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| Title: | 縮小股價升降單位對實現波動率之影響
Tick Size Reduction and Realized Volatility on the Taiwan Stock Exchange |
| Authors: | 張皓雯
Chang, Hao Wen |
| Contributors: | 林信助
張皓雯
Chang, Hao Wen |
| Keywords: | 股價升降單位
實現波動率
交易活動
日內資料
Tick size
Realized volatility
Trading activities
Intraday data |
| Date: | 2007 |
| Issue Date: | 2009-09-18 19:59:02 (UTC+8) |
| Abstract: | 本文以日內資料研究台灣證券交易所於2005年3月1日實施股價升降單位新制後，市場交易因子與股價報酬波動率的變化；延伸討論市場參與者對新訊息之反應，進而評估實施股價升降單位新制之成效。本文首先比較四種常用來衡量報酬波動率的方法，並從中挑選出最穩健的測度方式；接著藉此分析股價日報酬波動率與市場交易因子之間的關係；最後，由於日內股價報酬波動的軌跡呈現U型曲線，為突顯波動較劇烈之時段股價報酬波動率是否亦隨股價升降單位縮小而趨緩，故著眼交易日開盤後一小時及收盤前一小時，再次檢驗上述關係。實證結果支持股價升降單位縮小使實現波動率大幅降低且交易筆數密切影響股價報酬波動率，且不論在日資料與日內資料都呈現相似結論；並發現愈接近開、收盤的時間點，股價報酬波動率降低比例亦愈大，顯示升降單位新制達成政策目的。
In this study, we address the impact of the tick size reduction on the Taiwan Stock Exchange on March 1, 2005. We propose to investigate the variations of trading activities and return volatility, discuss investors` behaviors to the new information and evaluate the tick size reduction by analyzing intraday data. First, we select the most robust volatility measure for our study from four commonly used ones. Second, we examine the relationship between daily return volatility and trading activities. Eventually, due to the commonly observed U-shaped pattern of intraday return volatility, we re-examine the intraday relation between return volatility and trading activities. Our empirical results based on the robust realized volatility confirm that both daily and intraday return volatility decline significantly after the tick size reduction, and number of trades is a prominent trading factor in explaining realized volatility. More interestingly, we observe that the percentage decrease in realized volatility is most pronounced for trading sessions near the beginning or the ending of each trading day. Overall, our empirical findings support the arguments for tick size reduction intended by policymakers. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
95351020
96 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095351020 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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