本研究主要是以台灣證券交易所的股票日內交易資料為基礎,比較交易時間與非交易時間的季盈餘宣告之日內量價變化,藉以了解台灣股票市場的資訊傳遞情形。實證結果主要有二點發現:第一,在控制盈餘增加或減少後,交易時間與非交易時間盈餘宣告的日內每15分鐘價格變化並無顯著差異。第二,盈餘減少宣告的價格反應幅度大於盈餘增加宣告,顯示投資人對壞消息的意外程度遠大於好消息。 The main purpose of this study is to examine whether the quarterly earnings announcements during nontrading hours can be response more quickly than those during trading hours in Taiwan stock market. The quarterly earnings announcement sample is selected from firms listed on Taiwan Stock Exchange and they are partitioned into earnings increases and earnings decreases sample sets. The main findings can be summarized as follows: First, there is no significant difference of intraday trading price change between quarterly earnings announcements during trading and nontrading hours. Second, the abnormal returns in earnings decreases sample is larger than in earnings increases sample.
