| Summary: | 碩士 === 國立宜蘭大學 === 應用經濟學系碩士班 === 98 === In recent years, many scholars questioned the efficiency of markets, and the most representative research is the overreaction hypothesis proposed by DeBondt and Thaler (1985). They suggests that investors can obtain excess returns by using contrary strategies which means buying undervalued stocks held by the past losers and selling overvalued stock held by the past winners. However, Taiwan stock market is also shocked by the global financial tsunami. Therefore, the event inspires this paper to study whether Taiwan stock market overacts to the global financial tsunami. The paper uses daily data of Taiwan listed companies between 2003 and 2008 to form winner portfolios and loser portfolios during several sub-periods respectively. To verify the overreaction of Taiwan stock market, this paper follows the methodology of cumulative abnormal return (CAR) provided by DeBondt and Thaler (1985) and adopts event study method to observe the changes of abnormal return after and before the event day. Besides, some researchers believe that the excess return is caused by size effect and January effect. Therefore, this paper also verifies the overreaction of stock market under controlling the variables of firm size and month. According to the empirical results, the short-term overreaction hypothesis is supported and the long-term overreaction hypothesis is not supported. After controlling the size effect and month effect, the long-term overreaction phenomena is still not significant.
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