效率市場假說認為在完美市場情況下，股價可以立即反應所有攸關的資訊，然而雜訊交易理論認為股價不僅反映基本資訊，還反應市場上的雜訊，導致價格偏離價值情況發生。哪些雜訊因素影響股票報酬率？這是本文的研究目的。
本文資料來自台灣經濟新報資料庫(TEJ)，研究期間自2008年10月31至2012年10月31日，研究變數包含今日開盤價與前一日收盤價之報酬率、一日最高價與收盤價之報酬率、一日最低價與收盤價之報酬率、周轉率、融資增減率、融券增減率、融資使用率、融券使用率等八個雜訊交易變數。
研究發現，雜訊因素影響半導體股之股票報酬率，雜訊因素在多頭市場之影響力更甚於空頭市場，小規模公司在空頭時期均較大規模公司易受雜訊因素所影響。
The fficient market hypothesis aregues that, under perfect market conditions, stock prices can instantaneously respond to all past and current information. However, the noise trading theory claims that the share price not only responds to the basic information but also the noise, which causes stock prices to deviate from their value . What are the noises that affect stock returns? This is the purpose of this study .
The dataset are collected from the Taiwan Economic Journal (TEJ) database. It spans over the time period from October 31, 2008 to 31 October, 2012. The noises include spread between opening and previous closing prices, , spread between highest and closing prices, spread between lowest and closing prices, turnover rate, percentage changes in long position, percentage changes in short sales, percentage changes in available long position, and percentage changes in available short sales.
more significant in bullish markets than in bearish ones, and small companies were more significantly influenced by the noises than large ones were.
