價格漲跌幅限制對相關個股之資訊內涵 —臺灣證券交易所

Abstract

本篇論文使用2004到 2013年台灣上市股票之日內資料，研究在價格限制下對相關個股的流動性與價格變化。研究對象為與漲跌停股票同一產業、資訊相關的其他個股，來觀察漲跌停限制所透露出的資訊內涵。本篇論文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。實證結果發現在跌停期間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；在漲跌停期間，資訊相關的個股之價差反而減少，表示市場資訊不對稱程度縮小。此外交易量有有顯著的增加增加，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。

This paper uses Taiwan Stock Exchange (TSE) data from 2004 to 2013 to examine spillover effects (in terms of liquidity and price impact) on informationally related stocks when price limit hits constrain trading in a stock in the same industry. 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 interval of price limits. The empirical result of liquidity impact shows that, during the interval of down price limits, the informationally related stocks have lower quote-based liquidity, but have higher trade-based liquidity. However, during the interval of up price limits, have lower quote-based liquidity, but have higher trade-based liquidity. Furthermore, reference stocks were found to have larger price impact when price limits are hit. The paper concludes that information asymmetry rises when hits the down limit, but declines when hits the down limit, and investors trade in "substitute" stocks when price limits are hit.