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題名：臺灣股票市場交易與非交易期間股價行為之研究
作者：劉弟勇
校院名稱：國立臺灣科技大學
系所名稱：管理研究所企業管理學程
指導教授：黃彥聖
學位類別：博士
出版日期：2000
主題關鍵詞：公開資訊；私有資訊；交易期間；非交易期間；開盤至開盤；收盤至收盤；交易機制假說；交易停止假說
原始連結：連回原系統網址new window
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交易期間（trading periods）的股票報酬變異數大於非交易期間（non-trading periods）的股票報酬變異數以及開盤至開盤（open-to-open）的股票報酬變異數大於收盤至收盤（close-to-close）的股票報酬變異數，這二種現象是常為學者所討論的。
French and Roll（1986）為了解釋交易期間股票報酬變異數大於非交易期間股票報酬變異數的股價行為，分別檢查了公開資訊、私有資訊以及交易噪音的角色。因為公開資訊通常都是在企業的正常營業時間內發生，而私有資訊的洩露則只能透過私有資訊擁有者參與市場交易而反應出來，French and Roll（1986）測試了相關的假說並認為造成交易期間股票報酬變異數大於非交易期間股票報酬變異數現象的主要原因係為私有資訊。
Amihud and Mendelson（1987）與 Stoll and Whaley（1990）等人也發現開盤至開盤的股票報酬變異數大於收盤至收盤的股票報酬變異數的現象。 Amihud and Mendelson（1987） 與 Stoll and Whaley（1990）利用紐約證券交易所掛牌的股票資料，比較開盤至開盤的股票報酬變異數與收盤至收盤的股票報酬變異數間的關係，並測試交易機制假說（trading mechanism hypothesis）；他們的研究發現的確存在開盤至開盤的股票報酬變異數大於收盤至收盤的股票報酬變異數的現象，而且他們認為這一結果係與交易機制假說相一致的。
然而，有關紐約證券交易所掛牌的股票在開盤時具有較大的報酬變異數的現象，交易機制假說並非惟一的解釋。另一說明開盤時具有較大的報酬變異數的解釋為交易停止假說（trading halt hypothesis），交易停止假說主張是因為在開盤前有一夜的期間交易是停止的，方造成開盤時具有較大的報酬變異數現象。 Choe and Shin（1993） 與 Choe（1994）的研究認為在開盤時具有較大的報酬變異數的現象是與交易停止假說相一致的。
國外的研究普遍的發現交易期間的股價行為與非交易期間的股價行為以及開盤至開盤的股價行為與收盤至收盤的股價行為是不同的。本論文我們將檢查在台灣證券交易所掛牌的股票在交易期間的股價行為與非交易期間的股價行為以及開盤至開盤的股價行為與收盤至收盤的股價行為；亦即我們將在本論文中探討交易期間與非交易期間的報酬變異數以及開盤至開盤與收盤至收盤的報酬變異數並測試相關的假說。
本論文主要探討一九七一年至一九九六年間，台灣證券交易所所有掛牌的上市有價證券在交易期間與非交易期間的股價行為。目前廣為用來解釋交易期間與非交易期間股價行為的假說計有：公開資訊假說、私有資訊假說及交易噪音假說。在公開資訊假說為真下，我們推論將產生非交易期間的證券報酬變異數高於交易期間的證券報酬變異數的現象；在私有資訊假說為真下，我們推論將產生交易期間的證券報酬變異數高於非交易期間的證券報酬變異數的現象；在交易噪音假說為真下，我們推論將產生交易期間的證券報酬變異數高於非交易期間的證券報酬變異數的現象，且交易期間與緊接其後的非交易期間的證券價格會有反向變動關係。由本論文的結果顯示在台灣股票市場中存在有交易期間的股票報酬變異數大於非交易期間的股票報酬變異數的現象，而且在較大交易量分群中更為顯著，另外我們也發現交易期間與緊接其後的非交易期間的證券價格間是呈正向變動關係；故我們認為我們的研究的結果係與私有資訊假說相一致的。
再者，我們也發現在台灣股票市場中也存在有開盤至開盤的股票報酬變異數大於收盤至收盤的股票報酬變異數的現象。在研究期間內，台灣證券市場不論是在開盤抑或收盤均採用定期集合競價交易機制進行撮合，故當交易機制假說為真下，我們可以預期在台灣證券市場中不應存在有開盤至開盤的報酬變異數高於收盤至收盤的報酬變異數的現象；相對於交易機制假說，交易停止假說則主張因為開盤前有一段期間市場是不開盤交易的，故於開盤前將累積大量的資訊，並於開盤時迅速將前開累積的資訊反應於股價上，進而造成開盤時的股價呈現較激烈的波動；而收盤時因前面仍持續進行交易，故不致有大量資訊累積的情形存在，因此於收盤時其股價將較開盤的股價波動平緩，故當交易停止假說為真下，我們可以預期在台灣證券市場中會存在有開盤至開盤的報酬變異數高於收盤至收盤的報酬變異數的現象。故我們認為我們的研究的結果係與交易停止假說相一致的。
Two typical empirical phenomena documented by several authors are that stock return variances are higher in trading periods than in non-trading periods and that open-to-open return variances are higher than close-to-close return variances.
