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    题名: 漲跌幅限制下的磁吸效應與投資人情緒之關係
    The relationship between the magnet effect of price limits and investor sentiment
    作者: 謝孟翰
    Hsieh, Meng-Han
    贡献者: 周冠男
    Chou, Robin K.
    謝孟翰
    Hsieh, Meng-Han
    关键词: 漲跌幅限制
    磁吸效應
    投資人情緒指標
    Price limits
    Magnet effect
    Investor sentiment
    日期: 2017
    上传时间: 2017-07-24 12:01:41 (UTC+8)
    摘要: 本研究針對2015年7月1日到2016年12月31日之台灣股票市場上市892家公司股票，並延續Cho et al. (2003)的研究模型來驗證台灣股票市場在放寬漲跌幅限制至10%下的磁吸效應，當股票價格距離漲跌幅限制越來越靠近時，其投資人是否會有非理性的交易策略，而使得股票價格加速往漲跌停板靠近。研究顯示台灣股票市場儘管在放寬漲跌幅限制至10%後，仍存在顯著的磁吸效應。
    本研究更進一步採用2015年7月到2016年12月共18個月的台灣消費者信心指數當作直接情緒指標虛擬變數並加入本模型中來探討投資人情緒指標與磁吸效應之關係，研究發現，在高投資情緒期間下，台灣股票市場會存在較強的磁吸效應，而在低投資情緒期間下則會存在較低的磁吸效應，表示若當投資人情緒指標越大時，投資人越容易出現不理性的交易行為，造成股票價格加速觸及漲跌停板。
    最後，本研究也使用了不同客觀的磁吸效應觸發門檻來進行驗證，研究發現股票價格在較高的觸發門檻下的磁吸效應強度會越強，而在加入投資人情緒指標的虛擬變數後的模型來進行驗證也發現了相同的結果。
    This paper refers the research method from Cho et al. (2003) by using the 892 listed stocks on TWSE from July 1, 2015 to December 31, 2016 to examine the magnet effect after TWSE extended the daily price limits to 10%. When the stock price moves close to the price limits, the investors whether will make the irrational decision to accelerate the stock price toward the price limits. The result shows that TWSE still exists the significant magnet effect after extending the daily price limits to 10%.
    Furthermore, we consider the sentiment by using Taiwan Consumer Confidence Index from July, 2015 to December, 2016 which includes eighteen months sample as the direct investor sentiment and by adding the dummy variable in our model to examine the effect between the magnet effect of price limits and investor sentiment. The result shows that there is stronger magnet effect in high investor sentiment and weaker magnet effect in low investor sentiment, it means that the investors are easier to make irrational decision in high investor sentiment than in low sentiment on TWSE.
    Finally, we also use the different subjective thresholds to examine the magnet effect. We find that higher trigger threshold has the stronger magnet effect than the lower trigger threshold and also find the same result by adding the dummy variable of investor sentiment.
    參考文獻: 1.林美鳳、金成隆、張淑慧，2011，投資人情緒與分析師行為之關聯性研究，管理學報，第二十八卷第五期，頁447-474。
    2.林孟涵，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，國立中山大學財務管理研究所碩士論文。
    3.劉逖、葉武、武朝輝，2006，漲跌幅限制與市場效率：對上海股票市場的經驗研究，上海證券交易所創新實驗室研究報告。
    4.蔡佩蓉、王元章、張眾卓，2009，投資人情緒、公司特徵與台灣股票報酬之研究，經濟研究，第四十五卷第二期，頁273-322。
    5.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.
    6.Baker, M. and J. C. Stein 2004. "Market Liquidity as a Sentiment Indicator" Journal of Financial Markets, 7, 271-299.
    7.Baker, M. and J. Wurgler 2006. "Investor Sentiment and the Cross Section of Stock Returns" Journal of Finance, 61, 1645-1680.
    8.Brown, G. W. and Cliff, M. T., 2004. "Investor Sentiment and the Near-term Stock Market" Journal of Empirical Finance, 11(1), 1-27.
    9.Charoenrook, A., 2003. "Does sentiment matter?" Working Paper, Vanderbilt University.
    10.Chen, Y. M., 1997. "Price Limits and Liquidity: A Five-Minute Data Analysis."Journal of Financial Studies 4, 45-65.
    11.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.
    12.Chopra, N., C. M. C. Lee, A. Shleifer and R. H. Thaler, 1993. "Yes, discounts on closed-end funds are a sentiment index" Journal of Finance, 48, 801-808.
    13.Delong, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann, 1990. "Noise Trader Risk in financial Markets." Journal of Political Economy, 98(4), 703-738.
    14.Du Y., Liu Q., Rhee S.G., 2006. "An anatomy of the magnet effect: evidence from the Korea Stock Exchange high frequency data." Working paper, University of Hawaii.
    15.Fama, E. F. 1989. Perspectives on October 1987, or What Did We Learn from the Crash? In: Kamphuis Jr., R.W., Kormendi, R.C., Henry Watson, J.W. (Eds.), Black Monday and the Future of the Financial Markets. Irwin, Homewood, IL.
    16.Fisher, K. L. and Statman, M., 2000. "Investor Sentiment and Stock Returns" The Financial Analysts Journal, 56(2), 16-23.
    17.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.
    18.Kim, K. A., and S. G. Rhee, 1997. "Pricing Limit Performance: Evidence from Tokyo Stock Exchange." Journal of Finance 52, 885-901.
    19.Lee, C. M. C., A. Shleifer and R. H. Thaler 1991. "Investor Sentiment and the Closed-End Fund Puzzle" Journal of Finance, 46, 75-109.
    20.Lee, Sang-Bin and Seok-Chung Jee, 1996. "Price limits and stock market Efficiency." Journal of Business and Accounting 23, 585-601.
    21.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.
    22.Lehmann, B. N., 1989. "Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits." Journal of Financial Services Research 3, 205-209.
    23.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.
    24.Du P., 2003. "Do price limits behave like magnets? " Working paper, London Business School.
    25.Subrahmanyam, A., 1994. "Circuit breakers and market volatility: a theoretical perspective." Journal of Finance 49, 237–254.
    26.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.
    描述: 碩士
    國立政治大學
    財務管理研究所
    105357005
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1053570051
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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