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系統識別號 U0026-2508201619265900
論文名稱(中文) 股價漲跌幅限制放寬對台灣資本市場動能之影響
論文名稱(英文) The Effects of Widening Price Limits on Capital Market Momentum: Evidence from the Taiwan Stock Exchange
校院名稱 成功大學
系所名稱(中) 會計學系
系所名稱(英) Department of Accountancy
學年度 104
學期 2
出版年 105
研究生(中文) 陳威翰
研究生(英文) Wei-Han Chen
學號 R16034177
學位類別 碩士
語文別 中文
論文頁數 85頁
口試委員 指導教授-吳清在
共同指導教授-楊朝旭
口試委員-劉啟群
口試委員-蔡彥卿
中文關鍵字 漲跌幅限制  台灣股票市場  價格波動率  成交量  內生性問題 
英文關鍵字 Price limits  Taiwan Stock Exchange  Price volatility  Trading volume  Endogenous problems 
學科別分類
中文摘要 台灣股票市場在2015年6月1日將漲跌幅限制從7%放寬至10%,本研究以漲跌幅限制放寬日前、後的一個月(短期)、二個月(中期)和三個月(長期)等三個樣本期間,個別探討漲跌幅限制放寬對上市股票市場整體動能的衝擊,以及修法對不同股票特性的個股之影響。

首先,成對樣本t檢定的結果顯示,修法後上市股票市場整體短、中、長期的股價波動皆顯著增加,成交量則有顯著萎縮的現象。其次,最小平方法(OLS)的結果顯示,在股價波動方面,修法後低價股股價的波動增加;修法後個股觸及漲(跌)停天數、國內法人持股比率增加越多,股價波動越大。至於成交量部分,修法後低價股的成交量減少;修法後個股觸及漲(跌)停天數、國內法人持股比率或外資持股比率減少越多,則萎縮的情形越明顯。

考量到股票市場成交價、量間可能存在內生性問題,因此本研究採用兩階段最小平方法(2SLS)及Hausman檢定加以處理。結果顯示,除股價波動迴歸模型中的國內法人持股比率外,其餘股票特性與最小平方法具有類似的發現。
英文摘要 From June 1, 2015, the Taiwan stock market extended price limits from 7% to 10%. According to three sample periods, namely one month (a short term), two months (a middle term) and three months (a long term) before and after extension of price limits, this study planned to discuss impacts of widening price limits on overall momentum of a listed stock market and effects of extension on different stock characteristics respectively.

Firstly, results of paired-samples t-test showed that after extension of price limits, on the listed stock market, overall price volatility of short, middle and long terms increased, while the trading volumes shrunk significantly. Secondly, results of the ordinary least square (OLS) indicated that price volatility of low-price stocks increased after extension; and after extension, the more the days of hitting limit-up (down) and ownership of domestic institutional investors, the greater stock price volatility would be. Ad for trading volume, the trading volume reduced after extension; and after extension, the more of reduction of the days of hitting limit-up (down) of individual stocks, ownership of domestic institutional investors or ownership of foreign investors, the more obvious the shrink would be.

In consideration of the possibility of endogenous problems on stock price and trading volume, this study adopted a two-stage least square (2SLS) method and Hausman testing for treatment. Results showed that, except that ownership of domestic institutional investors in the stock price fluctuation regression model, were different from the ordinary least square method, results of other stock characteristics were similar.
論文目次 第壹章、緒論 1
第一節、研究動機與目的 1
第二節、研究架構 4
第三節、研究流程 5
第貳章、文獻回顧 6
第一節、台灣股票市場與漲跌幅限制沿革 6
第二節、漲跌幅限制放寬至10%之配套措施與規範 11
第三節、漲跌幅限制之相關文獻 16
第四節、機構投資人對資本市場影響之相關文獻 19
第參章、假說發展與研究設計 20
第一節、研究假說 20
第二節、研究期間與樣本選取 25
第三節、研究方法 27
第四節、與市場動能相關的變數之定義與衡量 30
第五節、其他變數之定義與衡量 34
第肆章、實證結果與分析 38
第一節、樣本敘述性統計 38
第二節、相關係數分析 41
第三節、漲跌幅限制放寬對股票市場整體動能的衝擊 41
第四節、漲跌幅限制放寬對個股動能的影響 43
第五節、敏感性測試 49
第伍章、結論與建議 53
第一節、研究結論與貢獻 53
第二節、研究限制與未來建議 54
參考文獻 55
附錄 實證結果相關表格 59
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