本研究探討事件宣告是否對市場價格效率造成影響，採用Hou (2005)之研究方法，利用高頻率日內資料計算每日之價格效率，藉此測試各事件隱含之資訊是否能立即反應於股價。另外，進一步探討委託單積極度指標及交易成本兩個流動性變數，對市場價格效率性之影響，最後將投資者分為外資、散戶、自營商及其它國內法人四類別，研究不同投資類別其所提供之流動性是否對市場價格效率有差異性的影響。
研究結果指出，在預定事件宣告後，市場價格效率及流動性皆有顯著地提升，顯示事件本身的資訊內涵能反映在市場，而區分投資人類別下，相較於散戶，外資及自營商其所提供流動性較能促進市場價格效率。在非預定事件宣告後，因為投資人並無法事前得知事件的發生，事後市場價格效率及流動性並沒有顯著地改變，代表事件本身的資訊內涵無法反映於市場中。

This study is concerned with the impact of event announcements on the stock market price efficiency .According to Hou (2005)defined the price efficiency, thereby testing whether the information implicit in each event can immediately react to price. In addition, to further explore the impact of orders index liquidity and transaction costs on price efficiency, and different investment categories whether they provide liquidity to the market price difference of efficiency.
The results indicate that after the announcement of the scheduled event, the market price efficiency and liquidity significantly enhance that the information can be reflected in the market. In different investment categories , foreign investors and dealers they are better able to provide liquidity to promote the efficiency of the market price. After the announcement of unscheduled event, because investors not know in advance the time of unscheduled event, and afterwards the efficiency and liquidity of the market price did not change significantly, the information not be reflected in the market.

目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 6
第三節 研究架構 8
第四節 研究流程 9
第二章 文獻探討  10
第一節 事件宣告  10
第二節 市場價格效率  12
第三節 流動性 16
第四節 資訊交 易機率 與市場價格效 20
第三章 研究方法 22
第一節 研究資料與樣本選取  22
第二節 資料格式  25
第三節 變數說明 28
第四節 模型設定  43
第四章 實證結果 46
第一節 敘述統計分析  47
第二節 樣本平均數 t檢定  51
第三節 迴歸分析  54
第四節 事件宣告前後與市場流動性之交乘項分析  62
第五節 穩健性檢定  74
第五章 結論  76
參考文獻  78

表目錄
【表 1-1】集中交易市場成金額投資人類別比例表  4
【表 1-2】集中交易市場投資法人比例表  5
【表 3-1】委託檔資料格式 26
【表 3-2】成交檔資料格式26
【表 3-3】揭示檔資料格式  27
【表 3-4】平均交易量在特定比例 下一檔內消化及超過五外 32
【表 3-5】買方下單積極度 34
【表 3-6】賣方下單積極度 34
【表 3-7】委託單積極度之分類36
【表 3-8】非資訊交易者之交易行為  37
【表 3-9】資訊交易者之交易行為 38
【表 4-1】全市場下樣本敘述統計表 48
【表 4-2】不同投資人之流動性敘述統計表  50
【表 4-3】事件宣告前後兩樣本平均數 t檢定 53
【表 4-4】全市場AI對市場價格效率之影響 56
【表 4-5】全市場CTT對市場價格效率之影響 57
【表 4-6】不同投資人AI對市場價格效率之影響 60
【表 4-7】不同投資人CTT對市場價格效率之影響  61
【表 4-8】全市場AI對市場價格效率之交乘項迴歸分析  64
【表 4-9】全市場CTT對市場價格效率之交乘項迴歸分析  65
【表 4-10】不同投資人AI對市場價格效率之交乘項迴歸分析 68
【表 4-11】不同投資人CTT對市場價格效率之交乘項迴歸分析  69
【表 4-12】全市場及不同投資人流動性對市場價格效率之影響  71
【表 4-13 】事件宣告後全市場及不同投資人流動性對市場價格效率之影響 73
【表 4-14 】不同事件窗口之事件宣告後流動性對市場價格效率之影響 75

圖目錄
【圖 1-1】集中交易市場成金額投資人類別比例圖  4
【圖 1-2】集中交易市場投資法人比例圖 5
【圖 1-3】研究流程9

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