臺灣證券市場填權息現象之研究

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/19465

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Title:	臺灣證券市場填權息現象之研究
Other Titles:	A Study of after Ex-Right and Ex-Dividend Days of Taiwan Stock Market
Authors:	翁嘉雯 Weng, Chia-wen
Contributors:	財務金融學系財務管理碩士班白宗民 Tzung-min Pai
Keywords:	logistic迴歸模型;除權息 logistic regression model;Ex-Right and Ex-Dividend
Date:	2009
Issue Date:	2015-03-16 10:25:34 (UTC+8)
Abstract:	臺灣證券市場每年在除權息期間有填權息之現象，本研究以台灣證券交易所掛牌上市公司依2002 年到2007 年期間進行除權息公司為研究對象。依基本面、財務面、籌碼面、股利政策面、市場面五大面向分別對類股運用logistic 迴歸模型加以驗證探討哪些變數對在出現填權息現象的時間點上有無顯著之影響。　　　影響整體填權息現象實證結果如下：1.股利政策中的(EPS-總股利)中僅有電子類股在第二個月填權息現象內多頭市場中呈現正相關。而在股利政策面中裏的高配股愈率中電子類股與其它類股在第一個月內與在第二個月內填權息現象為負相關。　2.籌碼面部份董監事持股率電子類股與營建類股在第一個月內空頭市場出現負相關，在多頭市場中呈現正相關。而在籌碼面部份外資持股率中電子類股與其它類股在第一個月內與在第二個月內填權息現象都呈現正相關。　3.財務面股東權益報酬率中電子類股、營建類股與其它類股在第一個月內與在第二個月內填權息現象都呈現負相關。　　　反之，在基本面中的股本、高股價與財務面中的本益比則無較顯著之影響。　　Ex-right and ex-dividend -bearing securities market in Taiwan during the annual of price recovery patterns phenomenon, this study in accordance with the sample firms are collected listed on TSEC from 2002 to 2007 ex-right and ex-dividend during. By fundamentals factor, the financial factor, chips factor, dividend policy factor, the market factor five factor, respectively be verified using logistic model to explore what factors influence whether the phenomenon of the point price recovery patterns in time a significant effect.　　　Affect the overall price recovery patterns phenomenon empirical results are as follows:1. Dividend policy of the (earnings per share - total dividends), the only electronic stock in the second month fills in the power rest phenomenon in the bull market to present positive correlation. In dividend policy factor, the more with high share in the rate of electronic stocks and other stocks and other stocks within one month in the first and second months fill right to interest phenomenon to present negative correlation.　2. The chips surface and board of directors face part of the ownership rate of electronics stocks and Taiwan listed construction companies stocks to the bear market to present the negative correlation in the first month, presents in the bull market is positive related. In the chip surface part of the foreign shareholding ratio in the electronics stocks and other stocks within the first month in the second month to present positive correlation.　3. The financial factor of the return on equity，construction in the electronics stocksand other stocks and the Taiwan listed construction companies stocks in the first month inside with in the second month inside to present the negative correlation.　　　On the contrary, in the fundamentals factor of capital and high stock prices and financial factor of the PE ratio had compared with no significant effect.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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