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    题名: 影響台灣處置股票價格行為之因素探討
    Discussion on Factors Affecting Taiwan Disposal Stock’s Price Behavior
    作者: 花逸峻
    Hua, Yi-Chun
    贡献者: 李志宏
    花逸峻
    Hua, Yi-Chun
    关键词: 處置股票
    注意宣告
    價格行為
    變異數比率
    價差跳動
    報酬率自相關
    資訊不對稱
    逆選擇成本
    Disposal stock
    Monitoring announcement
    Price behavior
    Variance ratio
    Bounce between spread
    Return autocorrelation
    Information asymmetry
    Adverse selection cost
    日期: 2022
    上传时间: 2023-03-09 18:57:00 (UTC+8)
    摘要: 本研究探討近年台灣股票交易市場我國注意宣告暨處置股票制度對上市股票對股票價格行為之影響性並分析造成其改變之因素，以2020年3月至2022年6月台灣證券交易所上市並公告第一次處置之普通股為主要研究樣本，針對波動性、效率性、流動性、報酬率序列自我相關、資訊不對稱等造成股價行為改變之因素做出實證研究，並探討其互相影響之關聯。
    實證結果發現，在注意宣告前，成交量及波動度皆有上升情形，並於注意宣告期攀升至最高，而資訊不對稱程度在注意期則有下降的情形，使報酬率序列具負自我相關性，使得股價不具效率性。進入處置措施後，股票的成交量及波動性皆顯著下降，但資訊不對稱程度卻大幅提高，因此報酬率序列的負自我相關性雖因此降低，卻反而呈現高度的正自我相關性，股價仍具不效率性。處置措施結束後，交易限制的解除使資訊不對稱程度下降至注意宣告前的水準，波動性和成交量則皆顯著上升，其報酬率序列也恢復成負自我相關性。
    This study examines the impact of the monitoring announcement and disposal system on stock price behavior in Taiwan`s stock exchange market recently, and analyzes the factors that cause the change. Taking the common stocks which had diposal announced for the first time in Taiwan Stock Exchange from March 2020 to June 2022 as the main research samples, this study conduct empirical research on the factors that cause changes in stock price behavior, such as volatility, efficiency, liquidity, return autocorrelation, and information asymmetry, and examine their interactions of influence.
    The empirical results show that before the announcement of monitoring, the trading volume and volatility both increase, and climb to the highest during the priod of monitoring announcement while the degree of information asymmetry decreases, making the return series negative autocorrelation and the inefficiency of stock price. During the disposal measures, the trading volume and volatility of the stock decreased, but the degree of information asymmetry increased significantly. Therefore, although the negative autocorrelation of return decreased, it showed a high degree of positive autocorrelation, and the stock price remained inefficient. After the disposal measures, the removal of trading restrictions reduced the degree of information asymmetry to the level before the monitoring announcement, while volatility and trading volume both increased significantly, and the return series also returned to negative autocorrelation.
    參考文獻: 一、中文文獻
    1. 王鐵峰，2005，滬深股市異常波動停牌制度有效性研究，深圳證券交易所第七屆會員單位與基金公司研究成果。
    2. 朱欣梅，2013，公告注意股票之研究 - 以台灣櫃檯買賣中心交易為例，國立成功大學碩士在職專班論文。
    3. 李政毅，2014，處置股票宣告後的股價異常報酬之探討─以台灣證券交易所與櫃檯買賣中心為例，中原大學企業管理學系碩士論文。
    4. 林淑玲、葉銀華、吳壽山、黃建龍，2003，股市監視制度影響之研究：市場流動性效果暨流動性與超額報酬之關聯，中山管理評論；2003年春季號。
    5. 林肇鴻，2014，臺灣上市公司違規及交易面異常處理制度對市場交易品質之影響，國立中正大學企業管理研究所碩士論文。
    6. 姚嵩濤，2021，臺灣股市處置措施對股票報酬之影響，南華大學管理學院財務金融學系財務管理碩士論文。
    7. 紀嬋，2016，交易停牌、價格波動與交易量：中國市場實證，國立交通大學資訊管理與財務金融學系財務金融碩士論文。
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    二、英文文獻
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    6. Chernov, Mikhail & Ghysels, Eric (2000). A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. Journal of Financial Economics, Elsevier, vol. 56(3), 407-458.
    7. Chung, J.M., Choe, H., Kho, B.C. (2009). The impact of day‐trading on volatility and liquidity. Asian‐Pacific Journal of Financial Studies, 38, 237– 275.
    8. Cohen, K. J and R. A Schwarz (1989). An Electronic Call Market: Its Design and Desirability. The challenge of Information Technology for the Securities, D. Irwin., 15-58.
    9. Ferris S. P., R. Kumar and Glenn A. Wolfe (1992). The Effect of SEC Ordered Suspensions on Returns. The Financial Review Vol.27 1-34.
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    11. Garvey, Ryan, and Anthony Murphy (2002). How profitable day traders trade: An examination of trading profits, Working paper.
    12. Goldman, M. B. and Howard B. Sosin (1992). Information Dissemination, Market Efficiency and the Frequency of Transactions. Journal of Financial Economics Vol.7 607-641.
    13. Haim Mendelson (1982). Market Behavior in a Clearing House. Econometrica, 50(6), 1505-1524.
    14. Han, Bing, and Alok Kumar (2013). Speculative retail trading and asset prices. Journal of Financial and Quantitative Analysis, 48(2), 377–404.
    15. Howe, J. S., & Schlarbaum, G. G. (1986). SEC trading suspensions: Empirical evidence. Journal of Financial and Quantitative Analysis, 21(3), 323-333.
    16. J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldmann (1990). Noise Trader Risk in Financial Markets. Journal of Political Economy, 98(4) 703-738.
    17. Joel Hasbrouck and Robert A. Schwartz (1988). Liquidity and execution costs in equity markets. The Journal of Portfolio Management Spring 1988, 14(3), 10-16.
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    19. John Y. Campbell, Martin Lettau, Burton G. Malkiel, Yexiao Xu (2001). Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. The Journal of Finance , 56(1), 1-43.
    20. Kaul, Gautam & Nimalendran, M. (1990). Price reversals : Bid-ask errors or market overreaction? Journal of Financial Economics, Elsevier, vol. 28(1-2), 67-93.
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    22. Kyle, Albert S. (1988) Trading Halts and Price Limits. The Review of Futures Markets Vol.7 No.3 427 433.
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    26. Michael J. Brennan and H. Henry Cao (1996). Information, Trade, and Derivative Securities. The Review of Financial Studies, 9(1), 163–208.
    27. Michael S. Pagano, Lin Peng and Robert A. Schwartz (2013). A call auction`s impact on price formation and order routing: Evidence from the NASDAQ stock market. Journal of Financial Markets, 16(2), 331-361.
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    描述: 碩士
    國立政治大學
    財務管理學系
    109357032
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0109357032
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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