Volatility, Volume and the Uptick Rule: Evidence from Taiwan's Stock Market

波動度、交易量與漲檔限制之關係：台灣股市實證

林信助(Shinn-Juh Lin)

《台灣金融財務季刊》 10卷4期 (2009/12) Pp. 87-106

https://doi.org/10.6985/TBFQ.200912.0087

摘要

本文以台灣五十指數的成分股為對象，研究漲檔限制之解除，如何影響台灣股票報酬率的波動度、交易量以及波動度與交易量之間的關係。利用高頻率日內逐筆交易資料所建立的一個雜訊較小且更值得信賴的實現波動度，我們發現在漲檔限制解除之後，股票報酬率的波動度有顯著的降低。此點與主管機關解除漲檔限制之初衷相吻合；同時也支持「訊息交易者在市場透明度提高之後，有隱藏其私有訊息之傾向」的論點。更有趣的是，我們發現，在所有衡量交易活動的變數中，股票交易次數最能夠解釋報酬率波動度與交易活動之間的關係；而且在漲檔限制解除之後，這種關係變得更為明顯。本文實證結果一個有趣的意涵是：雜訊交易者在一個限制比較小的交易環境之下，可能可以透過對於股票交易次數的觀察，來反推訊息交易者所意欲隱藏之私有訊息。

關鍵字

實現波動度 ； 賣空限制 ； 漲檔限制

並列摘要

Based on the component stocks of the Taiwan 50 index, this paper investigates how the exemption of the uptick rule influences return volatility, and the volatility-volume relationship. With the high-frequency intraday tick-by-tick data, we show that realized volatility is a less noisy and more reliable volatility measure. Furthermore, we find that return volatility decreases after the uptick rule is exempted for the stocks examined, which justifies regulator's motivation for exempting the uptick rule, and supports the strategic viewpoint that informed traders tend to hide their information when the market becomes more transparent. More interestingly, we find that the number of trades plays a dominant role behind the volatility-volume relationship, which is even stronger for the period without the uptick rule. An interesting implication of these results is that, uninformed investors may retrieve information through observing the number of trades when informed investors attempt to hide their private signals in a less restricted trading environment.

並列關鍵字

Realized volatility ； Short-sales constraint ； Uptick rule

參考文獻

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