本文探討上市公司之庫藏股買回對台灣股市指數報酬率與波動性之影響，研究期間為2011年1月至2020年12月，以台灣上市公司為研究樣本，透過一般化自迴歸條件異質性變異數( GARCH)模型分析實施庫藏股買回家數、機構投資人買賣超及台股成交量對台灣加權股價指數報酬率與波動性之影響。研究樣本採自TEJ資料庫及台灣證劵交易所。 實證結果顯示, 上市公司實施庫藏股回購之新增家數，對台灣加權股價指數之報酬率有影響但對其波動性則無影響，而上市公司實施庫藏股回購之家數多寡,對台灣加權股價指數報酬率則無影響，但對其波動性有影響。 This study explores the impact of listed companies' treasury stock buybacks on the return and volatility of the Taiwan stock market index. The research period is from January 2011 to December 2020. The research samples are listed companies in Taiwan Stock Exchange . The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model is used to analyze the influences of the number of companies implementing treasury stock buyback, net Buy of Institutional Investors and the trading volume of Taiwan stocks market on the return rate and volatility of Taiwan weighted stock price index. The research samples are collected from the TEJ database and the Taiwan Stock Exchange. The empirical results show that the number of new listed companies implementing treasury stock repurchases has an impact on the return rate of the Taiwan weighted stock price index but has no impact on its volatility.However, the number of listed companies that implement treasury share repurchases has no effect on the return of the Taiwan weighted stock price index, but has an impact on its volatility.
