漲跌幅限制下均衡價格的估計與過度反應假說之檢定

The Estimation of Equilibrium Prices under Price Limits and the Examination of the Overreaction Hypothesis

黃彥聖(Yen-Sheng Huang) ； 姜清海(Ching-Hai Jiang) ； 柯美珠(Mei-Chu Ke)

《中國財務學刊》 7卷3期 (1999/12) Pp. 27-59

https://doi.org/10.6545/JoFS.1999.7(3).2

摘要

本研究在漲跌停限制下，提出以市場模式修正Sutrick（1993）之方式以推估均衡價格，此種推估方式可降低推估誤差，且推估出之均衡價格可適用於多方面的應用。本研究並以推估之均衡報酬，探討漲跌停的樣本中是否存在過度反應的證據，以測試臺灣股票市場漲跌停樣本之價格行為中是否有過度反應的現象。以臺灣證券交易所於民國60年至85年之大部份漲跌停樣本為研究對象，本研究發況，漲停後次日之平均異常報酬顯著為負，而跌停後次日之平均異常報酬顯著為正，此一結果符合過度反應假說之解釋。

關鍵字

漲跌幅限制 ； 過度反應假說

並列摘要

This paper uses the market model to modify Sutrick (1993) conditional expectation method in estimating the equilibrium prices under price limits. The modified method can reduce estimation errors. The estimated equilibrium prices can be applied to various applications. The estimated equilibrium returns are used to examine the overreaction hypothesis for limit.hit stocks listed on the Taiwan Stock Exchange. The sample includes most limit moves for all listed stocks in 1971-96. The results indicate significant negative abnormal returns following up limit moves and significant positive abnormal returns following down limit moves. This finding is consistent with the overreaction hypothesis.

並列關鍵字

Price Limits ； Overreaction Hypothesis