臺灣博碩士論文加值系統

本研究係以台灣股票市場為研究對象，從市場微構 (market microstructure) 觀點指出，台灣股市交易期間與非交易期間之股票報酬波動性。事實上，股價不僅交易期間會波動，在休市後股價一樣會產生變化，伴隨著休市期間的來臨及結束，股價報酬波動性均會增加。使用每日及日內五分鐘股價報酬資料來詳細描述各週天股價報酬之波動情形來進行探討，並依公司規模大小分類後作各群組之比較，更進一步瞭解台灣股票市場股價行為之走勢。
台灣股票交易制度結構異於美國最大不同之處為，台灣股市於開盤前三十分鐘即可進場交易，而美國股市是於開盤時才可以進行交易。而台灣證券交易所的開盤及收盤通常採集合競價的方式，其他交易時段則採用連續競價方式。因此，基於台灣交易制度的特性，台灣股市開、收盤可能會有特殊型態存在。
實證結果發現交易期間之報酬波動性大於非交易期間，其中以週一股價報酬波動性為一週各週天中最高，表示台灣的股票市場存在著週末異常效果。台灣股市在假期與週末假期後之交易日報酬波動性均大於正常交易日之報酬波動性，且其日內報酬振盪幅度亦較正常交易日為劇烈，表示台灣股市存在假日效果。而各週天的日內五分鐘報酬波動性也呈現明顯的U型，開盤及收盤之波動性明顯地高過其他日內區間。其原因為在非交易期間出現的公開資訊或私人資訊，都將反映於次日交易日，而投資大眾的交易習性亦是一重要因素。以上結果，其中又以市場價值小的公司群組最為明顯，與公司規模較小的風險有關，因為小型股的哄抬成本較低，較易遭有心人士的炒作。

This study examines about the return volatility of trading and non-trading periods on Taiwan stock market. In fact, the period stock price volatilizes is not only in trading time but also in non-trading time. Beside, the stock return volatility will increase before or after the non-trading period. I will use daily and intraday data to support this studies. The conclusion will be compare according to the firm size---to examine the behavior of Taiwan stock market.
The difference from the stock exchange system of Taiwan and America are : the traders'' orders are accumulated and match the trading by computers before a half hour to market in Taiwan stock exchange. The way of price decided during market opening and closing are periodic auction and continuous auction during other time. According to the characteristic of Taiwan trading system, therefore, some special types on opening and closing will be exist.
By the empirical research, we discover that the returns are more volatile during trading periods than non-trading periods. The return volatility in Monday is highest which indicate it have「weekend effect」in Taiwan stock market. The returns of the trading day after holiday or weekend holiday are more volatile than other trading days. So, we call it「weekend effect」.
Moreover, if we observe each days'' 5 minutes return volatility. we find that it falls from the opening period and rises from the closing period---it follows a distinct U-shape. It is because that all public or private information which will reflect in the stock price next trading day. The habits and characteristics of investors, of course. are also an important factor.

第一章 緒論
第一節 研究動機
第二節 研究目的
第三節 研究架構
第二章 文獻探討
第一節 交易期間與非交易期間報酬的比較
一、交易與非交易期間報酬的比較
二、對交易與非交易期間報酬波動性差異的解釋
第二節 交易期間與週末期間報酬的比較
一、交易與週末期間報酬的比較
二、週末效果產生的原因
第三節 交易期間與隔夜期間報酬的比較
一、交易與隔夜期間報酬的比較
二、交易期間之日內報酬
三、日內型態的產生原因
第四節 交易期間與假期期間報酬的比較
一、交易與假期期間報酬的比較
二、假日效果產生的原因
第三章 研究設計
第一節 資料型態
第二節 操作型定義
第三節 研究假說
第四節 統計方法
第四章 實證分析
第一節 交易期間與非交易期間報酬波動性的比較
第二節 交易期間與週末期間報酬波動性的比較
第三節 各週天交易期間與隔夜報酬波動性的比較
一、各週天交易與隔夜期間報酬波動性的比較
二、各週天交易期間之日內報酬波動性
第四節　交易期間與假期期間報酬波動性的比較
第五章　結論與建議
第一節 結論
第二節 建議
第三節 研究限制

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