French and Roll (1986) examine the role of public information, private information, and trading noise in explaining the price behavior. Since public information is more likely to arrive during normal business hours while private information is more likely to be revealed when informed investors trade, French and Roll (1986) test the relevant hypotheses and conclude that private information is the major factor for the observed higher trading-time variances.
The finding of higher return variance for the open-to-open period than for the close-to-close period is examined in Amihud and Mendelson (1987) and Stoll and Whaley (1990), among others. Amihud and Mendelson (1987) and Stoll and Whaley (1990) test this trading mechanism hypothesis by comparing the open-to-open return variances against the close-to-close return variances for stocks listed on the NYSE. They document higher open-to-open return variances than close-to-close return variances and conclude that the results are consistent with the trading mechanism hypothesis.
However, the trading mechanism hypothesis is not the only explanation for the higher return volatility at the open for the NYSE. The opening price can be more volatile than the closing price because of the inability to trade in the preceding overnight trading halt.
Given that the price formation process may differ for trading- and non-trading-periods and open-to-open and close-to-close periods, this paper attempts to examine the stock price behavior over trading and non-trading periods and over open-to-open and close-to-close periods for stocks listed on the Taiwan Stock Exchange. Specifically, this paper examines the stock return variances over trading and non-trading periods and open-to-open and close-to-close periods and tests the appropriateness of the relevant hypotheses in explaining the observed stock price behavior.
This paper examines the stock price behavior in the trading and non-trading periods for stocks listed on the Taiwan Stock Exchange over 1971-96. The results indicate that the trading-time return variances are higher than the non-trading-time return variances especially for the larger trading-volume quintiles. This result is consistent with the private information hypothesis.
Moreover, open-to-open return variances are higher than close-to-close return variances. Since both the opening and the closing transactions are conducted by the call auction procedure, the results are consistent with the trading halt hypothesis but not with the trading mechanism hypothesis.
中文文獻
1、 丘駿飛、劉維琪、吳欽杉，台灣證券交易機制對股價之影響，中山管理評論，民國八十四年三月，pp. 235-255。new window
2、 陳孟秀，台灣股市日內交易型態之實蹬研究，中正大學財務金融研究所未出版碩士論文，民國八十一年。
3、 陳駿毅，交易與休市期間報酬變動性的影響因子之研究，中原大學企業管理研究所未出版碩士論文，民國七十九年。
4、 楊踐為，法人交易習性與星期效應之異常現象研究，證券櫃檯，民國八十七年十二月，pp. 1-10。
5、 盧木生，台灣股票市場休市效果之再檢定，淡江大學金融研究所未出版碩士論文，民國八十二年。
6、 盧瑞明，台灣證券市場週末效應之實證研究，政治大學企業管理研究所未出版碩士論文，民國七十九年。
7、 羅弘璿，台灣股票市場假日效應之研究，交通大學管理科學研究所未出版碩士論文，民國八十四年。
8、林靜怡，交易與非交易期間股價報酬波動性之研究，淡江大學金融研究所未出版碩士論文，民國八十七年。
英文文獻
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