台灣市場之資訊不對稱、資訊不確定性與動能現象

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姓名

陳鈺洺(Yu-Ming Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

台灣市場之資訊不對稱、資訊不確定性與動能現象
(Information Asymmetry, Information Uncertainty, and Price Momentum in Taiwan Stock Market)

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摘要(中)

動能現象的學術研究中，以行為財務學為主要研究觀點，其中以資訊因子最為重要。本文以資訊不確定性以及資訊不對稱程度為解釋變數，研究台灣股票市場的動能現象是否受資訊因子影響。本文研究對象為台灣證券交易所之所有上市公司，研究期間為2003年8月至2011年12月，共101個月份。本文以Jegadeesh and Titman (1993) 所提出的 JT (6.1) 策略建構動能投資組合，檢驗台灣股市的動能效果，並採用投資組合分析法及Fama & French三因子模型 (Fama and French, 1993) 檢驗資訊不確定性及資訊不對稱程度是否能夠解釋台灣股市的動能現象。實證結果發現台灣股票市場存在「中期動能」現象，而且資訊不確定性與資訊不對稱程度分別對台灣股市的動能現象具有解釋能力；然而，在控制資訊不對稱之影響後，資訊不確定性則不再對動能現象具有解釋能力；但是在控制資訊不確定性之影響後，資訊不對稱程度依然對台灣股票市場動能現象存在解釋能力。這些結果顯示，資訊不對稱程度為台灣股市動能現象的主要解釋因子。

摘要(英)

In the academic research about momentum phenomenon, the behavioral finance is the major viewpoint, and information factor plays and important role. This thesis uses information uncertainty and information asymmetry to proxy the information factor, and investigates whether momentum effect can be explained by information factor. The sample data include all listed companies in the Taiwan Stock Exchange, covering the period from August 2003 through December 2011, with a total 101 months. Using the JT (6.1) strategy proposed by Jegadeesh and Titman (1993) to form momentum portfolios, this thesis examines the momentum effect in Taiwan stock market. Adopting the approach of portfolio analysis and Fama & French three factors model (Fama and French, 1993), thesis tests whether information uncertainty and information asymmetry can explain momentum phenomenon in Taiwan stock market. Empirical results show that there exists mid-term momentum in Taiwan stock market, and that information uncertainty and information asymmetry can individually explain such momentum phenomenon. However, after controlling the information asymmetry, information uncertainty cannot explain the momentum phenomenon anymore. After controlling information uncertainty, information asymmetry still can explain the momentum phenomenon in Taiwan stock market. These results suggest that information asymmetry is the major factor that explains momentum phenomenon in Taiwan stock market.

關鍵字(中)

★ 動能現象
★ 資訊不確定性
★ 資訊不對稱

關鍵字(英)

★ Momentum
★ Information uncertainty
★ Information asymmetry

論文目次

中文摘要..........................................i
Abstract.........................................ii
目錄.............................................iii
表目錄............................................iv
圖目錄............................................iv
第一章緒論........................................1
第一節研究動機..................................1
第二節研究目的..................................3
第三節論文架構..................................5
第二章文獻回顧與探討................................6
第一節動能策略相關文獻...........................6
第二節解釋動能相關文獻............................8
第三節機構法人資訊地位相關文獻....................11
第三章樣本、研究方法與設計..........................16
第一節資料來源與研究期間.........................16
第二節變數定義..................................17
一、動能部分..................................17
二、資訊不確定性代理變數.......................18
三、資訊不對稱代理變數.........................19
第三節研究假說..................................20
第四節研究方法與設計..............................20
一、動能投資組合...............................21
二、Fama and French 三因子模型.................21
三、動能報酬與資訊不確定性相關性.................22
四、動能報酬與資訊不對稱相關性...................22
五、資訊不確定性及資訊不對稱與動能報酬相關性.......22
第四章實證結果與分析.................................24
第一節動能投資組合...............................24
第二節動能報酬與資訊不確定性相關性.................24
第三節動能報酬與資訊不對稱相關性...................25
第四節控制資訊不確定性後，資訊不對稱與動能現象相關性..27
第五節控制資訊不對稱後，資訊不確定性與動能現象相關性..28
第五章結論..........................................30
參考文獻.............................................31

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指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2013-7-15

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