南華大學機構典藏系統:Item 987654321/29168
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    Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/29168


    Title: 台灣盤中零股交易宣告效果之實證－以ETF為例
    Other Titles: Abnormal Returns for Exchange Traded Funds after the Announcement of Intraday Odd Lot Trading
    Authors: 黃北丞
    HUANG, BEI-CHENG
    Contributors: 財務金融學系財務管理碩士班
    賴丞坡
    LAI, CHENG-PO
    Keywords: 指數股票型基金;事件研究法;盤中零股交易
    Exchange Traded Funds(ETF);Event study;Intraday Odd Lot Trading
    Date: 2022
    Issue Date: 2022-09-05 11:58:24 (UTC+8)
    Abstract: 　　本文主要探討在2020年10月26日台灣股市在零股盤中交易，開啟里程碑，做為研究宣告日，研究期間自2020年01月01號至2021年12月31號止，利用事件研究法探討零股在盤中交易此政策宣告對於台灣ETF指數型成分股成交量之影響，且此政策宣告對股市否產生異常報酬率之情形，實證結果顯示盤中零股交易宣告顯著提升台灣ETF指數型成分股之成交量，且此政策宣告對於台灣ETF指數型成分股產生正向異常報酬與正向累積異常報酬，另外，本研究採用多元迴歸探討宣告日前後影響異常報酬與累積異常報酬的因素，結果發現ETF總市值對於異常報酬與累積異常報酬存在正向影響而收盤價與成交筆數對於異常報酬與累積異常報酬則存在反向影響，此結果可以提供投資人參考，並作為長期投資之依據。
    　　This article mainly discusses the intraday trading of the Taiwan stock market on October 26, 2020, which opened a milestone as the research announcement day. The research period is from January 01, 2020 to December 31, 2021, using the event research method examine whether the policy announcement of intraday odd lot trading results in abnormal returns on the stock market. The empirical results show that intraday announcement of intraday odd lot trading produces positive abnormal returns and positive cumulative abnormal returns. The trading volume is increased after announcement of this policy. In addition, this study uses multiple regression to explore the factors that affect abnormal returns and cumulative abnormal returns before and after the announcement day. The results show that ETF trading volume has a positive impact on abnormal returns and cumulative abnormal returns, while both closing price and number of transactions have a negative impact on abnormal returns and cumulative abnormal returns. This result can provide investors with reference and serve as a basis for long-term investment.
    Appears in Collections:[Department of Finance, The M.A. Program of  Financial Management] Disserations and Theses

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