本研究探討台灣50指數成分股變動造成的異常報酬與超額交易量現象，提供投資人作為選股參考，由於台灣50指數編製依據為總市值，僅使用公開資訊，可以用來檢驗效率市場假說。不同於過去研究的貢獻，本文考慮金融資產報酬的波動群聚現象及模型係數的不穩定性，分別使用卡爾曼濾嘴法及GARCH(1,1) 模型修正，以期獲得較穩健的實證結果。本研究結果發現，新增股及剔除股在宣告日的下一個交易日及生效日的前一個交易日有顯著異常報酬；新增股的累積異常報酬可持續大約兩個工作星期，且新增股有持續的超額交易量情形；而剔除股僅在生效日及生效日的前一個交易日有超額交易量。上述實證結果顯示投資人可利用此公開資訊，獲得異常報酬，不支持效率市場假說。 / We study the price and volume effects following the Taiwan 50 Index revisions. Since the decision to include (exclude) a stock in (from) the index is based merely on market capitalization, it provides a unique opportunity to test the efficient market hypothesis. Our contribution to the existing literature lies in the fact that we employ the Kalman filter approach and the GARCH(1,1) model to allow the parameters instability and time-varying residual variance, and hence to produce more robust empirical results. The results suggest that the newly added stocks and the currently dropped stocks experience significant price changes right after the announcement day and right before the change day; the abnormal returns of the newly added stocks last about two weeks, these stocks also exhibit persistently excessive trading volume while the currently dropped stocks only have excessive trading volume on and right before the change day. These results indicate that investors can earn abnormal returns through public information, and invalidate the efficient market hypothesis.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0095351018 |
| Creators | 紀嘉瑜 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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