| Summary: | 博士 === 國立臺灣科技大學 === 企業管理系 === 89 === Whether the stock market follows the efficient market hypothesis is an important topic. It is an interesting topic to test whether Taiwan stock market, constrained by price limits, follows the efficient market hypothesis.
If the stock price hits up-limits or down-limits, the impact of information on stock prices will be truncated and this truncated information value will be delayed to the next trading day. Moreover, investors tend to overreact to new information. If so, the truncated impact of new information will contain the overreaction effect.
The null hypothesis is that the stock price follows the efficient market hypothesis. In contrast, the alternative hypothesis, or the overreaction hypothesis, is that investors overreact to new information. This dissertation examines the two hypotheses by separating the abnormal return into two components, the overnight abnormal return and the trading period abnormal return, to analyze the stock price behavior under price limits. The overnight abnormal return is used to measure the extent of price continuation. The trading period abnormal return is used to measure the degree of price overreaction.
Under the overreaction hypothesis, the overnight abnormal return should be positively related to the event day return, and the trading period abnormal return should be negatively related to the event day return. Other topics tested in this research include the magnet effect and the price behavior under different price ranges.
This dissertation employs daily return data from the Taiwan Stock Exchange and uses two different sample periods to test the magnet effect. The findings are as follows:
(1)The overreaction effect exists in the Taiwan stock market. After controlling factors such as the ask-bid spread, company size ,and the benchmark models, the stock price continues its trend during the overnight period and reverses during the next trading period. Thus the price limits delay both the price continuation and the overreaction to the next trading day.
(2)The price behavior of different price ranges is very similar to the price behavior of up-hits and down-hits.
(3)The magnet effect does not exist.
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