台灣放寬股票漲跌幅限制對於市場質量的影響

The Effects of the Relaxation of Stock Price Limits on Market Quality in the Taiwan Stock Exchange

陳怡璇(Yi-Hsuan Chen)

指導教授 ： 洪碧霞

國立暨南國際大學/管理學院/財務金融學系/碩士(2018年)

摘要

台灣證券交易所在2015年6月1日將股票漲跌幅限制從原本的7%放寬到10%。為了探討放寬股票漲跌幅限制對於台灣股票市場質量是否會產生影響，使用時間加權買賣價差、波動度和市場深度來衡量市場品質。發現放寬股票漲跌幅限制之後，時間加權買賣價差和波動度皆會上升，但是市場深度在大多數情況下呈現不顯著。放寬股票漲跌幅限制後，如果市場品質提高，則外資在除去波動度提高的情況下，他們會消極投資但委託單規模增加；投信則會積極投資且委託規模提高；散戶雖然積極投資但委託規模縮小。過去文獻中很少將股票漲跌幅限制和市場品質結合做研究，因此未來可以此議題做更多層面的研究。

關鍵字

投資人的交易積極度 ； 投資人交易行為 ； 市場品質 ； 股票漲跌幅

並列摘要

On June 1, 2015, the stock price limits in the Taiwan Stock Exchange relaxed from 7% to 10%. To research the impact of the relaxation of stock price limits on market quality in Taiwan Stock Exchange, I use time-weighted spread, volatility and market depth to measure market quality. The results show time-weighted spread and volatility will increase after the relaxation of stock price limits, but market depth is not significant in most circumstances. After the relaxation of stock price limits, if market quality increase, foreign investors are apathetic except volatility increase; investment trusts are enthusiastic and order size will increase; individuals are enthusiastic and order size will decrease. There was very little research on the combination of stock price limit and market quality in the past. Therefore, in the future, it may be possible to do more extensive research.

並列關鍵字

Investor’s aggressiveness ； Market quality ； Price limits

參考文獻

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