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系統識別號 U0002-1206201215522600
中文論文名稱 漲跌停限制對波動度之影響:投資人交易行為分析
英文論文名稱 The Impact of Price Limits on Volatility:Evidence from Investors’ Trading
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 100
學期 2
出版年 101
研究生中文姓名 林良一
研究生英文姓名 Liang-Yi Lin
學號 699530555
學位類別 碩士
語文別 中文
口試日期 2012-05-19
論文頁數 75頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-胡勝正
委員-涂登才
委員-李命志
中文關鍵字 漲跌停限制  流動性  委託單不平衡  波動度  雜訊 
英文關鍵字 price limit  liquidity  order imbalance  volatility  noise 
學科別分類 學科別社會科學商學
中文摘要 本研究以台灣市場為對象,利用高頻率的日內資料,進行波動度外溢假說的驗證,並藉投資人行為觀察其成因。本研究參考Kim and Yang (2008)的做法,將漲跌停板狀況分為單點觸碰、鎖死及有打開三種類型,再加上漲停與跌停兩種市場方向共計六種漲跌停型態,進行波動度外溢假說之實證研究。並將股票市場中的參與者區分為外資、散戶、自營商及其它國內法人四類,以流動性及委託單不平衡做為投資人下單行為的代理變數,以分析其中行為對漲跌停板後之股票市場波動度之影響。並進一步分析該行為是否具有資訊性。
研究結果顯示波動度外溢只存在於跌停板狀態,漲停板之狀態皆如漲跌停限制制度設立原意可降低市場波動度,而使波動度降低的原因主要來自於散戶。且波動度的降低並非雜訊性的波動。隱含漲跌停板確實為散戶帶來訊號致使散戶行為做出改變,緩和了市場波動,此結果亦支持了機構投資人於平常時較散戶更具有資訊性的觀點。
英文摘要 The purpose of this paper is to test the volatility spillover hypothesis by analyzing high-frequency intraday data from Taiwan. To investigate the effects of the price limits on volatility spillover, we consider three types of price limits according to Kim and Yang (2008): hits-single, locked, and opened. Each type has upper and lower limits. Investors are also separated into four categories: foreign institutional investors, individual investors, dealers and domestic institutional investors. Both liquidity and order imbalance are employed of analyze investors’ behavior with report to factors influencing volatility change.
Our evidence indicates that only lower price limits causes volatility spillover. While behaviors of individual investors cause the price limits system to stabilize market fluctuations when upper price limits is reached. However, the volatility changes at price limits is the actual volatility without noise, which implies that price limits send significant signals to individual investors to change their behavior. This is consisted with the view that institutional investors have information advantage over other investors in general.
論文目次 目錄

第一章 前言 1
第一節 研究動機與背景 1
第二節 研究目的 3
第三節 研究架構 4
第四節 研究流程 5
第二章 文獻回顧 6
第一節 漲跌停限制 6
第二節 報酬波動度與交易量 9
第三節 雜訊 12
第四節 流動性 15
第五節 買賣不平衡 19
第三章 研究方法 21
第一節 研究期間與樣本篩選 21
第二節 資料處理 26
第三節 變數計算 34
第四節 理論驗證方法及迴歸模型設定 41
第四章 實證結果與分析 44
第一節 波動度外溢假說 44
第二節 敘述統計分析 48
第三節 相關係數及共線性分析 51
第四節 迴歸實證模型之全市場分析 54
第五節 迴歸實證模型之各類投資人分析 59
第六節 開盤觸碰漲跌停限制之驗證 65
第五章 結論 69
參考文獻 72

表目錄

表3-1投資人類別成交值比重 23
表3-2委託檔資料格式 24
表3-3成交檔檔資料格式 25
表3-4揭示檔資料格式 25
表3-5漲跌停板次數統計 32
表3-5每檔股票發生漲跌停次數敘述統計 33
表4-1漲跌停板前後波動度敘述統計 45
表4-2波動度外溢檢定 47
表4-3市場波動度與雜訊敘述統計 49
表4-4全市場限價委託簿變數敘述統計 50
表4-5皮爾森相關係數 52
表4-6共線性檢定-VIF值 53
表4-7全市場委託簿變數變動對波動度變動之影響 57
表4-8全市場委託簿變數變動對雜訊變動之影響 58
表4-9投資人分群限價委託簿變數敘述統計 60
表4-10各類投資人委託簿變數變動對波動度變動之影響 63
表4-11各類投資人委託簿變數變動對雜訊變動之影響 64
表4-12開盤後15分鐘觸碰漲跌停板次數統計 66
表4-13開盤觸碰漲跌停限制下委託簿變數變動對波動度變動之影響 67
表4-14開盤觸碰漲跌停限制下委託簿變數變動對雜訊變動之影響 68

圖目錄

圖1-1論文架構圖 5
圖3-1單點觸碰(single)狀態示意圖 30
圖3-2鎖死(locked)狀態示意圖 30
圖3-3有打開(opened)狀態示意圖 30
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