| dc.contributor.advisor | 姜堯民 | zh_TW |
| dc.contributor.author (Authors) | 嚴佑慈 | zh_TW |
| dc.creator (作者) | 嚴佑慈 | zh_TW |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:21:55 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:21:55 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:21:55 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094357030 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34073 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 94357030 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 本篇論文主要探討台灣股市盤後交易的資訊性。所追蹤的資訊傳遞過程如下：以盤後交易為起點，進一步探討隔夜的意見差異因盤後交易所產生的影響，最後將盤後交易次日的股市收盤作為資訊傳遞的終點，以日股價報酬率測度盤後交易的資訊性表現。實證係採盤後交易量作為盤後交易的替代變數，另外使用開盤買賣價差、開盤首筆成功交易所需秒數與法人買賣超股數作為意見差異的三個替代變數。分別將以上的替代變數與股價報酬率作出迴歸分析，以求了解兩兩間的關係以及每段過程的變化，最後將前後連貫，作成完整的分析。實證結果發現，盤後交易使得隔夜意見差異增加、投資人意見差異會降低股價報酬、並且透過意見差異，盤後交易資訊使股價報酬減少。在實證分析時並考慮到控制變數：公司市值、市場成交量、盤後交易日個股報酬率、盤後交易日個股成交量、盤後交易日市場報酬率、內部人持股率、產業類型以及跨夜報酬率。由結果得知現行台灣盤後交易制度的限制：以固定價格交易，反而使盤後交易的資訊難於被一般投資人解讀。另外，意見差異在資訊傳遞的過程中扮演了重要的中介角色，在盤後交易的資訊影響到意見差異之後，盤後交易的資訊經過轉化，最後會對股價報酬產生影響。 | zh_TW |
| dc.description.abstract (摘要) | This article mainly investigates the informativeness of after-hours trading in Taiwan’s stock market. The information-delivery process tracked is as follows: information abstracted from after-hours trading session, and then observe the divergence of opinion because of trading after hours, end up with measuring the change of the next normal trading day. We use stock price return as a dependent variable in regressions to examine the impacts.In the empirical part, trading volume in after-hours session is the proxy of after-hours trading. The percentage opening spread, time of first trade, and flipping ratio are the three proxies of divergence of opinion. Then regression analysis is applied to examine the relationship between after-hours trading and divergence of opinion, also divergence of opinion and stock price return. At the end, all separate parts are put together in order to form a whole picture.The empirical results suggest that after-hours trading widens the divergence of opinion, and a wide divergence of opinion decreases the stock price return. Through the specific channel, divergence of opinion, the informativeness of after-hours trading is led to affect stock price return. The analysis also considered the following control variables: company market value, market trading volume, stock price return, stock trading volume, market return, insider ownership, industry type and overnight return.Therefore, restrictions in Taiwan’s after-hours market, such as the fixed-price trading, make it more difficult for the public to read information from after-hours session. Moreover, divergence of opinion is served as an important intermediary in the information-delivery process. When the divergence of opinion is affected by after-hours trading the previous day, the information is also transformed and pushed forward to affect the stock price return. | en_US |
| dc.description.tableofcontents | 第壹章、緒論 1第一節 研究動機 1第二節 研究目的 2第三節 研究限制 2第四節 研究架構與內容簡介 3第貳章、制度介紹與文獻回顧 5第一節 制度介紹 5（一）台灣股市盤後交易制度 5（二）各國證交制度 6美國盤後交易制度 6亞洲主要證券市場的場外交易制度 8第二節 文獻回顧 9（一） 資訊交易相關文獻探討 9（二） 盤後交易相關文獻探討 11國內文獻 11國外文獻 12第三節 意見差異相關文獻探討 14第四節 小結 16第參章、研究方法 17第一節 資料來源 17第二節 資料處理 17第三節 變數操作型定義 18(一)盤後交易量變數 18(二)意見差異變數 18(三)其他控制變數 20第四節 研究設計與假設建立 23第肆章、實證結果與分析 29第一節 敘述統計 29(一)盤後交易相關統計 29(二)各變數敘述統計 32第二節 迴歸分析結果 34(一)盤後交易與意見差異 34(二)意見差異與股價報酬 37(三)盤後交易與股價報酬 39(四)意見差異預測股價報酬 41(四).1意見差異之股價報酬預測能力 42第伍章、結論與建議 45第一節 結論 45(一)盤後交易與意見差異 45(二)意見差異與股價報酬 46(三)盤後交易與股價報酬 46(四)盤後交易造成意見差異與股價報酬 47(五)小結 49第二節 建議 50(一)對政策制定者之建議 50(二)對後續研究者之建議 50參考文獻 51 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094357030 | en_US |
| dc.subject (關鍵詞) | 盤後交易 | zh_TW |
| dc.subject (關鍵詞) | 意見差異 | zh_TW |
| dc.title (題名) | 台灣股市盤後交易造成意見差異對股價報酬之影響 | zh_TW |
| dc.type (資料類型) | thesis | en |
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