現金增資報酬、波動性與買賣單不平衡之研究

Seasoned -Equity-Offer Return, Volatility, and Order Imbalance

王暄茵(Hsuan-Yin Wang)

指導教授 ： 蘇永成

國立臺灣大學/管理學院/財務金融學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.03065

摘要

對於現金增資這個議題，在財金領域上已經有許多的討論，而在不同的原因解釋之下，我們也知道發行現金增資的公司，最後表現通常沒有其帳上數字來得好。因此，以現金增資的公司為標的，我們想要知道其報酬與當期或是前一期買賣單不平衡之間的關係。此外，我們嘗試發展出一套交易策略，看其是否能擊敗原始報酬率。
首先我們利用日內交易資料去跑多元線性回歸模型，來檢驗同期或前期之買賣單不平衡對報酬率的影響。實證結果顯示，同期買賣單不平衡對報酬率有顯著之正向影響；而前一期的買賣單不平衡對報酬率之影響，在沒有考慮當期時，其影響方向大抵為正向。但以十分鐘為範圍的結果，其影響方向即為負向，我們推論為，十分鐘之內市場還沒完全反應所有資訊，才形成此結果。
另外，我們也以GARCH(1,1)模型觀察股價波動性與買賣單不平衡之間的關係。實證結果顯示，造市者（market maker）對股價波動性的控制良好使得波動性與買賣單不平衡之間的關係並不顯著。也就是說，他們對股票存貨的控制能力足以穩定現金增資公司股價的波動性。接著，我們經由簡單線性回歸模型檢驗市占率大小與買賣單不平衡之間的關係。實證顯示，結果並不顯著，也就是並不存在小型股效果。我們將此解釋為波動性影響的效果，而非小型股本身之效果。
在檢驗完報酬率、買賣單不平衡與波動性之間的關係後，我們嘗試發展出一套交易策略，其分別利用不同的報價（quote price and trade price）為基礎來執行策略。結果顯示，只有利用交易的報價（trade price）作為基礎時，才能擊敗原始報酬率。然而，此策略將交易時間局限在某些特定時間裡。我們相信，如果沒有交易時間的限制，此策略的報酬應該可以更完美。

關鍵字

賣單不平衡

並列摘要

There are a lot of discussions about seasoned-equity-offer (SEO), and we know that the firm who makes SEO is always underperformance based on different reasons. Then we want to examine whether there is a relation between return and contemporaneous or lagged order imbalances in SEO firms. Moreover, we want to find if there is any strategy that could beat the original open-to-close return.
First we use intraday transactions to examine the relation between returns and contemporaneous as well as lagged order imbalances by a multi-regression model. The empirical result shows that the contemporaneous imbalances have a significantly positive impact on returns. Moreover, conditional on knowing the current order imbalances, there is a negative relation between lagged-one imbalances and return, except for ten minutes interval. As for the exception of ten minutes interval, we imply that the market might not react to the information completely within ten minutes.
In addition, we examine the relation between volatility and order imbalances by a GARCH(1,1) model. The result shows that market makers control volatility so well that the relation between volatility and order imbalances is not strong. Market makers do have the capacity for stabilizing the price volatility of SEO firms. Furthermore, we perform a simple regression model to investigate whether there is any relation between market capitalization and order imbalances. From our empirical result, we cannot find the small firm effect. It shows that the effect comes from volatility but not small firm effect itself.
At last, we try to build a trading strategy for the SEO firms after investigating the relation among returns, order imbalances, and volatility. We use quote prices and trade prices to be the basic to implement our strategy, but only the one using trade prices earns a positive return, and beats the original open-to-close return. However, there is a limitation of trading time in our strategy. We believe that the profit could be improved if we can trade without this limitation of trading time.

並列關鍵字

Order Imbalance

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