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題名 穩定機制、市場透明度與價格行為之研究
作者 羅雯萍
Lo, Wen-ping
貢獻者 李志宏
羅雯萍
Lo, Wen-ping
關鍵詞 穩定機制
市場透明度
價格行為
競價制度
兩檔限制
Market transparency
price behavior
two-tick limit
日期 2002
上傳時間 14-九月-2009 09:03:51 (UTC+8)
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。
參考文獻 中文部分
1. 黃寶慧1995，「台灣股市競價撮合與行情揭示制度對資訊揭露的影響之研究」 國立中正大學財務金融學系碩士論文
2. 林象山、陳安行 1986，「買賣價差對匯率報酬與風險之預測」，國立中正大學財務金融學系研究所
3. 王律傑 1997，「台灣股市交易資訊透明度對市場績效之影響」 國立中正大學財務金融學系碩士論文
4. 李志宏、李怡宗、周行一、劉玉珍 1999，「台灣證券交易所集合競價下兩檔限制的影響」台灣證券交易所
5. 詹場 2001，「台灣證券市場揭示制度對波動性、流動性及效率性的影響與揭示狀態的資訊含量」 國立高雄第一科技大學財務管理系
6. 張國宏 2002，「透明度對台灣證券市場波動性、流動性及效率性之影響」國立高雄第一科技大學財務管理所碩士論文
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描述 碩士
國立政治大學
財務管理研究所
90357016
91
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0903570161
資料類型 thesis
dc.contributor.advisor 李志宏zh_TW
dc.contributor.author (作者) 羅雯萍zh_TW
dc.contributor.author (作者) Lo, Wen-pingen_US
dc.creator (作者) 羅雯萍zh_TW
dc.creator (作者) Lo, Wen-pingen_US
dc.date (日期) 2002en_US
dc.date.accessioned 14-九月-2009 09:03:51 (UTC+8)-
dc.date.available 14-九月-2009 09:03:51 (UTC+8)-
dc.date.issued (上傳時間) 14-九月-2009 09:03:51 (UTC+8)-
dc.identifier (其他 識別碼) G0903570161en_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) 90357016zh_TW
dc.description (描述) 91zh_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/#G0903570161en_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 transparencyen_US
dc.subject (關鍵詞) price behavioren_US
dc.subject (關鍵詞) two-tick limiten_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) thesisen
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