本文探討臺灣股市異常報酬率，是否受金管會政策宣告之影響，觀察其事件期之報酬續變化及是否存在異常報酬現象。 本研究以台灣上市櫃股價與八大類股股價作為研究標的，其中八大類股包含電子類、食品類、鋼鐵類、塑化類、紡織類、航運類、汽車類及金融類，首先以開放證券自營商得以漲(跌)停板價格申報買進(賣出)有價證券。其次，投資人得以現股從事先買後賣之當日沖銷交易(現股當沖)，先買後賣的現股當沖交易。第三，開放資券互抵不計入融資融券餘額。以上述三個事件為宣告日，驗證金管會相關措施宣告是否造成股價異常報酬。實證結果顯示，政府政策宣告對於股市是否產生異常報酬，結論為是，但無法保證一定為正向異常報酬。 This paper investigates whether the abnormal rate of return on Taiwan stock market is affected by Financial Supervisory Commission (FSC) policy. In this study, the Taiwan listed stocks and eight categories of stocks are as a research sample, which contains electronics, food, iron and steel, plastics, textile categories. First, FSC open dealer can buy (sell) stocks using limit up (down) price. Second, investors can buy or sell 200 stocks using day trading. Third, FSC opens the business of day offset of margin purchasing and short selling and the business does not count into the balance of margin purchasing and short selling. The empirical results show that different policy can bring different benefits.
