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| Title: | 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 |
| Authors: | 謝孟翰
Hsieh, Meng-Han |
| Contributors: | 周冠男
Chou, Robin K.
謝孟翰
Hsieh, Meng-Han |
| Keywords: | 漲跌幅限制
磁吸效應
投資人情緒指標
Price limits
Magnet effect
Investor sentiment |
| Date: | 2017 |
| Issue Date: | 2017-07-24 12:01:41 (UTC+8) |
| Abstract: | 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. |
| Reference: | 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。
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| Description: | 碩士
國立政治大學
財務管理研究所
105357005 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G1053570051 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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