處置股投資決策進出場點之研究 ─以台灣上市/上櫃公司為例

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Title:	處置股投資決策進出場點之研究 ─以台灣上市/上櫃公司為例
Authors:	蘇文德;SU, WEN-TE
Contributors:	高階主管企管碩士班
Keywords:	處置股;事件研究法;超常報酬;累積超常報酬;警示制度;disposal securities;event study method;abnormal returns;accumulated abnormal returns;disposal securities
Date:	2024-04-02
Issue Date:	2024-10-09 16:21:44 (UTC+8)
Publisher:	國立中央大學
Abstract:	本論文以上市櫃警示制度下的處置股為研究對象，並以事件研究法(Event Study)來分析個股在被主管機關宣告處置的前、中、後期，股價的變化相對於同期間大盤走勢，並以此找出期間之報酬(R)、超常報酬(AR)、累積超常報酬(CAR)，冀望藉研究能觀察到模型架構，以提供投資人做為進入股票市場遇到處置股時對應投資決策之參考。本研究發現，個股於上漲趨勢中被處置期開始前，會出現量增價漲的進場點，處置期間的交易方式與信用交易變更，讓成交量大幅度減少，股價處於平盤或下跌調整，此時應持有與等待﹔處置結束後，成交量增加而股價會上下震盪，此時操作策略注意成交量增時賣出持股。此操作模式雖不一定是獲利最高的進出點，但有成交量可以較容易出場並有相對高之獲利與勝率。 ;This paper takes the disposal stocks under the OTC warning system as the research object, and uses the event study method to analyze the stock price changes in the TAIEX of individual before, during and after the disposal is declared by the competent authority relative to the trend of the market during the same period. , and we can figure out the change value (R), abnormal return (AR), and cumulative abnormal return (CAR) during the period. in the hope developing a model structure and providing investor with a reference point of marketing investment decisions when a stock encounter an announcement of disposition. The finding of this study is that before the disposal period begins for disposal securities in an upward trend, there will be an entry point with an increase in volume and price. Changes in trading methods and credit transactions during the disposal period will significantly reduce trading volume and keep the stock price at a flat level. The market may adjust downward. At this time, hold and wait. After the disposal is completed, the trading volume will be increase and the stock price will fluctuate up and down. At this time, the operation strategy should pay attention to selling out the holdings at a profit when the trading volume increases significantly.
Appears in Collections:	[Executive MBA] Electronic Thesis & Dissertation

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