探討ETF的資訊傳遞效果 -以台灣電子工業為例

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姓名

黃楷媜(Kai-Chen Huang) 查詢紙本館藏

畢業系所

會計研究所

論文名稱

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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至系統瀏覽論文 (2029-6-30以後開放)

摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ ETF
★ 電子工業
★ 訊息傳遞
★ 營收公告
★ 未預期營收
★ 累積異常報酬

關鍵字(英)

論文目次

一、緒論 1
二、文獻探討與假說建立 4
2-1 ETF對股票的影響 4
2-1-1 價格發現和訊息傳遞 4
2-1-2 流動性 5
2-1-3 波動性 6
2-2 台灣ETF市場的演變及電子業的重要性 7
2-2-1 台灣ETF市場的演變 7
2-2-2 台灣電子工業的重要性 11
2-2-3 小結 12
2-3 國內月營收 17
2-4 假說建立 19
三、研究設計 22
3-1 研究期間與資料來源 22
3-2 樣本篩選 22
3-2-1 ETF 22
3-2-2 公司股票 22
3-2-3 樣本篩選 23
3-3 主要變數 24
3-4 實證模型 28
四、研究結果 32
4-1 敘述性統計與相關係數 32
4-2 實證結果 38
五、結論與建議 51
5-1 研究結論 51
5-2 研究限制 53
5-3 研究貢獻 53
5-4 未來研究建議 54
參考文獻 55

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指導教授

盧佳琪

審核日期

2024-6-13

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