本論文以台灣上市公司於除權息事件發生期間成交量及股價變化中，透過公司規模、除權息日股票漲跌及公司產業類別進行分組研究，並以事件研究法(Event Study)分析個股的成交量、異常報酬率及累積異常報酬率，歸納找出規律來獲得最大的投資報酬率，以做為投資人投資策略參考依據。本研究發現2023年出現除權息行情，在中型及大型股除權息日表現出明顯趨勢，除權息日股價上漲的個股比除權息日股價下跌的股票較早出現填息行情，最佳的投資策略為，投資中大型電子股，除權息事件期間可獲得最大累計異常報酬率3.762%，且電子股除權息後股價持續而上漲出現填息行情；次佳的投資標的為中、大型金融股期，投資策略是不參與除權息，最大的累積異常報酬出現在除權息前一日的2.128%；其他類股則未出現除權息行情。由此可得到結論：電子股仍是市場投資人的最愛，而金融股因其配息穩定特性成為存股族的最愛；給短線投資人的建議：利用除權息行情獲利最佳的投資策略為除權息前十日買入股票前一日即賣出賺取最大的差額報酬。;This paper studies the changes in trading volume and stock price of listed companies in Taiwan during the ex-dividend event, by grouping the company size, the stock price rise and fall on the ex-dividend date, and the company′s industry category. The event study method is used to analyze the performance of individual stocks. Trading volume, abnormal returns and cumulative abnormal returns are summarized to find out the rules to obtain the maximum return on investment. As a reference for investors′ investment strategies, this study found that the ex-dividend effect appeared in 2023, and this effect existed on medium-sized and large-cap stocks. There was an obvious trend. Stocks with rising prices on ex-dividend days saw dividend filling earlier than stocks with falling stock prices on ex-dividend days. The best investment strategy is to invest in medium and large electronic stocks. The maximum cumulative abnormal returns that can be obtained during the ex-dividend event is 3.762. %, and the stock price of electronic stocks continues to rise after ex-dividends, leading to dividend-filling trends. The next best investment target is medium and large financial stocks. The period investment strategy is not to participate in ex-dividends. The largest cumulative abnormal return occurs on the day before ex-dividends, 2.128%. There is no ex-dividend effect for other types of stocks. From these findings, we can conclude that electronic stocks are still the favorite of market investors, while financial stocks are the favorite of stock savers because of their stable dividend distribution. The suggestions for short-term investors are as follows: The best investment strategy to profit from the ex-dividend event is to buy stocks before ex-dividend dates and sell them the day before the ex-dividend date to earn the maximum return.
