探討ETF的資訊傳遞效果 -以台灣電子工業為例;Exploring the Information Transmission Effect of ETFs: A Case Study of Taiwan′s Electronics Industry

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Title:	探討ETF的資訊傳遞效果 -以台灣電子工業為例;Exploring the Information Transmission Effect of ETFs: A Case Study of Taiwan′s Electronics Industry
Authors:	黃楷媜;Huang, Kai-Chen
Contributors:	會計研究所
Keywords:	ETF;電子工業;訊息傳遞;營收公告;未預期營收;累積異常報酬
Date:	2024-06-13
Issue Date:	2024-10-09 17:07:23 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究主要以月營收公告探討台灣指數股票型基金（ETF）是否具有電子工業的公司間的訊息傳遞的效果。研究結果顯示：（1）同產業公司間具有訊息傳遞作用。（2）當電子業公司為ETF成分股會降低公司在營收公告時資訊傳遞效果，且不會受到ETF的類型影響。（3）當電子業公司為ETF成分股會增強公司在營收公告後資訊傳遞的效率，進而減少PRAD，且會受到ETF的類型影響。(4) 當半導體公司為ETF成分股時，會降低公司在營收公告時的訊息傳遞效果，且會受到ETF的類型影響。（5）當半導體公司為ETF成分股時，不會影響公司在營收公告後的訊息傳遞的效率，但ETF的訊息傳遞效果會受到ETF的類型影響。;This study investigates whether Taiwan′s Exchange-Traded Funds (ETFs) have an information transmission effect among companies in the electronics industry during monthly revenue announcements. The results indicate: (1) There is an information transmission effect among companies within the same industry. (2) When electronics companies are ETF constituents, the information transmission effect during revenue announcements is reduced, regardless of ETF type. (3) As ETF constituents, electronics companies show enhanced post-announcement information transmission efficiency, influenced by ETF type. (4) When semiconductor companies are ETF constituents, the information transmission effect during announcements is reduced, influenced by ETF type. (5) The post-announcement information transmission efficiency for semiconductor companies as ETF constituents is not affected, but the effect varies by ETF type.
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