價格漲跌幅限制之資訊內涵—臺灣證券交易所

Abstract

本篇論文將Jiang, McInish and Upson (2009)對美國暫停交易機制股票市場的研究方法應用於台灣漲跌停限制股票市場上。研究目的為觀察在漲跌停期間市場上個股的流動性及價格變化，所透露出的資訊內涵。研究對象非漲跌停股票本身，而是與漲跌停股票同一產業、資訊相關的、漲跌停期間仍在市場上交易的其他個股，來觀察漲跌停限制所透露出的資訊內涵：流動性及價格變化。本篇論文的個股資訊相關程度是從同產業間的個股之交易量、波動度及報酬的相關程度來定義的。資訊相關程度確定之後，再研究股票漲跌停期間，與其資訊相關的股票之流動性和價格變化。實證結果發現，在漲跌停期間，與漲跌停股票資訊相關的個股之價差增加，表示市場資訊不對稱程度變大；此外不僅深度增加，交易量也明顯增加，故本論文支持同市場資訊相關股票間存在替代效果。而價格變化方面，本論文發現，在股票漲跌停期間，其資訊相關個股價格變動較沒有漲跌停期間的價格變動更大，也就是說，資訊相關股票在漲跌停期間，漲得更多或跌得更多。本論文在台灣漲跌停機制股票市場上的研究結果與Jiang, McInish and Upson (2009)在美國暫停交易機制股票市場上的研究結果有相同的結論。

This paper applies a similar analysis of Jiang, McInish and Upson (2009) to the information content of price limits in Taiwan Stock Exchange, in order to observe the liquidity and price impacts of price limits from the informationally related stocks of a price-limited stock. Instead of price-limited stocks, the research object is stocks that are informationally related with price-limited stocks, and continuously traded in the market during the period of price limits. The information content is viewed from both aspects of liquidity and price impacts. Information relatedness in the study is implied from the correlations of volumes, volatilities, and returns between securities in the same industry. The empirical result of liquidity impact shows that, during the period of price limits, the informationally related stocks have lower quote-based liquidity], but have higher trade-based liquidity. This research also finds that informationally related stocks have larger price impact during the period of price limits. The empirical result in this study supports the substitution effect hypothesis, and shows that the level of information asymmetry increases when price limits arise in the market, and informationally related stocks have significant liquidity impact and price impact in the duration of price limits.