由個股價格跳躍觀點分析台股漲跌幅限制放寬措施

Abstract

台灣股市7%的漲跌幅限制已延用多年，近年來漲跌幅放寬議題受到各界關注，本文首次由股價跳躍現象分析個股價格到達漲跌停限制之頻率，進而模擬放寬漲跌幅對於個股可能的影響。統計台灣上市公司1996年至2005年的資料顯示，平均而言當日收盤漲停或跌停，次日開盤價格延續的機率高達八成以上，實證結果支持「延遲價格發現假說」，放寬漲跌幅將有助於價格效率性。我們認為股價平緩移動的部份較不足以推動價格達到停板限制，屬於價格不連續跳躍的成份才是關鍵，因此本文研究價格跳躍對於股價到達漲跌停頻率的影響，我們採用Wei and Chiang（2004）之方式將股價日資料，重建為個股於無漲跌幅限制下的報酬率數列，再以ARCH-Jump模型估計參數。實證結果顯示，根據跳躍模式估計價格發生大幅度跳躍之頻率愈高的個股，其股價觸及漲跌停限制的次數愈多。進一步研究發現公司規模小、風險大、交易熱絡、股價低以及交易主要來自於散戶，或是擁有訊息者採取拆單策略下單之個股，該公司股價發生大幅度跳躍的頻率亦愈高。此外，本文模擬放寬漲跌幅限制至不同水準之下股價跳躍至漲停與跌停限制之頻率，研究結果可供台灣股市放寬漲跌幅限制措施之參考。

The Taiwan Stock Exchange set its daily price fluctuation limits at 7% about twenty years ago. Of late, the relaxation of price limits is heedful. This paper examines how jump size and jump intensity of stock price affect the frequency of the price limits implemented in Taiwan stock market. From our data over the period 1996 to 2005, we find that if the closing price hit price limits, the opening price of next trading day would continue with a probability over eighty percent. The empirical evidences from Taiwan stock market support the delayed price discovery hypothesis. Thus, the relaxation of price limit may contribute to price efficiency. We deem that normal news innovations are assumed to cause smoothly evolving changes in the conditional variance of returns. The unusual news cause infrequent large moves in returns are labeled jumps. Additionally, by performing the procedure proposed in Wei and Chiang (2004), we regenerate the return series and estimate parameters with ARCH-Jump model. The empirical evidence reveals that price limits are hit more often by stocks with higher limit-hit frequency estimated by jump parameters. We also find that stocks with smaller market capitalizations, more systematic and residual risk, lower prices jump, and more actively traded by individuals more often to hit price limits. In order to appraise the policy of using wider price limits, we simulate the frequencies of upper and lower limit-hits under several kinds of feasible price limits. The findings of our research provide important insights into the relaxation of price fluctuation limits.