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  • 學位論文

新制鉅額交易對一般交易影響之研究

A STUDY OF THE IMPACTS OF NEW BLOCK TRADING SYSTEM FOR REGULAR TRADING

指導教授 : 古永嘉
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摘要


證券市場向來有經濟櫥窗之稱,為總體經濟的重要領先指標之一,為了滿足市場需求,加強鉅額交易在股市的比重,我國股市鉅額交易制度在民國94年4月4日大幅調整,且盤中與盤後均可交易,而此措施是否會影響個股一般之交易,本研究即以新制實施日期自民國94年4月4日至96年8月31日之實際交易情形,經過篩選後共取207筆樣本進行統計及實證分析,以瞭解新制鉅額交易對一般交易之影響,本文主要目的探討下列三個問題: 一、新制鉅額交易是否影響個股一般交易之成交量。 二、新制鉅額交易成交價格是否偏離一般交易之成交價格。 三、新制鉅額交易是否使一般交易之股價出現異常報酬。 除了利用207筆樣本進行實證外,另將樣本資料分類進行研究,分類方式包括(1)依交易時間而分為盤中及盤後;(2)依鉅額成交價格與其參考價之價差而分為買進、賣出及轉帳;(3)依上市類別而分為電子類股、金融類股及非金電類股;(4)依股市月報酬率而分為空頭市場及多頭市場等,並利用配對 t 檢定及事件研究法進行分析,以探討不同類別之結果是否有差異性。 經檢定結果顯示,(1)成交量:盤中鉅額交易發生後,一般交易前後15分鐘之累計成交量並無明顯變化,而在發生後第15分鐘,一般交易之成交量才顯著減少,因此鉅額交易對個股一般交易之成交量之影響並不顯著,即鉅額交易的發生並不會排擠一般交易之成交量;(2)成交價格:鉅額成交價格之變動率比個股一般交易大,而且明顯較低,由於鉅額交易屬大額買賣,因此檢定結果符合一般商業交易之法則,即批發價格比零售便宜,議價空間較大;(3)異常報酬:以事件研究法分析鉅額交易事件發生後,個股一般交易是否產生異常報酬,經以事件日前後10天為事件期,以事件期前60天為估計期,經檢定結果顯示,鉅額事件日後第1天及第2天有明顯異常報酬,而事件日後連續10天均有累計異常報酬,即鉅額交易對個股一般交易具有資訊效果。

並列摘要


For fulfilling the market demands of block trades in stock market, Taiwan Stock Exchange Corporation ("TSEC") modified the block trading system effective as of April 4, 2005. This study uses 207 samples of TSEC block trading transaction data during the periods of April 4, 2005 to August 31, 2007. The purposes of this thesis is to examine:(1)whether the regular trade volumes are affected by the block trade,(2)whether there has difference of volatility of match prices between block trade and regular trade, (3)whether the stock price exists positive abnormal returns when the block trade occurs. In addition, we also analyze the impacts of block trade timing, price effect, the class of stocks and market trend. The conclusions of this thesis are:(1)regular trade volumes are not affected by the block trade, (2)the volatility of match prices of block trade are greater than regular trade and the match prices of block trade are significantly less than regular trade, (3)when the block trade occurs, there exists positive abnormal returns.

參考文獻


1. Aitken, Michael, Alex Frino and Stuart Sayers, "The intra-day Impact of Block Trades on the Australian Stock Exchange.", Asia Pacific Journal of Management 11(2) (Oct) ,1994, pp.237-253.
2.Aitken, Michael and Alex Frino, "Asymmetry in Stock Returns Following Block Trades on the Australian Stock Exchange: A Note.", Abacus 32(1) (Mar), 1996, pp.54-61.
3.Alex Frino, Elvis Jarnecic and Andrew Lepone, “Bid-ask Bounce and the Measurement of Price Behaviour Around Block Trades on the Australian Stock Exchange”, EFMA 2004 Basel meeting paper, 2004
4.Angel, James J., Gary L. Gastineau and Clifford J. Weber, "Reducing the Market Impact of Large Stock Trades.", Journal of Portfolio Management 24(1), 1997, pp.69-76.
5.Close, N., "Price Reaction to Large Transaction in the Canadian Equity Markets.", Financial Analysts Journal , Nov/Dec, 1975, pp.50-57.

被引用紀錄


李紹如(2012)。鉅額交易對限價委託簿流動性之影響〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846%2fTKU.2012.00433

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