中文摘要

本文以財務經濟學方法，探討金融控股公司併購事件與股票市場資訊對投資獲利之影響，據以分析投資決策行為。

第二章分析金融控股公司之集團內併購與非集團內併購事件之宣告效果。自1991年開放民營銀行設立，啟動了台灣金融自由化的歷程。2001年金融控股公司法實施後，金融控股公司透過購併整合之外部成長策略，擴大經營規模，強化金融業競爭力。本章以2001年至2015年間的台灣金控公司進行的併購宣告為研究樣本，利用市場模式探討金控公司併購宣告效果，並進而比較集團內併購與非集團內併購之宣告效果與累積資訊價值之差異。

實證結果發現金融控股公司宣告併購的全部事件與非集團內併購事件，在宣告日前後存在正、負向標準化異常報酬；但集團內併購則是宣告日前後呈現一致性的負向標準化異常報酬。在標準化累積異常報酬方面，所有事件樣本與集團內併購事件的累積資訊價值較為相似，且集團內併購的負向累積資訊價值較所有併購事件為大。

第三章與第四章則探討投資行為背後的決策依據，特別是股票市場的價格資訊對投資決策的影響。

第三章以中國股票市場中Ａ50成分股資料為樣本，檢驗14種依據價格趨勢所分類的單根K線型態之有效性。投資者常用K線型態作為技術分析，根據一定時段內的開盤價、最高價、最低價與收盤價等四種數字建構成為K線，再由一至三根K線組合成一個K線型態，用於分析投資決策，據以判斷未來價格是否存在顯著報酬。主要結論為：首先，蜻蜓十字線( Dragonfly Doji)與墓碑十字線(Gravestone Doji)完全沒有出現過，中國股市資料期間內不存在此兩種K線型態。其次，大陽線(White Marubozu )和多頭執帶(Opening White Marubozu)在十日內檢定結果均有顯著獲利效果。主要原因在於此兩種型態都擁有較長實體部位(real body)，其經濟意涵在於一段跌勢後，需求大量湧現超越供給，進而推升未來十天內股價反轉為漲勢。研究顯示，在中國A股市場中，K線型態之技術分析確能提供投資人獲利資訊。

第四章分析開盤價格資訊對投資決策之影響。與過去研究不同的是本研究採用持有期間變動方式，探討開盤價格過高或過低是否存在顯著報酬。研究結果顯示反向交易策略(contrarian trading strategy)在台灣股價中確實存在顯著報酬。研究方法為先觀察開盤價是否具有資訊效果，以檢驗台灣股票市場的極短期過度反應現象。有別於過去文獻，本研究採用彈性持有策略而非固定期間持有，亦即以買進(賣出)訊號出現後進場，並持續持有至賣出(買進)策略出現為止。本研究亦進行強韌性檢定(robustness check)，以三段時間分割與兩個樣本分割再次檢驗與原先檢定結果是否有差異。結果顯示，在台灣股票市場中採用異常開盤價策略進行交易，其獲利具有顯著性。有別於過去行為財務領域所提出之反向交易策略，本研究結果所得到之投資策略屬於新的反向交易策略。

金融的本質在於有效支援經濟與產業發展，金融資源分配是否得當，將左右經濟活動榮枯，對經濟發展與財富分配影響深遠。希望這三篇財務經濟學的論文，藉由市場資訊探討投資策略，有助於瞭解市場參與者行為。

Abstract

With the financial economics analysis method, this paper discusses the influence of mergers and acquisitions (M&As) of financial holding companies and other investment information on investment behavior through decision making. 

Chapter 2 examines the announcement effects of M&A activities of financial holding companies in the context of the market model, followed by a comparison of the announcement effects and cumulative information value of M&As within financial holding companies and with third-party firms. The permission to establish private banks in 1991 initiated the process of financial liberalization in Taiwan. After the implementation of the Financial Holding Company Act in 2001, financial holding companies expanded their scope of operations through an external growth strategy of mergers and acquisitions to strengthen their competitiveness in the financial industry. Chapter 2 utilizes the announcements of M&A activities in association with financial holding companies in Taiwan between 2001 and 2015 as the samples and analyzes the announcement effects of M&As in the context of the market mode. 

This empirical study finds standardized abnormal returns for the announcements of M&As immediately before and after announcement dates. However, there are consistently negative standardized abnormal returns on the M&As within financial holdings before and after announcement dates. It is worth noting that, the negative cumulative information value of M&As inside financial holdings are greater than all M&A events in general. 

Chapter 3 and Chapter 4 explore the decision basis behind the investment behavior, especially the impact of market price information on investment decision making. 

