| dc.contributor.advisor | 李志宏 | zh_TW |
| dc.contributor.author (Authors) | 羅雯萍 | zh_TW |
| dc.contributor.author (Authors) | Lo, Wen-ping | en_US |
| dc.creator (作者) | 羅雯萍 | zh_TW |
| dc.creator (作者) | Lo, Wen-ping | en_US |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:03:51 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:03:51 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:03:51 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0903570161 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31015 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 90357016 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 台灣過去的競價制度與行情揭示受到兩檔限制的規範，導致撮合效率與交易公平性受到質疑，而部分未成交的最佳資訊也可能受到隱藏，導致真實資訊無法及時揭露，誤導投資人錯誤解讀資訊，反而有助長殺跌的疑慮。 近年來全球追求資訊透明化的趨勢使得我國的兩檔限制備受爭議，也引發一股改革的風潮。因此，台灣證券交易所於民國91年7月進行交易制度的調整，取消自民國74年來沿用的兩檔限制，而以瞬間價格穩定機制當作穩定股市的措施，並進一步增加未成交價量資訊的揭示，提升整體市場資訊揭示的質與量。 本文以上述的交易制度調整為研究主題，探討市場在面臨穩定機制改變與市場透明度增加的情況下，其價格行為之變化。藉此評估此次交易制度的施行成效，並分別選取市值最高與最低的30支個股為衡量績效指標值的對象，以瞭解新的交易制度對於所有股票皆有相同影響。 結果發現，就第一階段的取消兩檔、輔以瞬間價格穩定措施與揭露一檔的政策而言，整體樣本的波動性為顯著增加，而高低市值的股票則有截然不同的反應。低市值群組在交易制度調整訊息宣告時享有正的顯著報酬，且在市場績效的驗證上發現Hei & Heubel模型衡量的流動性獲得改善，支持流動性改善有助於提升證券價值的說法，顯示取消兩檔限制輔以瞬間價格穩定措施，並提升市場透明度的作法對低市值群組是較有利的。相對的，高市值群組則發現較不利的證據，衡量宣告日的證券異常報酬為不顯著，流動性與波動性指標則明顯轉差。此外，第二階段的揭露五檔將普遍提升市場整體的效率性，其中以低市值群組最為明顯，此外在波動性與流動性方面，發現高低市值有很明顯的對比與抵換關係，高市值為流動性轉差但價格波動減少，低市值則相反，綜合為整體樣本的變化則不明顯。 推論上述實證結果，可能原因在於高低市值群組本身特性不同，導致相同的交易制度變革有不同的影響。高市值本身屬於企業規模大、股價較高，資訊透明度與交易較熱絡的一個族群，而低市值股票為傳統產業股居多，為股市中較不受投資人關愛、流動性較低，資訊不對稱程度也較高的股票。因而，過去在兩檔限制下，揭示代理價格、隱藏真實資訊，導致投資人錯誤解讀資訊者，應屬低市值股票較為嚴重，預期在取消兩檔限制後，資訊不對稱提升的程度相對來的高。此外，從第二階段揭露五檔的效果看來，高低市值的效率性皆改善，但在流動性與波動性方面卻呈現對比的抵換關係，顯示增加市場透明度對於市場績效無絕對的好壞。 | zh_TW |
| dc.description.tableofcontents | 第一章、 緒論---------------------------------------------------------------------1 第一節 引言-----------------------------------------------------------------------1 第二節 研究動機-----------------------------------------------------------------2 第三節 研究目的-----------------------------------------------------------------5 第四節 論文內容編排-----------------------------------------------------------6 第二章、 文獻回顧---------------------------------------------------------------7 第一節 集中市場新制度介紹--------------------------------------------------7 第二節 兩檔限制-----------------------------------------------------------------9 第三節 暫停交易----------------------------------------------------------------13 第四節 市場透明度-------------------------------------------------------------16 第五節 小結----------------------------------------------------------------------20 第三章、 實證設計-------------------------------------------------------------21 第一節 資料與研究期間-------------------------------------------------------23 第二節 證券報酬衡量----------------------------------------------------------25 第三節 市場績效的衡量-------------------------------------------------------29 第四節 證券異常報酬與市場績效之關係----------------------------------38 第四章、 實證結果-------------------------------------------------------------39 第一節 證券報酬衡量----------------------------------------------------------39 第二節 市場績效的衡量-------------------------------------------------------43 4.2.1 第一階段交易制度的績效衡量------------------------------43 4.2.2 第二階段交易制度的績效衡量------------------------------56 第三節 證券異常報酬與市場績效之關係----------------------------------57 第四節 小結----------------------------------------------------------------------60 第五章、 結論與建議----------------------------------------------------------63 第一節 研究結論----------------------------------------------------------------63 第二節 研究建議----------------------------------------------------------------65 參考文獻--------------------------------------------------------------------------66 圖表目錄 表2-1：集中市場新舊交易制度比較-------------------------------------------------7 圖3-1：實證流程------------------------------------------------------------------------22 表3-1：研究時間的劃分---------------------------------------------------------------23 表4-1：公告日的證券異常報酬檢定----------------------------------------------40 表4-2：實施日的證券異常報酬檢定------------------------------------------------41 表4-3：結合兩事件日的證券異常報酬檢定---------------------------------------42 表4-4：六個月的績效差異檢定-----------------------------------------------------43 表4-5：上半年的績效穩定測試-----------------------------------------------------45 表4-6：下半年的績效穩定測試-----------------------------------------------------45 表4-7 三個月的績效差異檢定＿未調整------------------------------------------47 表4-8 三個月的績效差異檢定＿經Schwertz model調整---------------------49 表4-9：10天的績效差異檢定＿未調整-------------------------------------------50 表4-10：10天的績效差異檢定＿調整市場走勢----------------------------------52 表4-11：一個月的績效差異檢定＿未調整----------------------------------------54 表4-12：一個月的績效差異檢定＿調整市場走勢-------------------------------54 表4-13：揭露五檔效果----------------------------------------------------------------56 表4-14：市場績效改善與異常報酬的關係----------------------------------------59 表4-15：高低市值群組之屬性分析-------------------------------------------------60 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0903570161 | en_US |
| dc.subject (關鍵詞) | 穩定機制 | zh_TW |
| dc.subject (關鍵詞) | 市場透明度 | zh_TW |
| dc.subject (關鍵詞) | 價格行為 | zh_TW |
| dc.subject (關鍵詞) | 競價制度 | zh_TW |
| dc.subject (關鍵詞) | 兩檔限制 | zh_TW |
| dc.subject (關鍵詞) | Market transparency | en_US |
| dc.subject (關鍵詞) | price behavior | en_US |
| dc.subject (關鍵詞) | two-tick limit | en_US |
| dc.title (題名) | 穩定機制、市場透明度與價格行為之研究 | zh_TW |
| dc.type (資料類型) | thesis | en |
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