摘要 由於科技的進步和網際網路的發達，投資人現在能夠更即時的取得破產的相關資訊，市場效率性也因此而大幅改善。由於之前多數的研究都偏重於日資料的分析，因此本文主要用日內的資料來測試市場對破產宣告的反應，並對市場的效率性作更進一步的分析。本研究首先以日資料的分析來確定樣本的正確性，進一步再用日內的資料來研究破產宣告對破產公司及其同業的影響，並探討影響破產衝擊的因素和投資人的反應。研究結果發現，破產宣告會對破產同業公司帶來傳染效果和競爭效果。而此兩種效果會對股價調整速度、交易量和交易筆數等產生不同的影響。 Abstract This paper investigates the effect of bankruptcy announcements on the stocks of bankrupt firms and their competitors. In our intraday analysis, both bankrupt firms and their competitors suffer large losses in the of the bankruptcy announcements. We also find contagion and competitive effects exist in intraday data and these effects will affect stock price reaction in different ways. Candidates for the contagion effect experience a large significant loss immediately following the announcement, and their trading intensity increases first and then decreases. However, contrary to expectation, candidates for the competitive effect also have a significant negative return, supporting that the competitive effect is dominated by the contagion effect in the intraday data. We also find that the trading intensity of firms subject to potential competitive effects does not change so much. Moreover, we investigate the order imbalances and discover that the order imbalances tend to be negative for bankrupt firms and their competitors after the bankrupt announcements and the contagion and competitive effects do not influence the behavior of the order imbalances.
