本研究旨在探討台灣股市投資人是否有過度反應行為。首先計算贏家及輸家的累積異常報酬，並以T 檢定法、迴歸法與相關分析檢定過度反應現象是否存在。研究結果顯示，只控制風險單一因素的結果顯示，過度反應現象並不存在。但若從過度反應的套利投資策略來看，在同時排除公司規模與風險差異兩個因素時，則發現中、大型股不符合過度反應假設，但是小型股的投資人則有過度反應現象。

This paper investigates whether the investors of Taiwan stock market overreact. The cumulative abnormal returns of winner portfo-lio and loser portfolio are calculated, and then T test, regression analysis and correlation analysis are adopted to test the overreaction hypothesis. The empirical evidence shows no overreaction in Taiwan stock market when risk factor and firm size are considered, respect-edly. However, on the aspect of arbitrage strategies, the results indi-cate that no overreaction accurs among stocks issued by large and middle firms, while the investors of small firms are consistent with over- reaction phenomenon •