The Effectiveness of Surveillance in Taiwan Stock Market

[[abstract]]本研究以2001年7月12日至2002年12月31日間的台灣證券交易所的注意與處置股票為研究對象，利用市場模式的事件研究法，探討台灣股市監視制度有效性。 本研究發現：股市監視制度公告在實驗組的注意股票或處置股票公告均較控制組的無注意股票或無處置股票在價格報酬、交易流動性的表現呈現有效性。在價格波動性上雖有差異性但並不顯著。投資人不會視股市監視制度公告性質屬漲幅的股票為明牌盲目跟隨追漲買賣，形成股價反向修正調整超額報酬現象發生，市場無助漲效果存在，明顯改善市場效率。投資人認為注意與處置公告屬跌幅的股票可能有超跌現象，在股價反向修正時可享有股價回升時的超額報酬，雖然使平均異常報酬稍微提高，但卻不顯著。 台灣證券交所依規定公告的注意或處置股票具有維護公平性與交易秩序的預警功能，所以該制度辦法應隨時契合市場狀況調整相關法規或數據，達到該資訊宣告目的，讓投資人注意及重新評估投資風險，減少因人為不法炒作致使投資人跟隨終致發生重大損失。 關鍵字：監視制度、注意股票、處置股票[[abstract]]The object of this study is the alerting and designating stocks supervised by the Taiwan Stock Exchange Corporation (TSEC) during July 12th of 2001 up to December 21st, 2002. The event study method of market model is used to investigate the effectiveness of stock market the surveillance in Taiwan. The resultants are that: The announcement of stock market surveillance system over the alerting or designating stocks in experiment sets turn out to be with more effectiveness than the non-alerting or non-designating stocks in controlling sets. Although there are a difference in price fluctuations, it was not significant. The investors usually wouldn't blindly consider the rising trends stocks within the stock surveillance system as the golden eggs to mark up bidding hence to create the inverse modification for the excess return adjustment. Therefore, there was no “rub the salts on the wound” effects and vice versa. So the market efficiency was significantly improved. Investors generally agreed that the announcement of alerting and designating stocks might exist excess falling on their prices. With the inverse adjustment of stocks prices, they could gain excess reward when these stocks are restoring on their prices. Even though it made the average abnormal reward turn out to be slightly raised, they were unobvious. The system of alerting or designating stocks that the TSEC announced according to the rules has precaution functions to maintain a fairness and trading order for the market. Therefore regulations and statistics for this system should be timely modified in cope with the market situation to obtain the justifying purpose for such announcements. Also, providing the investors with appropriate info to notice and re-evaluation on their investment risks, hence to reduce the illegal maneuvering over stocks by few that caused immense loss from the blind following investors. Key words: Surveillance system, alerting stocks, designating stocks