漲跌幅限制對波動性與報酬的影響-以加權股價、金融、電子指數期貨市場為例

The Influence of Price Limits to Volatility and Return:Evidence from Weighted Stock, Finance, Electronic Index Futures

劉展鈞(Chang-Chun Liu)

指導教授 ： 王安岐

亞洲大學/管理學院/財務金融學系/碩士(2010年)

摘要

本文旨在探討漲跌幅限制對台灣三大指數期貨波動性的影響。針對波動性外溢假說、延遲均衡價格形成假說、阻礙交易假說及磁吸效果，對此四種假設進行實證研究。本研究採用台灣期貨交易所當日交易明細資料，取其中的加權股價、金融及電子期貨指數，進行漲跌幅限制對期貨市場影響的實證研究。
以T檢定法，對每日、日內報酬及每日交易量進行波動性外溢假說、延遲均衡價格形成和磁吸效果的實證分析。另外以ANOVA檢定，對每日交易量進行阻礙交易假說的實證研究。實證結果發現，在接近漲停或跌停時，四種假說都同時存在，尤其在接近跌停時，效果更為顯著。

關鍵字

漲跌幅限制 ； 波動性 ； 磁吸效果

並列摘要

This paper examines the price limits to the influence of the Taiwan Futures. In view of volatility spillover hypothesis, delayed price discovery hypothesis, trading interference hypothesis, magnet effect hypothesis, to conduct an empirical study from these four hypotheses. We used high-frequency data on Taiwan futures exchange to conduct an empirical study on the price limits to the influence of the market volatility from weighted stock index futures, finance sector index futures and electronic sector index futures.
We used a T-test to analyze the volatility spillover hypothesis, delayed price discovery hypothesis, magnet effect hypothesis for the daily returns, intraday returns and daily volume of trade. Moreover, we used an ANOVA-test to analyze the trading interference hypothesis for the daily volume of trade. We establish that all of the four hypotheses exist in the same time when closeing ceiling or floor. The effect is more significant, especially closeing floor.

並列關鍵字

price limits ； volatility ； magnet effect

參考文獻

6. 陳溢茂，民國86年1月，「停板限制與流動性:五分鐘盤中資料分析」，中國財務學刊，頁45~46。

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