Chapter 3 uses the A 50 component stock data from the Chinese stock market as the sample and categorizes the candlesticks in fourteen patterns according to different trends. In the technical analysis commonly used by investors, the candlestick is constructed by four kinds of numbers: the opening price, the highest price, the lowest price, and the closing price. A candlestick form is then constructed by one to three candlesticks and is used to analyze an investment decision so as to determine whether there is a significant return in future price. Two major findings are investigated in this study. The first one is that the Dragonfly Doji (DD) and the Gravestone Doji (GD) patterns never appear in the whole period; the other finding is that the White Marubozu (WM) and the Opening White Marubozu (OWM) patterns are continually profitable in one to ten holding days. This study finds that two of the fourteen patterns, WM and OWM, are profitable when holding for ten days. Both WM and OWM have real bodies that take up a large portion. This means that after a downtrend the demand suddenly suppresses the supply, and then bullish sentiment dominates for the following ten days. The one-day candlestick charting seems to help investors to target profits from the A 50 component stocks.

Chapter 4 investigates the extreme short-term contrarian profits in Taiwan by observing whether stock opening prices have information content. In contrast to earlier studies, We adopt a variable period holding approach. For robustness checks, three sub-period and two sub-sample tests are conducted by taking actual transaction costs into consideration. It is discovered that by utilizing the stock opening price signals, contrarian trading strategies thrive in Taiwan’s stock market. Based on the results of this work, suggestions are made with regard to the development of new contrarian trading strategies.

The essence of finance lies in effective support through economic and industrial development. Whether financial resources are distributed properly will affect economic activities and will have a significant influence on economic development and wealth distribution. Hope these three essays in financial economics help to understand the market participation behavior in financial system.

Contents

1.	Introduction	1
2.	Announcement effects on M&As within financial holdings and with third parties	5
2.1.	Introduction	5
2.2.	Research methodology	7
2.2.1.	Research sample	7
2.2.2.	Market model	8
2.3.	Empirical results and analysis	10
2.4.	Conclusion and suggestions	18
3.	A study on one-day candlestick patterns in the Chinese stock market	19
3.1.	Introduction	19
3.2.	Candlestick single lines and research design	21
3.2.1.	Identifying single lines	21
3.2.2.	Defining trends	24
3.2.3.	Profits	24
3.3.	Empirical results	25
3.3.1.	Data and transaction costs	25
3.3.2.	Main results	25
3.4.	Conclusion	26
4.	Can opening prices create value for investors?	30
4.1.	Introduction	30
4.2.	Literature review	32
4.3.	Data and methods	35
4.3.1.	Data	35
4.3.2.	Trading strategy, transaction costs and calculated returns	35
4.4.	Empirical findings	36
4.5.	Additional evidence	38
4.6.	Conclusions	40
5.	Conclusions	44
Reference	46

List of Figures
Figure 2‑1 : Standardized Abnormal Returns (upper line) and Standardized Cumulative Abnormal Returns (lower line) of M&A Activities in Relation to Financial Holdings	10
Figure 2‑2: Standardized Abnormal Returns (upper line) and Standardized Cumulative Abnormal Returns (lower line) of Intra-Group M&A Activities in Relation to Financial Holdings in Taiwan	12
Figure 2‑3 Standardized Abnormal Returns (upper line) and Standardized Cumulative Abnormal Returns (lower line) on Announcements from Financial Holdings in Taiwan Regarding M&A Activities with Third Parties	15
Figure 3‑1. Single line	27
Figure 3‑2. Long White Candle	29
Figure 3‑3 White Marubozu	29
Figure 3‑4. Closing White Marubozu	29
Figure 3‑5. Opening White Marubozu	29
Figure 3‑6. Dragonfly Doji	29
Figure 3‑7. White Paper Umbrella	29
Figure 3‑8. Black Paper Umbrella	29
Figure 3‑9. Long Black Candle	29
Figure 3‑10. Black Marubozu	29
Figure 3‑11. Closing Black Marubozu	29
Figure 3‑12. Opening Black Marubozu	29
Figure 3‑13. Gravestone Doji	29
Figure 3‑14. White Shooting Star	29
Figure 3‑15. Black Shooting Star	29
Figure 4‑1: Taiwan Capitalization Weighted Stock Index for the period January 1972 through December 2011	43

List of Tables
Table 2‑1: Tests on Standardized Abnormal Returns and Standardized Cumulative Abnormal Returns of M&A Activities in Relation to Financial Holdings in Taiwan	13
Table 2‑2 :Tests on Standardized Abnormal Returns and Standardized Cumulative Abnormal Returns of Intra-Group M&A Activities in Relation to Financial Holdings in Taiwan	16
Table 2‑3:  Tests on Standardized Abnormal Returns and Standardized Cumulative Abnormal Returns on Announcements from Financial Holdings in Taiwan Regarding M&A Activities with Third Parties	17
Table 3‑1. Testing results of holding for one to ten days for different patterns.	28
Table 4‑1 Results for fixed period holding after transaction costs	41
Table 4‑2: Results for variable period holding after transaction costs	42

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