公司規模與訊息外溢效果之研究

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Title:	公司規模與訊息外溢效果之研究
Other Titles:	Studies of Firm Size and Information Spillover
Authors:	溫啟閔 Wen, Chi-Min
Contributors:	莊文議 Chuang, Wen-I 東海大學企業管理學系碩士班
Keywords:	外溢效果;公司規模 Spillover;Firm Size;EGARCH
Date:	2005
Issue Date:	2011-05-19T08:03:52Z (UTC)
Abstract:	從過去的文獻中可知，報酬率、波動與成交量是重要的訊息變數。公司規模間的訊息傳遞可以分為兩種類型：一為大公司股票之訊息變數影響小公司股票的訊息變數，另一為小公司股票之訊息變數影響大公司股票的訊息變數。先前關於大公司和小公司之間訊息外溢效果的實證研究中，皆以相同變數的訊息外溢效果為主要研究方向，然而若以動態觀點檢視，交叉變數訊息外溢效果亦是一個重要的議題，故本研究的主要目的是要檢測大公司與小公司投資組合間之相同變數與交叉變數之訊息外溢效果。本研究利用VAR(3)-EGARCH(1,1) 模型，實證民國83 年至92 年股市，大公司投資組合和小公司投資組合間之相同變數和交叉變數訊息外溢效果，得到的實證結果如下：一、就相同變數外溢效果而言，(1) 前期大公司投資組合報酬率有助於預測當期小公司投資組合報酬率；(2) 前期小公司投資組合報酬波動有助於預測當期大公司投資組合報酬波動；(3) 前期大公司投資組合報酬波動有助於預測當期小公司投資組合報酬波動；(4) 前期小公司投資組合成交量週轉率有助於預測當期大公司投資組合成交量週轉率。二、就交叉變數外溢效果而言，(1) 前期大公司投資組合報酬率有助於預測當期小公司投資組合成交量週轉率；(2) 前期小公司投資組合成交量週轉率有助於預測當期大公司投資組合報酬波動。經由實證結果得知，大公司投資組合訊息變數與小公司投資組合訊息變數之間存在外溢效果，因此本研究建議投資人在進行投資決策時，均須注意大公司與小公司的訊息變數，以期幫助投資人進行投資決策。 An emerging body of empirical literature suggests that all of returns, volatility, and trading turnover play an important role in information transmission. There are two types of information spillovers between large-size stocks and small-size stocks: the information spillovers from the variables associated with the large-size stocks to those associated with the small-size stocks as well as the information spillovers from the variables associated with the small-size stocks to those associated with the large-size stocks. Extant literature which studies the information spillover effect focusing on the same-variable information spillover effect. However, in a dynamic context, the cross-variable information spillover effect is also an important issue. The purpose of this paper is to comprehensively examine these two types of the information spillover effects between the large- and small-size stocks by looking at the information variables such as returns, volatility, and trading turnover in order to shed additional light on this issue. We employ the bivariate VAR-EGARCH model to empirically study the same- and cross-variable information spillover effects for the period from 1994 to 2003. The following observations, among other things, are noted. First, there exist information spillovers from the returns on the portfolio of large-size stocks to the returns on the portfolio of small-size stocks. Second, there exist information spillovers from the volatility of the portfolio of small-size stocks to the volatility of the portfolio of large-size stocks. Third, there exist information spillovers from the trading turnover of the portfolio of small-size stocks to the trading turnover of the portfolio of large-size stocks. Fourth, there exist information spillovers from the trading turnover of the portfolio of large-size stocks to the trading turnover of the portfolio of small-size stocks. Fifth, there exist information spillovers from the returns on the portfolio of large-size stocks to the trading turnover of the portfolio of small-size stocks. Sixth, there exist information spillovers from the trading turnover of the portfolio of small-size stocks to the volatility of the portfolio of large-size stocks. Overall, our empirical results provide the additional evidence of the information spillover effects between the variables associated with the portfolio of large-size stocks and those associated with the portfolio of small-size stocks. Our empirical results suggests that investors shall pay attention to information conveyed by the variables not only associated with the large-size stocks but also associated with the small-size stocks when they make their trading strategies.
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