本研究將經濟日報頭版新聞，依照重大訊息定義加以區分成好壞消息，並且依照研究常見分類方式，將研究期間區分成多空頭市場，以探究重大訊息宣告對台灣加權股價指數報酬率波動的影響，與重大訊息宣告後對台灣加權股價指數報酬率的傳遞情形及持續期間。實證結果首先顯示，報酬率受多空頭階段的影響程度要遠高於消息性質好壞的影響，亦即空頭市場中好消息的報酬率影響仍為負，多頭市場中即使是壞消息的平均報酬仍為正。第二，好壞消息對報酬率的高低仍有其獨立影響，亦即空頭市場中的好消息會造成較輕微負報酬，而壞消息造成較嚴重的負報酬。相反地，多頭市場中的好消息導致的正報酬要高於多頭市場壞消息所得正報酬。在訊息傳遞的時間型態方面有兩點發現：就消息宣告後之10日平均報酬率觀察，僅在多頭市場好消息宣告的影響持續四天之外，其它三種類別則在當天即全數反應完畢；另就10日之累積平均報酬率觀察，仍發現市場的多空型態主導著累積報酬率的上升或下降趨勢，但好消息仍舊對空頭下降趨勢有緩和作用，壞消息也對多頭上升型態有壓抑作用。 This article studies the impact of major news events on the stock price movements in Taiwan and the persistence patterns of the impact. The definition of a major news event is the front-page headlines in the Economic Daily News, which is further broken down according to the good-bad nature of news and according to their occurring during a rising or declining stage of general stock price movement. The empirical results show that the rising-declining market-stage association is more influential than the good-bad nature of news in determining Taiwan's stock index returns, i.e., price tends to rise rather than fall following bad news events in an up market. Nevertheless, the good-bad nature of news has its independent effect on stock returns, i.e., prices in an up market rise less with bad news and rise more with good news. On the persistence of news effects on the stock market, we find that prices continue to rise for four days following good news in up markets. The rest three combinations of news nature and market trend witness price effects on only the days of news revelation with no time-lag effects. Lastly, the cumulative effects of news on stock returns also show dominance by the impact of market trend over news nature, with good-bad news nature still exerting a secondary yet independent influence on the size of cumulative returns.
