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題名:升降單位機制影響日內股票價格行為之研究
作者:柯美珠
作者(外文):Mei-Chu Ke
校院名稱:國立臺灣科技大學
系所名稱:企業管理系
指導教授:黃彥聖
學位類別:博士
出版日期:2003
主題關鍵詞:升降單位買賣價差日內股價行為tick suzebid-ask spreadintraday stock price behavior
原始連結:連回原系統網址new window
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升降單位是指證券主管單位所規範之股價最小變化單位。若升降單位大於均衡買賣價差,則升降單位會對股票價格產生限制,致使均衡買賣價差必須上升和升降單位同樣的大小,如此會使均衡買賣價差變大,交易成本增加,因此升降單位制度如何影響股票價格行為,應是一項重要而且有趣的課題。
本論文主要以民國87年至88年在台灣證券交易所上市之公司為研究對象,探討升降單位對日內股價行為之影響。本研究以成交價落在40-50元間之0.1元升降單位,與落在50-60元間之0.5元升降單位的同一家公司為樣本。對於落在50元左右交易價格的股票,升降單位變化的幅度高達5倍之多,故針對50元左右交易價格的股票作分析,可有效地比較升降單位對日內股價行為之影響。
本論文首先發現樣本公司日內之買賣價差、報酬波動、報酬自我相關與交易量,均呈現U形之日內型態。再者,亦發現升降單位對日內之買賣價差、報酬波動與報酬自我相關,均具有顯著性的影響。較大升降單位有較大日內之買賣價差、報酬波動與報酬負的自我相關。最後,亦發現買賣價差與報酬波動在U形日內型態下,升降單位增加,會使日內之買賣價差與報酬波動,在盤中交易期間的增加幅度最大;亦即買賣價差與報酬波動,在盤中交易期間受到升降單位的影響最大。然而升降單位對日內交易量並無顯著性的影響。
Tick size refers to the minimum price variation mandated by the stock exchange authority. If tick size were larger than warranted by the equilibrium condition, tick size would become a binding constraint on stock prices. The issue of how tick size affects stock price behavior is important for the design of a market trading mechanism.
This research examines the impact of tick size on intraday stock price behavior for stocks listed on the Taiwan Stock Exchange over the two-year period of 1998-99. The sample involves the same 80 firms that trade under the tick size of (New Taiwan Dollars) NT$0.1 and NT$0.5 respectively. tick size is (New Taiwan Dollars) NT$0.1 for stocks priced in NT$15-50, and NT$0.5 for stocks priced in NT$ 50-150. Since tick size for stocks priced immediately above NT$50 is five times of that for stocks priced immediately below NT$50, the impact of tick size on intraday stock price behavior can be analyzed conveniently for stocks traded in the proximity of NT$50. The sample firms display a U-shaped intraday pattern of bid-ask spread, volatility, autocorrelation, and trading volume.
The major empirical findings are as follows: First, tick size has a significant impact on intraday bid-ask spread, autocorrelation, and return volatility. A larger tick size is associated with a wider bid-ask spread, larger return volatility, and more negative autocorrelation. Second, a larger tick size is associated with a higher percentage increase in bid-ask spread and return volatility in the middle than in other part of the trading period. Since intraday patterns of bid-ask spread and return volatility are U-shaped, a large tick size tends to be binding in the middle than in other part of the trading period. Finally, the impact of tick size on intraday trading volume is less significant.
中文文獻
1. 陳孟秀,台灣股市日內交易型態之實證研究,中正大學財務金融研究所未出版碩士論文,民國八十一年。
2. 劉玉珍、臧大年與陳薇如,台灣未上市股票市場買賣價差之決定因子,證券市場發展季刊,民國86年,10 (4),27-53頁。
3. 詹場,台灣證券市場交易方向之推導與資訊含量,台灣大學財務金融研究所未出版博士論文,民國八十九年。
4. 陳雲卿,日內效應之再檢視:台灣股市的實證,逢甲大學會計與財稅研究所未出版碩士論文,民國八十九年。
5. 姜清海,升降單位機制對市場績效之研究。台灣科技大學企業管理系未出版博士論文,民國九十年。
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