股價跳空缺口回補的實證研究-以台灣上市櫃公司為例

Abstract

本研究探討技術分析中的跳空缺口回補的機率與回補速度，並分析缺口大小、公司規模、股票成交值、近期股價波動性及市場趨勢五個因素對回補機率和速度的影響。

本文選取2009年至2013年台灣上市櫃公司之股票，以 Logit模型 及 Probit模型探討缺口回補機率，使用OLS模型估算缺口回補速度，建構樣本內回溯測試及樣本外回溯測試。

本文實證結果發現，缺口回補機率預測值，在3個、15個及30個交易日內完全回補機率預測值各約為43%、71％與79％；部份回補機率預測值各約為57％、79％與84％。影響回補機率因子中，跳空當日是否漲跌停、跳空後一日的成交值規模、公司近月歷史報酬率波動度、跳空當日的股價振幅與跳空後一日的股價振幅，這五個因子顯著影響回補機率。這五個因子中，公司近月歷史報酬率波動度與跳空後一日的股價振幅與回補機率成正相關，其餘三個因子則為負相關。顯示公司近月歷史報酬率波動度越大回補機率越高，跳空後一日的股價振幅越大回補機率也越高。

在回補速度方面，缺口回補時間預測值，3個、15個及30個交易日內完全回補時間預測值各為1.82天、3.96天與5.91天，部份回補時間預測值各為1.61天、3.23天與4.83天。影響回補速度因子中，跳空當日是否漲跌停、跳空後一日的股票成交值規模、跳空當日的股價振幅與跳空後一日的股價振幅，這4個因子顯著影響回補機率。唯有跳空後一日的股價振幅與回補速度呈負相關，顯示跳空後一日股價振幅越大回補速度也越快,這與對回補機率的影響方向是一致的。

This research investigates the probability of gap filling and speed of gap filling in technical analysis. The study estimates the influence of five factors, including gap size, company size, trade value of the stock, recent share price volatility, and market trends, to the probability and speed of gap filling.

Logit model and Probit model were used to explore the probability of gap filling, and OLS model was used to estimate the speed of gap filling. Stock prices listed on the Taiwan Sotck Exchane (TSE) and Taiwan’s over-the-counter market from 2009 to 2013 were collected and performed with in sample backtest and out of sample backtest for analysis.

The result shows that, the probability of the predicted value within 3 days, 15 days and 30 days after the stock gapped, each is about 43%, 71% and 79% for fully gap filling and 57%, 79% and 84% for partial gap filling. Five variables, limit move, the scale of the next day transaction value, firm's historical rate of return volatility in recent month, price amplitude and price amplitude of next day, have significant impact on the probability of gap filling. Firm's historical rate of return volatility in recent month and price amplitude of next day have a positive correlation while the rest of 3 variables are negatively correlated. The greater degree of firms’recenlty volatility and the stock price amplitude of next day, the stock price would have higher probability for gap filling.

In the speed of gap filling, the filling days of the predicted value within 3 days, 15 days and 30 days after the stock gapped, each is about 1.82 days , 3.96 days, and 5.91 days for fully gap filling and 1.61 days, 3.23 days and 4.83 days for partial gap fillng. Four variables, limit move, the scale of next day transaction value, the price amplitude and the price amplitude of next day, have significant impact on the speed of gap filling. Only amplitute of next day has a negative correlation. And the greater amplitute of next day, the stock price had faster speed to fill, which was the same influence for the probability of gap fillng.