鉅額交易價格效果之探討

The price Effect of Block Tradings in Taiwan's Stock Market

馬黛(Tai Ma) ； 魏秀容(S. R. Wei)

《管理科學學報》 5卷2期 (1988/12) Pp. 125-141

https://doi.org/10.6504/JOMS.1988.05.02.03

摘要

本文探討台灣股市鉅額交易之價格效果，並觀察景氣情況、股票種類及機構投資人參予興趣等因素對鉅額交易價格效果之影響。研究結果顯示，除了全額交易股之鉅額交易、不景氣值之鉅額交易以及高機構投資比例股票之鉅額交易等三種情況下呈現情報效果以外，台灣股市鉅額交易所造成之價格變化多能於一週左右回復。研究結果並肯定機構投資人穩定股市之作用。

並列摘要

This paper attempts to analyze the price effect of block tradings in Taiwan’s stock market. In addition, we also investigate the impacts of the market trend, the classes stocks, as well as the institutional interest on the price effect of block tradngs. The results indicate that, except for (1) tradings during bearish market, (2) tradings of full delivery stocks, and (3) trading of high institutional interest stocks, which show evidence of information effects, the price changes of block transactions recover to its pretransaction level within one week or so. The result also supports the price stabizing gunction of the institutional investors.