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題名：臺灣股票市場減資效應之實證
作者：黃永成 引用關係
作者(外文)：Yung-Cheng Huang
校院名稱：國立中正大學
系所名稱：財務金融所
指導教授：王元章
林岳喬
學位類別：博士
出版日期：2008
主題關鍵詞：現金減資；彌補虧損減資；市場微結構；流動性；波動性；效率性；買賣價差；非平衡買賣單；累計平均異常報酬；Cumulative Average Abnormal Return；Order Imbalance；Bid-Ask Spread；Capital Reduction；Market Microstructure；Liquidity；Volatility；Market Efficiency
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本研究主要在探討臺灣股票市場2002年7月1日至2007年6月30日期間依公司法宣告減資的上市、上櫃公司對股票市場的衝擊。本研究主要分為兩部分，第一部分為減資事件宣告期間對市場微結構的影響；第二部分為減資事件宣告期間，事件公司股票的買賣價差、異常成交量與累計平均異常報酬率的關係。
第一部分，在股票流動性方面，實證結果驗證，減資事件宣告後股票流動性顯著的變好；且事件宣告後樣本組公司比對照組公司有較高的股票流動性。在股價波動性方面，實證結果驗證，依減資之樣本公司於事件宣告後會顯著的增加股價之波動性，對照組公司則不顯著；且於事件宣告後減資之樣本公司比對照組公司具有較高的股價波動性。對於市場效率性的檢定，實證結果驗證臺灣股票市場不具有效率性。可歸納出兩個推論：一、臺灣股票市場對於正面訊息的反應，較具效率性；對於負面訊息的反應則不具效率性，容易產生過度反應的現象。二、臺灣股票市場不具有效率性，投資人會有追漲殺跌的傾向，若能適時的操作可得超額報酬。
第二部分，實證結果驗證，在公司法減資事件宣告後會降低累計平均異常買賣價差百分比，增加累計平均異常非平衡買賣交易量（或累計平均異常成交量）。現金減資的公司會有正的累計平均異常報酬率，彌補虧損減資的公司具有負的累計平均異常報酬率。在聯立方程組的實證中，不論上市或上櫃的公司，當公司宣告即將進行公司法減資時，於事件期間對累計平均異常買賣價差百分比、累計平均異常非平衡買賣單交易量（累計平均異常交易量）與股票累計平均異常報酬率都會造成影響，而且三變數皆具公司規模效果。
This study is to investigate the market reactions to the announcement of capital reduction event based on the intra-day trade data from July 2002 to June 2007. Our empirical studies include the following two parts. First, it addresses the influence of the declaring period of capital reduction event on market microstructure. The second part concerns the relationship of the bid-ask spread, abnormal trading volume and the cumulative average abnormal return during the declaring period of capital reduction event.
In the part one, the empirical results can prove: After the declaration of capital reduction the liquidity significantly becomes better. Regarding the aspect of price volatility, after the declaration of capital reduction the price volatility significantly increases. About the market efficiency, the empirical results indicate two inferences. One is to respond to the positive information with high efficiency. On the contrary, it behaves inefficiently with respect to negative information. Another one is the Taiwan’s stock market is still characterized by not being sufficiently efficient.
In the second part, the empirical results is the post announcement of Company Act capital reduction event to be decreases the bid-ask spread and increases cumulative abnormal non-balanced volume, cumulative abnormal trading volume. The reducing capital with case, it have a positive cumulative abnormal return. But the reducing capita reason is an offset to cumulative loss, it have a negative cumulative abnormal return.
It is noted that, from the empirical results of simultaneous equations, for either TESC or OTC companies, when a firm declares it starts capital reduction, the event period influences the bid-ask spread, cumulative abnormal non-balanced volume, cumulative abnormal trading volume and cumulative abnormal stock return. Three of them also have significant effect of firm size.
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