事件為本研究之樣本,將樣本區分為交易時間宣告與非交易時間宣告兩組,同時為排除盈餘宣告性質(盈餘成長或下跌)對觀察變數的影響,將其列為控制變數。對各組樣本事件期與正常期之日內交易資料進行實證分析,所得結論大致如下:1.盈餘下跌宣告之異常報酬率發生時點較盈餘成長宣告之異常報酬率發生時點晚,且持續較久。2.交易時間與非交易時間盈餘宣告之日內市場反應無顯著不同。
ABSTRACT
Market efficiency can be found by the speed of market response to new information. Because of the trading hour limit, news released during non-trading hours should have more time to spread the information, so they can be response in the market more quickly than those released during trading hours.
The main purpose of this study is to exam whether the quarterly earnings announcements during nontrading hours can be response more quickly than those during trading hours in Taiwan stock market. The 111 quarterly earnings announcement samples are selected from firms listed on Taiwan Securities Exchange and they are separated into earnings-growing and earnings-falling sample sets. The main findings can be summarized as follows: First, the abnormal return caused by earnings announcements of earnings-falling samples showed up later and last longer than earnings- growing samples. Second, there is no significant difference of intraday market response between quarterly earnings announcements during trading and nontrading hours.
目錄
中文提要……………………………………………………………..i
英文提要…………………………………………………………….ii
誌謝…………………………………………………………………iii
目錄…………………………………………………………………iv
表目錄………………………………………………………………vi
圖目錄……………………………………………………………..vii
第一章 緒論……………………………………………………………1
第一節 研究動機………………………………………………………1
第二節 研究目的………………………………………………………3
第三節 研究限制………………………………………………………4
第四節 論文結構………………………………………………………6
第二章 文獻探討…………………………………………………….7
第一節 日內交易形態實證…………………………………………..7
第二節 日內事件研究………………………………………………14
第三節 盈餘宣告對股價的影響…………..…….…………………18
第四節 文獻評論……………………………..……………………..22
第三章 研究方法……………………………….………………….24
第一節 研究架構與假說……………………..……………………..24
第二節 研究變數的定義與衡量…………….……………………..27
第三節 研究樣本與資料來源………………..……………………..34
第四節 研究實證方法………………………….……………………38
第四章 實證結果分析……………………………………………..43
第一節 盈餘成長(下跌)宣告之日內市場反應實證分析………..43
第二節 交易與非交易時間盈餘宣告之日內市場反應實證分析56
第三節 複迴歸模式橫斷面分析……………………………………84
第五章 結論與建議………………………………………………..89
第一節 結論………………………………………………………….89
第二節 研究貢獻…………………………………………………….90
第三節 相關建議…………………………………………………….91
參考文獻……………………………………………………………92
中文部份……………………………………………………………92
英文部份……………………………………………………………93
附錄一 研究樣本基本資料………………………………………96
(一) 中文部分
余尚武,「台灣證券市場股票上市公司盈餘宣告所含資訊內容之研究」,台灣大學商學研究所未出版碩士論文,民國75年6月。
洪永聰,「台灣股市日內交易買賣壓力與異常現象關聯性研究」,中正大學財務金融研究所未出版碩士論文,民國83年6月。
胡牧,「季盈餘宣告對股價報酬影響之實證」,中興大學企業管理研究所未出版碩士論文,民國86年 6月。
徐忠誠,「台灣股市日內異常之分時效應研究」,淡江大學管理科學研究所未出版碩士論文,民國78年6月。
張鴻基,「財務比率、公司規模與股票超常報酬關係之實證研究」,台灣大學商學研究所未出版碩士論文,民國72年6月。
黃文旭,「台灣股票市場股利政策、盈餘宣告及規模效應的關連性研究」,中興大學企業管理研究所未出版碩士論文,民國85年 6月。
黃子芬,「季盈餘宣告對交易量影響之研究」,台灣大學會計學研究所未出版碩士論文,民國82年6月。
陳立國,「台灣股市量價關係之研究」,台灣大學財務金融學研究所未出版碩士論文,民國82年 6月。
陳北緯,「台灣地區上市公司財務預測宣告前後股票價差行為之研究」,成功大學會計學研究所未出版碩士論文,民國84年6月。
潘璟靜,洪仁杰,劉玉珍,「臺灣股票市場日內報酬、成交量與買賣張數比關係之實證研究-- VAR模型之應用」,中國財務學會年會論文集,民國83年12月。
鄭淙仁,「台灣股市日內價量之研究」,政治大學企業管理研究所未出版碩士論文,民國81年 6月。
(二) 英文部分
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Kiely, Joseph K., 1993, “An Examination of Returns and Bid-Ask Spreads on the Ex-dividend Day”, Ph.D. dissertation,Texas A&M University.
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