停板交易對股票系統性風險與流動性影響之研究--以台灣電子、紡纖類股樣本為例

Abstract

價格漲跌幅限制造成股票價格在反應市場資訊時發生遲延，可能造成在財務決策上廣泛使用的Beta係數，以及在實務上常用來衡量投資績效的財務指標發生改變，因而影響投資績效的評估結果。另外，在價格漲跌幅限制下，投資人無法在停板以外的價格進行交易，所以市場流動性亦會受到價格達到漲跌停板的影響，使得交易者無法順利結清投資部位，增加投資人的變現風險。 股票價格的波動受到許多經濟性與非經濟性因素的影響，為分析影響股票交易活動的因素究竟來自於停板交易或是來自於其他政經環境背景，本研究選擇民國84年1月到89年3月為研究期間，並將研究期間以86年7月東南亞金融風暴以及88年921集集大地震為基礎區分成三個子期間進行研究。另外，目前台灣證券市場之交易量或交易值已由傳統產業逐漸轉移至高科技產業，因此在考慮相對強勢股或相對弱勢股以及每股股價水準高低不同時若進行市場炒作則成本可能不同，本研究選擇傳統產業中之紡纖股40家與高科技產業中之電子股32家上市公司為研究對象。本研究為了維持停板交易資訊內涵的完整性，採用日資料進行實證研究。為瞭解股價以漲跌停板收盤時，投資者對遞延資訊的調整行為，在分析模式中考慮股價達到漲跌停板對次一交易日的遞延影響。另外，為避免市場新增資訊對交易活動所造成的干擾，本研究特別考慮連續兩交易日是否同為停板交易的情況，進行七種停板型態交易之探討。 在實證模式中，分別利用虛擬變數來表達期間、產業別與停板交易型態對股票系統性風險以及以交易量與週轉率衡量之股票流動性的影響。期間、產業別與停板交易型態聯合影響迴歸分析之假說檢定結果發現，股票之系統性風險、交易量與週轉率皆會受到停板交易型態、期間或產業別的影響，並且停板交易型態、期間與產業別之間，停板交易型態與期間之間以及停板交易型態與產業別之間的三因子與二因子交互作用效果顯著，表示停板交易型態對股票系統性風險與流動性的影響在不同的政經環境背景下以及在不同產業類股之間可能有所不同。 區隔不同期間與停板交易型態之實證結果發現，在不同停板交易型態，紡纖股與電子股產業間之股票系統性風險差異並不顯著，但在921集集大地震以及第二次總統全民直接選舉期間，此二產業的股票交易活動卻有明顯的差異。一般而言，在股價達到漲跌停板時，對電子股市場交易活動的影響較對紡纖股市場交易活動的影響大。 區隔不同期間與產業之實證結果發現，在股票系統性風險之立即或遞延的影響上，價格漲跌幅限制皆有使紡纖股與電子股之股票系統性風險降低的效果。在交易量與週轉率的遞延影響上，價格漲跌幅限制造成交易波動外溢使得紡纖股與電子股在停板日後的交易量或週轉率可能會被強化。在交易量與週轉率的立即影響上，價格漲跌幅限制對市場交易的流動性會形成阻礙，容易使得價格在達到漲跌停板時出現買壓或賣壓的現象，造成紡纖股與電子股之每日交易量或週轉率的波動程度增加。

The price limit regulation delays stock price discovery process if the limits are hit. The beta or investment performance index might be changed under this situation. Besides, price limit might reduce the market liquidity, and the investors might not be able to finish the transaction and must bear the induced risk. In order to analyze whether factors influencing stock trading are raised by price limits or by other economic/non-economic environment factors, we choose financial crisis in Southeast Asia and 921 Earthquake as events to divide the study period (January 1995 to March 2000) into three sub-periods. In Taiwan stock market, the main trading activities have shifted from textiles to electronics. Considering whether a stock is heavily traded and the difference of transaction costs, we select 40 textile stocks and 32 electronics stocks to carry out the empirical study. The daily trading data is adopted to keep the integrity of information content of price limits in this work. The analysis model considers the unrealized information influence over next day’s transaction when stock price closes at limits for the previous trading day. We consider only two consecutive hitting-limit days and assume that no newly additional information occurs between consecutive days. There are seven possible cases to be studied. We employ dummy variable regression to analyze the impact of different periods, different industries and seven cases on systematic risk, trading volume and turnover rate. The empirical results show that systematic risk, trading volume and turnover rate are influenced by different periods, industries and price limits cases. Moreover, the three factors interaction effect and two factors interaction effect are statistically significant. It means that the influence of mentioned cases over systematic risk and stock liquidity may change under different political environment, economic environment and for different industries. The results of categorizing different periods show that different cases do significantly influence the systematic risk of the two industries during the 921 Earthquake and the president election periods. In generally, when stock price hits the price limits, it is more influential to trading activities of electronics industry than textile industry. The results of categorizing different periods and industries show that price limit regulation could lower systematic risk for both textile and electronics industry. However, price limit interferes market liquidity and may lead to spillover of volatility, which may strengthen the trading volume and turnover rate on the day when price limit is hit or the day after.