影響台灣股市日內股價變動因素之探討

Investigating the Underlying Factors Affecting Intradaily Price Change Behavior on the Taiwan Stock Exchange

江明憲(Min-Hsien Chiang) ； 鄭淯隆(Yu-Lung Cheng)

《中山管理評論》 12卷1期 (2004/03) Pp. 173-193

https://doi.org/10.6160/2004.03.06

摘要

本研究主要探討台灣股票市場中影響日內股價變動之因素。研究顯示交易時距的確是一非常重要的資訊因子。另外，成交次數愈多，會降低交易成本，導致價格變動情形會變小。當股價呈現下降時，若買單出現時，短期問投資者心理會受到影響，而發生短期交易反轉的現象，使得負向資訊的反應變得較為長久。在相對較大的交易量時，價格變動會變小。

並列摘要

This paper investigates factors affecting intradaily price change path on the Taiwan Stock Exchange. Empirical evidence shows that the time between trades represents a crucial role regarding the information contents implicit in the trades. In addition, the larger the number of trades between two different prices, the lower the price change. Meanwhile, the seller-initiated order causes stock price to take much longer time to react to underlying information during the downward trend. Also, the price change decreases when a relatively large order size arrives.

參考文獻

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