本文以風險與報酬關係式分析不同的總體經濟事件對市場衝擊的影響，並以台灣股票市場為例。其中事件類型包括：可預測與不可預測、壞消息與好消息、政治與非政治等三類型事件。同時本文納入事件前、事件後的事件衝擊表現分析，藉此判斷事件是否存在消息洩露或延遲反應的現象。實證結果發現：(1)報酬和波動度面對不同事件類型存在不同的統計特性。市場對不可預測的、壞的及政治的事件影響較為顯著。(2)在事件前、事件日和事件後視窗的風險與報酬關係不一致，可能源自於事件前、事件後及事件日視窗存在不同的市場行為。(3)台股市場存在資訊洩露及延遲反應的現象，屬於非效率市場。 This article studies the impact of an event on the pattern of the risk-return relationship that is accompanied by the release of different types of event, all study evidences on Taiwan stock market. According to the empirical results, there are three main findings: (1) The market return and market volatility have distinct statistical characteristics for different types of event. In general, the impact of an event on a market associated with bad, unexpected, or political type of event is more significant than with other types of event. (2) The risk-return relationship is inconsistent over the event period resulting from the market activities during the pre- and post-event windows. Furthermore, the inconsistency conditions what the type of the event is. (3) The efficient markets hypothesis appears to be rejected by the Taiwan stock market because of prior-event information leakage and the delayed-response effect during the post-event window.
