開放信用交易對股票報酬波動性與週轉率之影響

The Effect of Margin Trading on Stock Return, Volatility and Turnover.

賴智民(Chih-Min Lai)

指導教授 ： 陳達新 ； 陳玉瓏

淡江大學/商學院/財務金融學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00036

摘要

本文的主要目的在研究開放信用交易對股票報酬波動性與週轉率之影響，並對開放信用交易進行事件研究。
實證結果發現開放信用交易後，報酬率波動性之改變和產業別無關，但隨著研究期間增加，市值的不同造成上市及上櫃非電子業之報酬波動性產生顯著變化的時間比電子業早，且開放信用交易對上櫃之系統性影響比上市大；就週轉率而言，開放信用交易能系統性的顯著提升上市公司週轉率，但上櫃公司則無。雖然上市不同產業週轉率僅在短期產生差異，但同時考慮和個別公司產業和市值後中長期則有差異存在。上市公司在事件日之前即有資訊內涵反應，而上市電子業造成整體上市公司事件期中CAAR不斷上升，顯示上市電子業獲利最高。而上櫃電子業亦為整體上櫃公司開放信用交易前後產生短暫正向顯著CAAR的主因。除了上櫃非電子業外，開放信用交易股票報酬有正面影響。綜上所述，上市電子業為較佳投資標的，且CAAR在多頭時期增加幅度比空頭時期多，尤其在股市大漲時特別明顯。

關鍵字

Modified Levene檢定 ； Wilcoxon符號等級和檢定 ； 平均異常報酬 ； 累積平均異常報酬

並列摘要

The main purpose of this paper is to investigate the effect of the opening of margin trading on stock price return volatility and turnover rate, and investigate the opening of margin trading with event study. We observe that after the opening of margin trading, there is no relationship between the differences of the stock return volatility for diverse industries. Increasing with study period, the difference of market value causes the non-quasi electrical stock return volatility significantly changes early than electrical stock return volatility for TSE and OTC stocks. The system effect of the opening of margin trading on stock return volatility is larger for OTC than to TSE stocks. The system effect of the opening of margin trading on turnover rate is significant for TSE stocks, but not for OTC stocks. Although there exists a significant relationship between electrical and non-quasi electrical stocks for TSE stocks in the short-term, but not for considering both diverse industries and individual corporation sizes in the medium and long-term. The information has already flowed into TSE market before announcement date, the significantly positive CAAR of TSE stocks in the event period are made by TSE electrical stocks. OTC electrical stocks make temporary positive CAAR of OTC stocks around the event day. Besides OTC non-quasi electrical stocks, the effect of the opening of margin trading is positive for TSE and OTC stocks. In sum, TSE electrical stocks are better investment targets, and the CAAR increase more in bull market than in bear market, especially significant in great rise market.

並列關鍵字

Modified Levene Test ； Wilcoxon Rank Sum Test ； AAR ； CAAR

參考文獻

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