臺灣股市價格限制與交易行為

Price Limit and Trading Behavior on Taiwan Stock Market

劉玉珍(Yu-Jane Liu) ； 周行一(Edward H. Chow) ； 潘璟靜(Gin-Gin Pan)

《中國財務學刊》 4卷2期 (1996/10) Pp. 41-60

https://doi.org/10.6545/JoFS.1996.4(2).3

摘要

本研究旨在於探討漲跌幅限（price limits）與投資人交易行為的關係，以觀察漲跌幅限是否會造成投資人追漲或殺跌的行為，如果是，則符合正回繽交易理論（positive feedback trading theory）。我們以VAR模型研究，結果顯示當股價達到漲停時，市場上買壓（以買賣單數量比為代表）及週轉率增加；當股價達到跌停時，市場上賣壓及週轉率增加，且股價有下挫之趨勢。

關鍵字

正回饋交易 ； 漲跌幅限制 ； 交易行為 ； 買賣單 ； 週轉率

並列摘要

The goal of this research is to examine the interrelationship between price limits and investors' trading behavior-in specific, whether or not investors buy when price hits the upper price limit and sell when price hits the lower price limit, a behavior predicted by the positive feedback trading theory. Applying VAR in our analysis, we find that as stock prices reach their upper daily price Iimits, there are increases in the buy pressure (proxied by the ratio of buy and sell order) and turnover rate, while as stock prices reach the lower daily price limits, there are increases in the sell pressure and turnover rate. and decreases in the rate of return.

並列關鍵字

positive feedback trading ； price limits ； trading behavior ； buy and sell orders ； turnover rate