个股特性对於涨跌幅限制措施之影响.PDF

個股特性對於漲跌幅限制措施之影響 －ARCH-Jump模式之應用 * 張維碩 高苑科技大學財務金融系講師 中山大學財務管理系博士候選人/ 馬黛 中山大學財務管理系教授 摘 要 本文探討台灣上市公司的股價達到漲跌幅限制的頻率與個股特性之關係，經由驗證 10 年的資料顯示，平均而言當日收盤漲停或跌停，次日開盤價格延續的機率高達八成以 上，實證結果較支持「延遲價格發現假說」。在研究個股特性與價格限制的關係方面， 本文首次以股價跳躍幅度解釋個股達到漲跌停的頻率，我們以 Wei and Chiang(2004)對 於漲跌幅限制下日報酬率的處理方式重建報酬率數列，再以 ARCH-Jump 模型估計參 數，結果顯示跳躍幅度愈高的個股其股價達漲跌停板的次數愈多，而公司規模小、股價 低以及週轉率高的股票，愈容易受到漲跌停板的限制，由於現行價格限制下的市場績效 不佳，本文認為應對於公司規模小、股價低的股票放寬價格限制措施。 關鍵字：漲跌幅限制、股價跳躍模式、穩定機制 * 聯絡作者：張維碩，高苑科技大學財務金融系講師，高雄縣路竹鄉中山路 1821號， TEL ： (07)6077084 ，FAX ：(07)6077089 ，E-mail ：wschang1.tw@.tw Effects of Stock Characteristics on Price Limits: An Application of ARCH-Jump Model Abstract This paper examines how stocks’ characteristics affect the frequency of the price limits implemented in Taiwan stock market. From our data over the period 1996 to 2005, we find that if the closing price hit price limits, the opening price of next trading day would continue with a probability over eighty percentages. Empirical evidences from Taiwan equity market support the delayed price discovery hypothesis. Additionally, by performing the procedure proposed in Wei and Chiang(2004), we regenerate the return series and estimate parameters with ARCH-Jump model. The empirical evidence reveals that jump magnitude is positively related to the probability of being limited by price limits. We find that stocks with lower price, smaller capitalization, and higher turnover ratio have higher probability of being limited. Summarily, we claim that regulators should not only consider enlarging the limits but