台灣上市櫃公司負責人刑事收押對股價報酬率的影響

The Impact of Chief Detaining on Stock Performance–Evidences on Taiwan’s Listed Firms

本研究利用事件研究法，探討我國上市上櫃公司之負責人遭收押時對其股價是否產生異常報酬，並進一步檢定事件期間是否有資訊洩漏現象發生。從實證研究結果顯示，當負責人遭收押時，事件日前兩天其負向平均異常報酬率最為顯著，而在事件當日以及事件發生後的第2到5日的P值亦皆接近10%顯著水準，此現象說明了台灣證券市場對上市櫃公司負責人遭到收押之重大事件的訊息反應程度無法一次滿足到位，會有持續一段時間尚在反應的現象，這代表著一家公司負責人在治理公司時所表現出的能力、形象、品性、信任感等，會影響投資者堅定持股的信心。再者，實證結果亦顯示負責人被收押之資訊並無提前洩漏現象，據此亦可推論台灣檢調在偵辦此類重大案件時會盡量避免影響股市運作，在偵查保密作為上會更加到位。 This study aims to explore whether the chief detaining of Taiwan’s listed firms will result in significant abnormal rates of return on their stocks by the method of event study. We also intend to further identify if there exists information leakage phenomena in these events. Our empirical results show that abnormal returns were yes indeed examined significantly the second day prior to the event. Abnormal return significances were almost detected on the event day and from the second day to the fifth day after the event. The results can explain that stock performances to these events in Taiwan exhibit a weak to semi-strong form of securities markets, and also highlight that the poor performance of a company chief’s integrity and moral will inevitably deteriorate stockholders’ confidence on the company. In addition, information leakage cannot be significantly justified in our findings, which show that Taiwan’s prosecutors and investigators in general act confidentially and prudently in these major economic events.

This study aims to explore whether the chief detaining of Taiwan’s listed firms will result in significant abnormal rates of return on their stocks by the method of event study. We also intend to further identify if there exists information leakage phenomena in these events. Our empirical results show that abnormal returns were yes indeed examined significantly the second day prior to the event. Abnormal return significances were almost detected on the event day and from the second day to the fifth day after the event. The results can explain that stock performances to these events in Taiwan exhibit a weak to semi-strong form of securities markets, and also highlight that the poor performance of a company chief’s integrity and moral will inevitably deteriorate stockholders’ confidence on the company. In addition, information leakage cannot be significantly justified in our findings, which show that Taiwan’s prosecutors and investigators in general act confidentially and prudently in these major economic events.