- 學位論文
股價指數數字分析－台灣、深圳與倫敦股票市場實證研究
Digital Analysis of Stock Markets:Evidence from Taiwan, Shenzhen and London Stock Exchange
摘要
以數字分析法 (digital analysis) 為基礎的班佛法則 (Benford’s Law) 可作為確認資料是否有舞弊或操縱的方法及檢測數學模式預測之可信度，近年來已被廣泛應用於預測股市之相關資訊。本文針對台灣與中國大陸股價指數進行分析，探討兩者的股價指數是否符合班佛法則，並加入已開發市場英國金融時報指數進行三市場股價指數的研究分析。 研究結果發現英國股價指數的收盤價存在價格群聚的現象，收盤價的尾數明顯群聚於整數和偶數。中國大陸股票市場的日報酬與收盤第二位數顯著偏離班佛法則並且存在數字調整進位的情形，表示股市中的投資人與證券交易人在認知過程中可能受到人為偏誤、不確定性與有限理性的影響。本文也發現中國大陸股價指數收盤價調整進位的現象在第四季趨於緩和，可能是受到日曆效果的影響。
並列摘要
Benford’s Law which is based on the digital analysis has been widely applied to analyze and predict the trend of stock market. Prior research adopted this method to verify whether these data involve in fraud and manipulation. Previous studies had documented that the closing price on the Germany Stock Exchange, certain ebaY auctions and the continuous daily return on S&P and DJIA were in line with Benford’s Law. Studies proved that price clustering exisited in stock markets, and they indicated that the highest, lowest and closing prices on NYSE clustered on round and odd numbers. There are few studies using Benford’s Law to analyze the stock markets in Taiwan and compare emerging markets with developed markets. Therefore, this study examines the stock indexes of Taiwan, Shenzhen and London Stock Exchange by utilizing Benford’s Law. Our result suggests that the second digit of one-day return and closing price on Shenzhen Stock Exchange doesn’t comply with the law. The price levels of round numbers are more significant for traders in stock markets. Stock price clustering also occurs on London Stock Exchange, and closing prices clusters on round and even numbers.