本論文研究以台灣股票非金電市場為主要研究對象，以事件研究法來分析，主要是以2010年至2015年台灣股票市場上市非金電股票上市公司為樣本，透過事件研究法來透析。探討異常交易量(AV)、公司市值(Market Cap)、波動率(RV)及週轉率(Turnover)委託單不平衡(OIB)對異常報酬間的影響關係。來探討預定公司事件股利宣告前後股價異常報酬率與流動性之間的關係，本論文研究預定事件股利宣告，並分別以外資、散戶、本地法人三大類為研究目標對象。
研究顯示在不考慮投資者對資訊的即時不對稱下，異常交易量與累積異常報酬呈現不顯著相關，散戶在事件的宣告下皆無預測能力，散戶對於資訊的取得能力相對落後於其他投資人，外資和本地法人對於事件較有預測能力，事先於市場上做出委買決策，進而帶動事件當天散戶進場交易，會造成市場流動性增加與過往眾多文獻相符合，散戶對於資訊的取得能力相對落後於其他投資人。
本研究參考Chen et al. (2014)以事件宣告日為事件期的概念來做研究，若事件宣告日當天之個股收盤價以漲跌停坐收，則改以打該漲跌停之該段期間為事件期。

This thesis focuses on the Taiwan stock non-financial and non-electronic stock market. Analysis by event research, mainly based on non- financial and electronic listed companies listed on the Taiwan stock market from 2010 to 2015, dialysis through event research. Investigate the relationship between abnormal volume (AV), company market capitalization (Market Cap), realized volatility (RV), turnover rate (turnover) and order imbalance (OIB) on abnormal returns. Discussion on the relationship between stock price constant recurrence and mobilization before and after the announcement of dividends for scheduled company events. This thesis studies the announcement of scheduled event stocks, and the three main categories of foreign investment, retail investors and local legal persons are the research targets.
Studies show that, considering the real-time asymmetry of investors' information, there is a significant correlation between the regular returns and the accumulated returns, and the retail investors have no predictive ability under the announcement of the incident.
Retailers' ability to acquire information is relatively behind other investors, Foreign capital and general legal persons and investment credits have more predictive power for events, make prior buying decisions in the market. In turn, it will drive retail transactions on the day of the event. Will result in increased market liquidity consistent with many previous literatures. The ability of retail investors to obtain information is relatively behind other investors.
This study refers to the concept of Chen et al. (2014) using the concept of event declaration day as the event period. If the closing price of a stock on the day of the event is announced, it will be closed on a daily basis. The period during which the daily limit is changed is the event period.

第一章	緒論	1
第一節	研究背景與研究動機	1
第二節	研究目的	4
第三節	研究架構	6
第四節	研究流程	7
第二章	文獻探討	8
第一節	相關理論基礎及股利宣告異常報酬	8
第二節	流動性變數的溢酬	11
第三章	研究方法	15
第一節	研究資料與樣本篩選	15
第二節	變數說明	18
第三節	模型設定	27
第四章	實證結果與分析	33
第一節	敍述統計分析	33
第二節	Hausman Test檢定結果	36
第三節	事件期迴歸分析	37
第四節	投資人分類下之迴歸分析	40
第五章	結論	42
參考文獻	44
附錄	47

 
表目錄
【表4-1】非金電市場下樣本敘述統計表	34
【表4-2】非金電市場下不同投資人之交易量敍述統計	34
【表4-3】非金電股利Hausman Test檢定	36
【表4-4】非金電股變數之迴歸分析表	38
【表4-5】不同投資人之自變數之迴歸分析表	40
【附表A】TEJ前150大權值股除息影響點數	47
 
圖目錄
【圖1-1】研究流程圖	7
【圖3-1】事件研究法說明用圖	19
【圖3-2】本研究事件研究法示意圖	20

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