How does News of the Market Observation Post System Affect Stock Return？ Evidence from Intra- and Inter-day Analyses in Taiwan Stock Exchange

• Main Authors: Tsai, You-Da, 蔡侑達
• Other Authors: Hung, Pi-Hsia
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/65186245426521372859

碩士 === 國立暨南國際大學 === 財務金融學系 === 100 === This paper investigates the impact of issuing news in Market Observation Post System on stock prices in Taiwan Stock Exchange. The time horizons for calculating stock returns after issuing news range from thirty minutes to one year. This study includes many issues that previous literatures does not mention, such as issued bonds, investment in China, overseas investment, purchase bonds, purchase real estate, purchase financial commodity, disposal of properties, clarify reports and penalty. When analyzing the influence of the public information on the stock price, the time unit discussed is the changes of the intra-day stock price within minutes and hours, and it compensates the previous literatures. The research subject includes：(1) Discussion of influence of different kinds of public information on stock returns.(2) Examination whether there is difference between the influences of good news and bad news on stock returns.(3) Investigation of the difference of kinds of investors’ influence on stock returns after the public information.Empirical indicates that after the information announcement of investment in China, the stock price increase within two months due to the influence of net buy activity of a foreign investors.And after the information announcement of overseas investment, the intra-day stock price increases due to the influence of net buy activity of foreign investors and natural person.And after the information announcement of clarify reports, the stock price increases persistently due to intra-day influence of net buy activity of foreign investors and other institutions and net buy activity of mutual funds within a year.And all kinds of investors’ reflection to bad news is slower than to good news, and it is consistent with the viewpoint of Hong, Lim and Stein (2000).After the public information announcement, the net buy activity of mutual funds and natural person over good news have different preference and stocks advance results under intra- and inter-day analyses.And net buy activity of other institutions over bad news have different preference and stocks fall results under intra- and inter-day analyses.