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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/31015
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31015


    Title: 穩定機制、市場透明度與價格行為之研究
    Authors: 羅雯萍
    Lo, Wen-ping
    Contributors: 李志宏
    羅雯萍
    Lo, Wen-ping
    Keywords: 穩定機制
    市場透明度
    價格行為
    競價制度
    兩檔限制
    Market transparency
    price behavior
    two-tick limit
    Date: 2002
    Issue Date: 2009-09-14 09:03:51 (UTC+8)
    Abstract: 台灣過去的競價制度與行情揭示受到兩檔限制的規範,導致撮合效率與交易公平性受到質疑,而部分未成交的最佳資訊也可能受到隱藏,導致真實資訊無法及時揭露,誤導投資人錯誤解讀資訊,反而有助長殺跌的疑慮。

    近年來全球追求資訊透明化的趨勢使得我國的兩檔限制備受爭議,也引發一股改革的風潮。因此,台灣證券交易所於民國91年7月進行交易制度的調整,取消自民國74年來沿用的兩檔限制,而以瞬間價格穩定機制當作穩定股市的措施,並進一步增加未成交價量資訊的揭示,提升整體市場資訊揭示的質與量。

    本文以上述的交易制度調整為研究主題,探討市場在面臨穩定機制改變與市場透明度增加的情況下,其價格行為之變化。藉此評估此次交易制度的施行成效,並分別選取市值最高與最低的30支個股為衡量績效指標值的對象,以瞭解新的交易制度對於所有股票皆有相同影響。

    結果發現,就第一階段的取消兩檔、輔以瞬間價格穩定措施與揭露一檔的政策而言,整體樣本的波動性為顯著增加,而高低市值的股票則有截然不同的反應。低市值群組在交易制度調整訊息宣告時享有正的顯著報酬,且在市場績效的驗證上發現Hei & Heubel模型衡量的流動性獲得改善,支持流動性改善有助於提升證券價值的說法,顯示取消兩檔限制輔以瞬間價格穩定措施,並提升市場透明度的作法對低市值群組是較有利的。相對的,高市值群組則發現較不利的證據,衡量宣告日的證券異常報酬為不顯著,流動性與波動性指標則明顯轉差。此外,第二階段的揭露五檔將普遍提升市場整體的效率性,其中以低市值群組最為明顯,此外在波動性與流動性方面,發現高低市值有很明顯的對比與抵換關係,高市值為流動性轉差但價格波動減少,低市值則相反,綜合為整體樣本的變化則不明顯。

    推論上述實證結果,可能原因在於高低市值群組本身特性不同,導致相同的交易制度變革有不同的影響。高市值本身屬於企業規模大、股價較高,資訊透明度與交易較熱絡的一個族群,而低市值股票為傳統產業股居多,為股市中較不受投資人關愛、流動性較低,資訊不對稱程度也較高的股票。因而,過去在兩檔限制下,揭示代理價格、隱藏真實資訊,導致投資人錯誤解讀資訊者,應屬低市值股票較為嚴重,預期在取消兩檔限制後,資訊不對稱提升的程度相對來的高。此外,從第二階段揭露五檔的效果看來,高低市值的效率性皆改善,但在流動性與波動性方面卻呈現對比的抵換關係,顯示增加市場透明度對於市場績效無絕對的好壞。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    90357016
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0903570161
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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