涨跌幅限制之再探讨A Further Investigation of Daily Price Limits.pdfVIP

Journal of Financial Studies Vol.6 No.2 October 1998 (19-48) 19 漲跌幅限制之再探討 * A Further Investigation of Daily Price Limits 周賓凰 Pin -Huang Chou** National Central University 國立中央大學 吳壽山 Soushan Wu*** National Chiao-Tung University 國立交通大學 摘 要 本文探討漲跌幅限制相關的計量及實證問題。我們證明，即使真實報酬為獨立，觀察到 的報酬將呈現序列相關及條件異質現象，產生類似ARCH的現象。另外，本文延伸吳壽山與 周賓凰（1996 ）的研究，利用 Chou （1997a ）所提出的Gibbs sampler方法，以綜合股價指數 的組成股票為研究樣本，研究台灣股市漲跌幅限制在1990- 1991年間的效果。本文發現漲跌 幅限制並未顯著的影響停板後續股票的期望報酬, 但卻使停板後續股價波動變大，因而使持 續漲跌停的機率進一步加大。就其對股價波動的影響而言，漲跌幅限制似乎是無效的。 Abstract This paper examines the impact of price limits on stock returns and volatility traded on the Taiwan Stock Exchange. We show that under price limits the observed stock returns are serially correlated and conditionally heteroscedastic. The empirical results do not support the hypothesis that price limits have a cool-off effect on stock returns. In particular, unlike pre- vious studies suggest ing that price limits reduce stock return volatility, we found that the vola- tility following limit moves increases, suggesting that price limits may be useless. 關鍵字: 漲跌幅限制﹔冷卻效果﹔磁鐵效果﹔市場波動性﹔貝氏分析﹔. Keywords: Price limits; Cool-off effect; Magnet effect; Volatility; Gibbs sampler; Bayesian analysis. 本文包含我們先前文章 “On the impact and effectiveness of price limits on stock returns and vola- tility: Evidence in Taiwan” 及其延伸。 我們感謝 Rosita Chang, Quentin C. Chu, S. Ghon Rhee, John Wei, 周行一, 李志宏, 沈中華, 史綱，俞明德，杜化宇等諸位教授對先前文章的建議與意見。 另外