本研究探討事件宣告是否對市場價格效率造成影響，採用Hou (2005)之研究方法，利用高頻率日內資料計算每日之價格效率，藉此測試各事件隱含之資訊是否能立即反應於股價。另外，進一步探討委託單積極度指標及交易成本兩個流動性變數，對市場價格效率性之影響，最後將投資者分為外資、散戶、自營商及其它國內法人四類別，研究不同投資類別其所提供之流動性是否對市場價格效率有差異性的影響。 研究結果指出，在預定事件宣告後，市場價格效率及流動性皆有顯著地提升，顯示事件本身的資訊內涵能反映在市場，而區分投資人類別下，相較於散戶，外資及自營商其所提供流動性較能促進市場價格效率。在非預定事件宣告後，因為投資人並無法事前得知事件的發生，事後市場價格效率及流動性並沒有顯著地改變，代表事件本身的資訊內涵無法反映於市場中。 This study is concerned with the impact of event announcements on the stock market price efficiency .According to Hou (2005)defined the price efficiency, thereby testing whether the information implicit in each event can immediately react to price. In addition, to further explore the impact of orders index liquidity and transaction costs on price efficiency, and different investment categories whether they provide liquidity to the market price difference of efficiency. The results indicate that after the announcement of the scheduled event, the market price efficiency and liquidity significantly enhance that the information can be reflected in the market. In different investment categories , foreign investors and dealers they are better able to provide liquidity to promote the efficiency of the market price. After the announcement of unscheduled event, because investors not know in advance the time of unscheduled event, and afterwards the efficiency and liquidity of the market price did not change significantly, the information not be reflected in the market.
