- 學位論文
臺灣股票市場價格叢聚、規模叢聚與交易績效之分析
Price Clustering, Trade-size Clustering and Performance on the Taiwan Stock Exchange
摘要
本文首先檢驗投資人類別與價格叢聚之關係；其次，我們分析投資人類別與規模叢聚之關係；接著，我們探討整數價格與整數規模之可能影響因素；最後，本文分析投資人類別、整數價格、整數規模與交易績效之關係。實證結果發現，臺灣股票市場普遍存價格及規模叢聚現象。所有類別投資人皆有價格及規模叢聚現象，不論在偶數價格、整數價格或整數規模異常頻率上，投信基金皆為最高；小升降單位低價股之價格及規模叢聚相對高於大升降單位高價股之價格及規模叢聚程度。整體而言，外資、其他法人及自然人之買賣單及投信基金之賣單皆符合議價假說；一般自然人買進行為符合價格決定假說。投信基金及一般自然人之買進委託單符合季末假說，然而投信基金在賣單方面並不顯著。最後，機構投資人整體買單具有正向交易績效，其中又以投信基金買單之績效最好，雖然投信基金績效表現相對最佳，然而其好績效並非來自整數規模或整數價格之委託單；外資買單亦具有正向交易績效，又以外資使用整數規模之買單相對具有較佳績效表現。就賣單而言，整數規模及整數價格之賣出委託單後續伴隨股價下跌態勢，顯見這些整數規模或整數價格之賣出委託單可能與精確的私有訊息有關。在賣單的2年長期績效上，機構投資人使用整數價格賣出股票後，後續股價持續下跌，這些委託單亦可能與精確的私有訊息有關。
並列摘要
We first examine relations between investor types and order price clustering. Second, we analyze relations between investor types and order size clustering. Next, we investigate the determinants of round price and round size. Finally, we study relations between order price and size clustering across investor types and trading performance. We find there exists price clustering and size clustering phenomenon on the Taiwan Stock Exchange. All investor types exist order price and size clustering phenomenon. Particularly, mutual funds are the highest. Firms with smaller tick sizes have higher order price and size clustering than do firms with larger tick sizes. Overall, foreign investors, other institutions, and individuals are in accord with negotiation hypothesis. Individual buying behavior support price resolution hypothesis. Mutual funds’ and individual buying behavior is consistent with the end-of-quarter hypothesis. Finally, institutional investors’ buying has positive performance. Among investors types, mutual funds’ performance is best; however, their good performance does not come from round price or round size order submission. Foreign investors’ round size buy orders have positive performance. For sell orders, round size or round price orders are related to the private information. For a two-year performance, institutional investors’ round price orders have better performance, indicating that these orders are related to the private information.
參考文獻
延伸閱讀
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