交易時間、交易行為與股市績效：台灣股市隔週休二日之實證

Trading Time, Information Trading and Stock Market Performance: Empirical Evidence of Exchange Holidays in Taiwan Stock Market

馬黛(Tai Ma) ； 廖怡玲(I-Ling Liao)

《中國財務學刊》 8卷3期 (2000/12) Pp. 79-105

https://doi.org/10.6545/JoFS.2000.8(3).3

摘要

本文研究目的有二：一是探討隔週休二日制對台灣股市整體市場績效（流動性、波動性，及效率性）之影響；另一個則是指由公司橫斷面分析，來檢視隔週休二日制對公司個別因素的影響，透過兩個不同的代理變數（週轉率及委託單成交張數），剖析個別因素受到隔週休二日之衝擊，以充分暸解交易時間對交易行為的影響。本文的研究期間為八十五年一月四日至八十八年三月十日，研究對象為台灣證券交易所之311家上市公司。研究發現，對市場整體績效而言，隔週休二日的實施，並不會影響市場整體的流動性，但會使得單週週一交易量明顯下降；此外，市場波動性與一週交易總時數有正相關。對於長期投資者而言，隔週休二日實施後之單週有明顯延後交易的趨勢，對於短線投資者而言，隔週休二日實施後，不論週六休市與否，他們都會提前於每週最後一營業日進行交易。此外，資訊交易程度愈高之個股，單週週一市場資訊不對稱、價量齊縮之情況會更為嚴重。最後在市場效率性方面，則發現隔休二日的實施，會使市場之週末價格連續性明顯增加，尤其對交易熱絡股影響最大。

關鍵字

週休二日 ； 交易時間 ； 資訊不對稱

並列摘要

In this paper we analyze the impact of the new long weekend system in TSEC on investor's trading strategy as well as the performance of stocks. Our result indicates the new system does lead to significant drop in the liquidity on the Monday following the long weekend, evidence of severe information asymmetry on the Monday in these weeks Specifically, we find that the existence of the Monday information asymmetry phenomenon (i.e. , low volume, high volatility) is more severe for stocks in the high-information -trading group. We also find that consistent 'with our hypothesis, short term traders facing the long weekend tend to advance their trades while longer term traders tend to postpone their trades after the long weekend. Finally, we find that the Friday overnight return correlation increases significantly on the 5-day week, and it is especially so for the most active stocks, suggesting market efficiency is negatively affected by the long weekend.

並列關鍵字

exc hange hol idays ； 'trad ing time ； informatio n asymmetry

參考文獻

馬黛、陳效踐(1995)。台灣股市異常交易監視制度與股價行為關係之實證研究。中國財務學刊。3(1)

Admati, Anat R.,Pfleiderer Paul(1988).Review of Financial Studies 1.

Amihud, Yakov,Mendelson Haim(1991).Journal of Finance.

Atkins, Allen B,Basu Somnath(1995).The Effect of After-Hours Annoucements on the Intraday U-Shaped Volume Pattern.Journal of Business Finance and Accounting.22(6),1995-789.

Barclay, Michael J.,Robert H. Litzenberger,Jerold B. Warner(1990).Private Information, Trading Volume, and Stock-return Variances.Review of Financial Studies.3,233-253.