台灣股市漲跌幅限制之績效：價格發現與基本面價值

Price Limit Performance of the Equity Market in Taiwan: Price Discovery and Fundamental Value

張志向 ； 謝松霖

《亞太經濟管理評論》 9卷1期 (2005/09) Pp. 109-127

https://doi.org/10.30087/APEMR.200509.0006

摘要

早期關於漲跌幅限制績效的相關研究，並未讓我們清楚地暸解漲跌幅限制在市場中所扮演的角色。贊同設置漲跌幅限制的研究宣稱，漲跌幅限制可以降低股票價格波動，防止投資人非理性的過度反應，而且不會影響正常的交易活動；但是反對設置漲跌幅限制的研究指出，漲跌幅限制不僅無法減緩股價波動性與市場不穩定性，亦會影響股票市場的效率性。本研究旨在探討漲跌幅限制對於價格發現程序之影響，本文與早期文獻不同之處在於：「我們認為公司的基本面價值乃是影響股價的重要因素，擁有不同基本面價值的公司，其股價遭受利多或利空資訊的衝擊程度不一；因此，本研究分析漲跌幅限制對於具有不同基本面價值的股票，其所發揮之穩定功效的差異」。實證結果發現台灣股市支持「延遲價格發現假說」，而且漲跌幅限制更明顯地延遲基本面較差公司的效率價格發現。

關鍵字

漲跌幅限制 ； 股票市場效率性 ； 交易活動 ； 基本面價值 ； 價格發現

並列摘要

Past studies focusing on the performance of price limit do not give us a complete picture of the role that price limit system plays in the market. Price limit sponsor claim that price limit reduces stock price volatility, avoids non-rational overreaction and does not interfere with trading activities. However, price limit commentators claim that price limit not only causes higher stock price volatility and more unsteadiness of market operation but also influences the stock market efficiency. The purpose of this study is to investigate the effect of price limit on the price discovery process. Contrast to the previous literature, we assert that the companies with distinct fundamental value react differently to the shock of good news and bad news because the fundamental value is a determinant of stock price determination. Therefore, this paper will analyze the effectiveness of price limit on the stabilization of trading activities for the companies with different fundamental value. Empirical evidences from Taiwan equity market support the delayed price discovery hypothesis. Besides, the companies with worse fundamental value than those with better fundamental value cause that efficient price discovery delays more obviously after limits were hit.

並列關鍵字

Price Limit ； Stock Market Efficiency ； Trading Activities ； Fundamental Value ； Price Discovery

參考文獻

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