[[alternative]]An Examination of Investors' Responses to Stock Price Indices

碩士商業教育學系[[abstract]]本研究探討股市投資人是否會受整點股價指數之影響。研究結果整理如下： 一、股市投資人可能受到整點股價指數的影響。股價指數在向下和向上跨越整數參考點時，其當日之平均報酬率分別顯著較一般時段低和高，且穿越整點指數之日報酬波動顯著高於一般時段。 二、指數跨越整點數字之後續反應可能產生超額報酬。依據本研究之實證結果，若投資人於跨越整數點當日即持有此指數投資組合，短期內將可賺取超額報酬。 三、各股市於向上或向下跨越整點股價指數時，其報酬存在連動關係。 四、投資人對向下跨越整點指數之反應似乎較向上跨越者來得大。 五、雖然跨越整點指數之事件可能可賺取超額報酬，但此時報酬波動較大，風險相對提高，且無法保證必有獲利機會，故投資人於此時更須謹慎小心，不宜隨整點資訊的報導而蠢蠢欲動。[[abstract]]This study investigates whether investors have special sense about round numbers, for example, the multiples of 1,000 or 100 of stock indices. The findings are summarized as follows: 1.Investors do have special sense about round numbers. Stock price indices exhibit significantly lower returns on the dates when they break downward through the round numbers and exhibit higher returns after the indices move upward across the round numbers. Volatilities of various indices are also higher during the breakthrough periods. 2.On the accumulative basis, excess returns may occur after indices break through the round numbers at multiples of 1,000 or 100. According to the observation of this study, investors will be able to earn excess returns if they hold index portfolios for certain days starting from the dates when indices break through the round numbers. 3.When an index of one country breaks through its round numbers, the breakthrough event interacts with some other countries among eight stock market indices. 4.Investors seem to have more sense about downside breakthroughs rather than upside breakthroughs. 5.Although excess returns are observed during breakthroughs, investors should be aware that these returns are associated with higher volatilities. Investors’ sense of round numbers does not guarantee abnormal profits when breakthroughs are happened