本研究探討市場氣氛可能會對庫藏股購回宣告的影響，研究期間自2002年4月22日至2004年3月5日，包含兩個多空頭循環。本研究以5個影響庫藏股的因素，另外考量法人與自然人持有股票的比例與股票的流向對庫藏股的宣告的影響，來探討訊息宣告效應與訊息延續效果的影響。實證模型運用ADF單根檢定、Ljung-Box Q檢定、Ljung-Box Q2檢定與ARCH-LM檢定來配適適當的模型，之後利用事件研究法市場模式來解讀在不同市場氣氛下庫藏股購回宣告實施的訊息宣告效應與訊息延續效應，最後透過橫斷面複迴歸分析，分別觀察訊息宣告效應與訊息延續效應。實證結果如下： 1.不論是在多頭空頭公司宣告庫藏股購回時，對公司股價都會有正向影響；2.在訊息宣告效應上，發現多頭期間的效應是比較早且幅度較大，空頭期間則有延後的現象；3.在訊息延續效果上，發現在空頭期間買回庫藏股票累積平均異常報酬大於多頭期間；4.由複迴歸分析得知，訊息宣告效應的大小顯著的影響後續庫藏股購回訊息的延續強度，而訊息延續強度有與公司規模、買回比例與法人持股變動比例有呈現顯著的正向關係；5.關於訊息宣告效應的影響因素方面，並不顯著，可見訊息宣告效應比較無法利用可見的資訊去衡量。 The main purpose of this research is to find out the connection between market boom and stock repurchase. The study period is from 4 April, 2002 to 5 May, 2005 with two bull and bear markets cycles. To study the announcement effect and announcement extend, despite with 5 factors that may effect stock repurchase, we also consider the influence of portions and flows of institution and individual investors’ bargains that with effect of stock repurchase. This study applies ADF unit root test, Ljung-Box Q test, Ljung-Box Q2 and ARCH-LM test to decide if fitting model. After that, we use market model of event study and multiple regression analysis to explain the effect of stock repurchase in different market boom. The results of this study are as follows: 1. The stock price is with positive effect when the announcement of stock repurchases is under both bull market and bear market. 2. The announcement effect is earlier and bigger at bull markets than bear markets. 3. The announcement extension period shows that bear markets’ effect is bigger than bull markets’. 4. We also find that the scale of announcement effect significantly and positively influence the intensity of announcement extend of that relates to firm size, repurchase ratio and institution investors net buying ratio. 5. As the factors of announcement effect are not significant, we conclude that it’s not easy to measure the announcement effect with public information.
