金融危機下金融政策宣告之效率性

Financial Policy Announcement Efficiency In Financial Crisis

章文蓁(Wen-Chen Chang)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.02396

摘要

市場效率一直是學者們、投資人很關心的議題，之前的研究一般支持市場效率的存在，因為普遍獲利機會通常無法持久。不過在2008年美國金融風暴下，市場的波動性增加劇烈，我們想要知道，在這樣特殊的情況下，市場效率是否仍然存在，有沒有一個指標是可以從中找出獲利機會的。而在金融風暴期間，美國政府祭出一連串的救市政策，這些政策對穩定經濟及股票市場有很大的影響。所以在本篇論文中，我們想要研究政府金融政策宣告對股票市場的影響及其效率性。我們用OI作為觀察股價變化及市場效率收斂的指標。
首先，我們用時間序列迴歸模型來檢測同期與前期買賣單不對稱對於日內股票價格之影響。實證研究顯示同期之買賣單不對稱對於同期股票報酬具有顯著之正向影響。然而，前期之買賣單不對稱對於當期股票報酬並不存在顯著關係，我們推論前期之買賣單不對稱對當期之股票報酬無預測能力。
同時，我們也用GARCH(1,1)模型來討論同期買賣單不對稱和股票報酬的關係，GARCH(1,1)模型得到的買賣單不對稱之解釋力，和迴歸模型相比下降許多，我們可以推論在迴歸模型中得到的解釋能力，部份來自於風險溢酬。接著，從GARCH(1,1)模型中，我們發現買賣單不對稱與股票波動性並無存在顯著關係；我們認為這是由於造市者(market maker)擁有充足的存貨以控制股票價格波動性。
最後，我們以買賣單不對稱為指標建立一套交易策略，結果顯示只有五分鐘和十分鐘時間區間下之交易策略報酬可以擊敗大盤報酬，而當我們延後一期買的時機，此報酬就不再存在。且所有策略都無法獲得顯著正的報酬。

關鍵字

買賣單不平衡 ； 市場效率

並列摘要

Prior studies generally support the notion that markets are efficient. However, under the 2008 financial crisis, the stock market turned highly volatile. The U.S. government had proposed a series of policies about rescuing the economy. The main idea of this thesis is to investigate the impact of financial policies on stock market and whether the market efficiency still exists in this extraordinary circumstance.
In the time-series regression model, we find that the contemporaneous order imbalances have significantly positive influence on current return, while there is no significant relation between current returns and lagged imbalances. Therefore, we deduce that lagged order imbalances have no predictive power to current returns. From GARCH(1,1) model, we find that the explaining power of order imbalance on stock return declines in GARCH(1,1) model compare with OLS regression model, so we can infer that some of the explaining ability may be attributed to risk premium. Also, we find that there is no strong relationship between order imbalances and stock volatility. The possible explanation is market makers may have plenty of inventories to control the stock price volatility on financial policies announcement date.
Last, based on our trading strategy, we find that only strategies for 5- and 10-min intervals can beat the open-to-close return. If we delay the buying timing for one period, the profit no longer exists. All strategies cannot earn a significant positive return.

並列關鍵字

order imbalance ； market efficiency

參考文獻

1.Admati, A. and P. Pfleiderer, 1988, “A Theory of Intraday Patterns: Volume and Price Variability,” Review of Financial Studies, 1, 3-40.

2.Andrade, S. C., C. Chang, and M. S. Seasholes, 2008, “Trading imbalances, predictable reversals, and cross-stock price pressure,” Journal of Financial Economics, 88, 406-423.

3.Barclay, M. and J. Warner, 1993, “Stealth Trading and Volatility,” Journal of Financial Economics 34, 281-305.

4.Barclay, M. J., T. Hendershott and D. T. Mccormick, 2003, “Competition Among Trading Venues: Information and Trading on Electronic Communications Networks, “Journal of Finance 58, 2637-2666.

6.Bessembinder, H. and M. Kaufman, 1997, “A Cross-exchange Comparison of Execution Costs and Information Flow for NYSE-listed Stocks,” Journal of Financial Economics 46, 293-320.