本文旨在證實台灣網路論壇對台灣股市是否具有影響力，並分析其主要影響的族群、類股，以及探討網路論壇如何影響股市。本文選擇台灣特有論壇批踢踢實業坊(PTT)的股票板作為研究目標，利用資本資產定價理論以及股票流動性溢價理論兩個方向切入，探討股市無效率以及個股報酬率兩個議題，並檢驗其影響因素與股市論壇資訊的關係。本研究證實，批踢踢實業坊對於台灣股市確實具備一定程度的影響力，其影響力著重於高風險且高報酬的電子類股。網路投資者對於高風險的個股更有興趣，且討論程度更大於低風險的金融類股及傳統類股，因此在網路論壇中，電子類股更容易造成不理性投資。 This articles aims to clarify whether the effect of the events in a specific Bulletin Board System PTT has impact on the Taiwan stock market, in which we investigate the influence of PTT on the fluctuation by a capital asset pricing model (CAPM) associated with ill liquidity (ILLIQ). This study classifies the securities into three groups: electronic, traditional, and financial stocks. We explore the relationship through two paths associated with earning and inefficiency, which shed the light to discover the animal spirit effect on the Taiwan stock market. The result shows that PTT indeed causes a significant effect on the stock market in Taiwan, and the major group (electronic stocks) that are easily affected by the events or manipulation in PTT, which are employed with high risk and high reward for the risk takers.
