臺灣博碩士論文加值系統

本文以台灣股市為對象，利用逐筆委託資料檢驗價格群聚於每日與日內現象。結果發現，無論是何種群組皆存有整數、偶數價格的群聚情況，當升降單位愈小時，會去妨礙價格決定過程，因而提高群聚程度。再進一步地探討買賣群聚差異的情形，發現市值與群聚差異是呈負向關係，而非來自於放空條件因素。在投資者類型上，證據顯示各投資者在委託單上皆存有群聚現象，尤其以個別投資者最為顯著、外資最為薄弱。最後於日內實證發現群聚現象會有所變化，在開盤時最為顯著，但半小時內將達一穩定水準直到收盤前1小時內達到日內群聚最低程度。

This paper examines daily and intraday price clustering patterns on the order-level data for the Taiwan Stock Market. First, we observe clear evidence of integer- and even-price clustering, implying that a sufficiently small tick size itself becomes a binding constraint to hinder the price resolution process and leads to price clustering. Second, all types of investors contribute to order price clustering. Individuals exhibit the strongest tendency, while foreign investors the least. Third, the degree of price clustering decreases with market value, but not relate to short sale prohibition. As to the intraday pattern, finally, the degree of price clustering is the strongest at the market opening. Then, it decreases during the first half hour and reaches a stable level. Until one hour before the market close, it declines again and reaches its lowest level.

摘要……………………………………………………………… Ⅰ
目錄……………………………………………………………… Ⅱ
圖目……………………………………………………………… Ⅲ
表目……………………………………………………………… Ⅳ
1.緒論…………………………………………………………… 1
2.資料來源與樣本選取………………………………………… 4
3.實證結果分析………………………………………………… 7
4.結論…………………………………………………………… 19
參考文獻………………………………………………………… 21

闕河士，「摩根台股指數期貨契約價格群聚現象之實證」，管理學報，第20卷第4期，民國92年，689-720頁

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