景氣、盈餘與流動性對股票價格持續性的影響效果

The Effects of Business Cycle, Earnings and Liquidity on Stock Price Persistence

價格持續上漲或下跌表示市場資訊並沒有充分反應，而且有過度反應或反應不足的可能。投資人在進行投資決策時，主要內部參考資訊為公司的盈餘資訊，外部資訊則以市場景氣為主，流動性則為事後反應變數。所以，本研究擬探討景氣、盈餘與流動性對價格持續性的影響效果。本研究不同以往動能的研究，我們以價格持續的天數、幅度作為被解釋變數，因為他們比較貼近投資人觀察的變數，然後調整運用Fama and French的三因子模型，以2009年到2015年台灣股市為樣本，觀察市場景氣、盈餘與流動性對價格持續性的影響。本研究實證結果發現，市場景氣與連續漲跌天數呈現正向關係與連續漲跌幅度亦呈現同向變動。其次，盈餘與漲跌幅度的關係較為顯著，兩者成同向變動關係。另外，週轉率與價格持續性具有正向關係但不顯著。本研究亦發現市場風險與連續漲跌幅度呈現正向關係，但是與連續漲跌天數呈反向變動；市場價值愈高連續漲跌情形愈明顯。

Price continue upward or downward, it’s means not full reaction for the market information, and exist overreaction or underreaction. When the investor makes a decision, earnings is the major inside reference variable, business cycle is the major outside reference variable, and liquidity is the lag variable. Hence, we explore the effects of business cycle, earnings and liquidity on stock price persistence. Our contributions are use price persistent days and volatility as dependent variables, and applied Fama and French three factors model to discuss the problem. Our samples are stocks listed in Taiwan from 2009 to 2015. The empirical result show that there exists positive correlation between business cycle and price persistent days, and volatility also has the same result. Second, earnings and volatility change in the same direction. Third, the relationship between turnover and price persistence is positive but not significant. Fourth, market risk and volatility has positive correlation, market risk and price persistence has negative correlation, and the market value increasing then the momentum increasing.