臺灣博碩士論文加值系統

論 文 摘 要
本研究旨在探討台灣股票市場的股價相關行為之不對稱現象。結合部分調整模型與門檻式自身迴歸異質條件變異數模型以檢定股價調整行為與股價報酬波動對於股市交易期間正、負向資訊的發生是否具有不對稱效果。其中，有關股價調整行為的探討，本研究為國內首篇針對好消息與壞消息對股價調整行為所產生不同程度之影響進行估計。實證結果發現，股價調整行為對於股市正、負向資訊的發生的確存在不對稱效果，即開盤及盤中交易期間，股價對正向資訊的反應速度較負向資訊快，收盤則發生股價對負向資訊反應較快的現象，唯股價不論對正、負向資訊的反應在收盤時都特別慢，甚至來不及在收盤前將資訊內容反應完畢。而一週當中任一交易日之股價調整速度的不對稱型態為，正向資訊的反應速度較快、負向資訊的反應速度較慢，尤其是每週的第一個交易日之正向資訊反應特別快。
在股價報酬的波動性方面，也發現正向資訊與負向資訊對於股價報酬波動具有不對稱的影響效果，即負向資訊造成的股價報酬波動程度比正向資訊大。特別是在接近收盤，不論正、負向資訊對股價報酬波動的影響都比開盤與盤中交易期間大。而一週當中的不對稱效果在每週的第一個交易日、最後一個交易日、非第一個和最後一個交易日之間並無明顯的差異，均為負向資訊造成的股價報酬波動程度比正向資訊大，顯示台灣大多數投資人對於股市中的壞消息反應較為敏感。因此，主管機關應加強對股市相關資訊的控管與揭露，減少股市不必要的報酬波動與投資風險。另外，本研究進一步估算出好消息發生造成股價上漲持續的時間約為2分鐘、壞消息發生造成股價下跌持續的時間約為5、6分鐘，投資人可據此擬定投資策略，考慮在好消息發生後2分鐘賣出持股，或在壞消息發生後5分鐘買進股票，以獲取較佳之利潤或較低之成本。
關鍵詞：日內股價調整行為、日內股票報酬波動、不對稱效果、部分調整、門檻式自身迴歸異質條件變異數模型。

ABSTRACT
This paper investigates the asymmetric behaviors of intradaily stock index returns on the Taiwan Stock Exchange. Employing the Asymmetric Partial Adjustment Price model and the Asymmetric Autoregressive Threshold GARCH model. We found that the adjustment behaviors of stock index returns is asymmetric when positive information and negative information arrive. Besides , innovations with positive information impact intradaily returns more than with negative information during the open and middle trading periods while the reverse is presented during the market close. With respect to stock price volatility , the conditional variance is an asymmetric function of positive and negative innovations , which means that the volatility is larger for bad news than good news , especially in the market close. The volatility is larger for bad news than good news during the week as well. At last, this research suggests that investors should sell stocks after two minutes of arrival of positive information and buy stocks after five minutes of arrival of negative information. On the other hand, the authorities concerned should try to postpone the trading time and enhance the disclosure and control of information.
Keywords: Asymmetric Effect , Intradaily , Partial Adjustment , Threshold GARCH

目 錄
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的關鍵詞：日內股價調整行為、日內股票報酬波動、不 對稱效果、部分調整、門檻式自身迴歸異質條件變異數模型。 2
第三節 論文架構 3
第貳章 文獻回顧 5
第一節 股價調整行為 5
第二節 股票報酬之波動性 7
第參章 實證模型 13
第一節 部分調整模型 13
第二節 門檻式自身迴歸異質條件變異數模型 17
第肆章 實證研究 20
第一節 實證資料 20
第二節 台灣加權股價指數之股價調整不對稱效果 22
第三節 台灣加權股價指數之報酬波動不對稱效果 27
第伍章 結論與建議 37
第一節 結論 37
第二節 研究限制與建議 38
參考文獻 41
中文部分 41
英文部分 41
第壹章

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