政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111315

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111315

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 51037871 Online Users : 905

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/111315

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/111315

Title:	漲跌幅限制放寬下台股磁吸效應之探究 The effect of relaxation of daily price limit on the magnet effect on Taiwan stock market
Authors:	林鼎鈞 Lin, Ding Jun
Contributors:	周冠男林鼎鈞 Lin, Ding Jun
Keywords:	磁吸效應漲跌幅限制台灣股市自我迴歸模型電子股負債比率法人持股比率本益比 Magnet effect Daily price limit Taiwan stock market Autoregression model Electronic stocks Debt ratio Institutional share-holding ratio Price to earnings ratio
Date:	2017
Issue Date:	2017-07-24 12:01:22 (UTC+8)
Abstract:	漲跌幅限制旨在避免股價過度波動、抑制投資人過度反應並冷卻、緩和當前市場過熱之情緒。然而，在漲跌幅限制下，投資人為避免流動性風險或等待更佳的交易時點，忽視投資標的基本面價值而單向加速下單，促使股價加速往漲跌停板移動，此基於投資人不理性行為所致之現象稱為「磁吸效應」。由於散戶交易比重高、漲跌幅限制嚴謹且股價波動度大，台灣股市相當適合研究磁吸效應，且過去文獻亦多指出磁吸效應存在於台灣股市。自2015年6月1日起，台灣股市之單日股價漲跌幅限制正式放寬至10%，本文便以此時間點為分界，對不同股價漲跌幅限制下磁吸效應的變化進行實證，並針對4種主要股票類別特徵 (電子類股、負債比率、法人持股比率、本益比) 分群比較磁吸效應之強弱。實證結果顯示，在漲跌幅限制放寬下，磁吸效應並未因股價波動彈性提高而減弱，相反有增強的現象；非電子類 (尤指食品業及資訊服務業) 、低負債比率、低法人持股比率的公司股票有較強的磁吸效應；然而本益比經分群分析後有不一致的結果：上漲端在漲跌幅限制7%下，本益比與磁吸效應呈同向關係，而在漲跌幅限制10%下，關係則反轉；下跌端不論在漲跌幅限制7%或10%下，本益比的高低與磁吸效應均無規律關係。換言之，本益比非磁吸效應有效的衡量指標，難以據其推測磁吸效應之強弱。 Under the daily price limit, investors tend to ignore the foundational value of companies by making more orders to avoid the liquidity risk, or by waiting for a good time to trade on the other side, which in turn makes the stock price get closer to the limit; this is the “magnet effect” resulted from investor’s irrational behaviors. Stock market in Taiwan has the characteristic of high trading value percentage of individual investors, stringent daily price limit and high volatility in stock return, which makes it perfect for studies into the magnet effect. The past literature also indicated that the magnet effect was observed on Taiwan stock market. Daily price limit officially loosened to 10% on June 1, 2015 in Taiwan, which is the timeline this study based for empirical research on the change of the magnet effect under the different price limits. Moreover, this study is conducted with four stock characteristics, industry (especially focus on electronic industry), debt ratio, institutional share-holding ratio and price to earnings ratio. The empirical results show that the magnet effect does not get weaker but stronger with the higher stock price fluctuation elasticity. On the other hands, non-electronic (especially the food and information service industries), low debt ratio, and low institutional share-holding ratio companies have stronger magnet effect. However, there are inconsistent results in price to earnings ratio. That is to say, price to earnings ratio is not an effective indicator of the magnet effect.
Reference:	●中文文獻沈中華、黃河泉 (1994)。股價波動性與結構轉變之探討──不同漲跌幅限制下的分析。台大管理叢書，第5卷第2期，頁23~24。吳壽山、周賓鳳 (1996)。衡量漲跌限制對股票報酬與風險之影響。證券市場發展季刊，第8卷第1期，頁1~25。林佳聲 (2001)。股市在漲跌幅限制下之資訊效率性。未出版之碩士論文，財務管理學研究所，國立政治大學。林孟函 (2014)。利用磁吸效應之當沖停板策略績效──台灣股票市場之實證。未出版之碩士論文，財務管理學研究所，國立中山大學。胡星陽、梁敏芳 (1995)。漲跌幅限制與台灣股票市場波動。證券發展季刊，第7卷第1期，頁1~24。洪淑華 (2002)。從股價差異探討漲跌幅限制對高科技類交易活動之影響。未出版之碩士論文，財務金融碩士班，朝陽科技大學。陳添裕 (1999)。漲跌限幅對報酬率、波動性及交易量影響之研究─臺灣實證分析。未出版之碩士論文，管理學研究所，東海大學。張維碩、馬黛 (2012)。由個股價格跳躍觀點分析台股漲跌幅限制放寬措施。管理與系統，19卷4期，頁701~727。鄧鍇 (1990)。漲跌幅設限對股價變動率影響之研究。未出版之碩士論文，管理學研究所，輔仁大學。劉逖、葉武、章秀奇 (2006)。進一步完善開放式集合競價機制──基於上海證券市場的實證研究。上海證券交易所研究報告。蕭慧玲 (1996)。漲跌限幅措施對市場交易活動影響之研究。未出版之碩士論文，商學研究所，國立臺灣大學。 ●English Literature Arak, M., Cook, R.E., 1997. Do daily price limits act as magnets? The case of Treasury bond futures. Journal of Financial Services Research 12, 5-20. Chen, Yea-Mow., 1993. Price limits and stock market volatility in Taiwan. Pacific-Basin Finance Journal 1, 139-153. Cho, D.D., Russell, J., Tiao, G.C., Tsay, R., 2003. The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange. Journal of Empirical Finance 10, 133-168. Du Y., Liu Q., Rhee S.G., 2006. An anatomy of the magnet effect: evidence from the Korea Stock Exchange high frequency data. Unpublished working paper, University of Hawaii. Hsieh, P. H., Y. H. Kim, and J. J. Yang, 2009. The magnet effect of price limits: A logit approach. Journal of Empirical Finance 16, 830-837. Lee, S. B., and K. J. Kim, 1995. The effect of price limits on stock price volatility: empirical evidence in Korea. Journal of Business Finance and Accounting 22, 257-267. Lehmann, B. N., 1989. Commentary: volatility, price resolution, and the effectiveness of price limits. Journal of Financial Services Research 3, 205-209. Ma, Christopher K., Rao, Ramesh P., and Sears, R. Stephen, 1989. Limit moves and price resolution: the case of the Treasury bond futures market. Journal of Futures Markets. 9 321-335. Subrahmanyam, A., 1994. Circuit breakers and market volatility: a theoretical perspective. Journal of Finance 49, 237-254. Wong,W.K., Chang, M.C., Tu, A.H., 2009. Are magnet effects caused by uninformed traders? Evidence from Taiwan Stock Exchange. Pacific-Basin Finance Journal 17, 28-40.
Description:	碩士國立政治大學財務管理研究所 105357010
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0105357010
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

Files in This Item:

File	Description	Size	Format
701001.pdf		535Kb	Adobe PDF2	34	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback