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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/34073


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    題名: 台灣股市盤後交易造成意見差異對股價報酬之影響
    作者: 嚴佑慈
    貢獻者: 姜堯民
    嚴佑慈
    關鍵詞: 盤後交易
    意見差異
    日期: 2007
    上傳時間: 2009-09-17 19:21:55 (UTC+8)
    摘要: 本篇論文主要探討台灣股市盤後交易的資訊性。所追蹤的資訊傳遞過程如下：以盤後交易為起點，進一步探討隔夜的意見差異因盤後交易所產生的影響，最後將盤後交易次日的股市收盤作為資訊傳遞的終點，以日股價報酬率測度盤後交易的資訊性表現。
    實證係採盤後交易量作為盤後交易的替代變數，另外使用開盤買賣價差、開盤首筆成功交易所需秒數與法人買賣超股數作為意見差異的三個替代變數。分別將以上的替代變數與股價報酬率作出迴歸分析，以求了解兩兩間的關係以及每段過程的變化，最後將前後連貫，作成完整的分析。
    實證結果發現，盤後交易使得隔夜意見差異增加、投資人意見差異會降低股價報酬、並且透過意見差異，盤後交易資訊使股價報酬減少。在實證分析時並考慮到控制變數：公司市值、市場成交量、盤後交易日個股報酬率、盤後交易日個股成交量、盤後交易日市場報酬率、內部人持股率、產業類型以及跨夜報酬率。由結果得知現行台灣盤後交易制度的限制：以固定價格交易，反而使盤後交易的資訊難於被一般投資人解讀。另外，意見差異在資訊傳遞的過程中扮演了重要的中介角色，在盤後交易的資訊影響到意見差異之後，盤後交易的資訊經過轉化，最後會對股價報酬產生影響。
    This article mainly investigates the informativeness of after-hours trading in Taiwan’s stock market. The information-delivery process tracked is as follows: information abstracted from after-hours trading session, and then observe the divergence of opinion because of trading after hours, end up with measuring the change of the next normal trading day. We use stock price return as a dependent variable in regressions to examine the impacts.
    In the empirical part, trading volume in after-hours session is the proxy of after-hours trading. The percentage opening spread, time of first trade, and flipping ratio are the three proxies of divergence of opinion. Then regression analysis is applied to examine the relationship between after-hours trading and divergence of opinion, also divergence of opinion and stock price return. At the end, all separate parts are put together in order to form a whole picture.
    The empirical results suggest that after-hours trading widens the divergence of opinion, and a wide divergence of opinion decreases the stock price return. Through the specific channel, divergence of opinion, the informativeness of after-hours trading is led to affect stock price return. The analysis also considered the following control variables: company market value, market trading volume, stock price return, stock trading volume, market return, insider ownership, industry type and overnight return.
    Therefore, restrictions in Taiwan’s after-hours market, such as the fixed-price trading, make it more difficult for the public to read information from after-hours session. Moreover, divergence of opinion is served as an important intermediary in the information-delivery process. When the divergence of opinion is affected by after-hours trading the previous day, the information is also transformed and pushed forward to affect the stock price return.
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    2. 楊清芬（2001），「資訊交易機率之測度及其決定因素探討」，碩士論文，國立中山大學。
    3. 張元晨（2002），「新加坡台股指數期貨盤後交易訊息外溢效果之研究」，行政院國家科學委員會補助專題研究計畫。
    4. 羅嘉輝（2002），「股票投資行為之探討-先前投資結果、得失兌現狀態與未來預期之影響」，碩士論文，元智大學。
    5. 詹場、胡星陽，2002，「台灣證券市場日內資料揭露特性及正確使用方法」，台灣財務金融學會學術研討會。
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    12. Aggarwal, R. and P. Conroy,（2000）,“Price Discovery in Initial Public Offerings and the Role of the Lead Underwriter,” Journal of Finance 55, 2903-2922.
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    15. Brock, William A. and Kleidon, Allan W., “Periodic Market Closure and Trading Volume: A Model of Intraday Bids and Asks,” Journal of Economic Dynamics and Control, Vol. 16, (3-4) 1992, pg.451-489.
    16. Barclay, Michael J. and Terrence Hendershott, （2003）,” Price Discovery and Trading After Hours,” The Review of Financial Studies, 16（4）, 1041-1073
    17. Barclay, Michael J. and Terrence Hendershott, （2005）, “A Comparison of Trading and Non-Trading Mechanisms for Price Discovery,” Working paper, Simon School of Business, University of Rochester and Haas School of Business, University of California, Berkeley.
    18. Bessembinder, Hendrik and Paul J. Sequin,” Futures-Trading Activity and Stock Price Volatility”, The Journal of Finance, Vol. 47, No. 5, Dec. 1992, pg. 2015-2034.
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    26. Krigman, L., W.H. Shaw, and K.L. Womack,”The Persistence of IPO Mispricing and the Predictive Power of Flipping,” Journal of Finance 54, 1999, 1015-1044.
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    28. Miller, E.M., 1977,”Risk, Uncertainty, and Divergence of Opinion,” Journal of Finance 32, 1151-1168.
    29. Schenone, C., “The Effect of Banking Relationships on the Firm’s IPO’s Underpricing”, The Journal of Finance, Vol. 59, No.6, S., 2004, pg. 2903-2958.
    30. Ulibarri, Carlos A.（1998）,”Is After-Hours Trading Informative？” The Journal of Futures Markets, 18（5）, 563-579.
    描述: 碩士
    國立政治大學
    財務管理研究所
    94357030
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094357030
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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