臺灣博碩士論文加值系統

投資金融資產通常必須考慮流動性(liquidity)，因為流動性跟風險與報酬一樣，是股價的重要決定因素，對於先前已經成為另一種衍生性商品的標的物的成分股而言，流動性可能發生異常情形，本研究嘗試透過價量關係的理論：負斜率需求曲線假說、價格壓力假說、訊息假說等，對於標的股價與成交量的變化，來解釋此流動性的差異。
本研究先從價量關係的角度切入，以SIMEX台股期貨指數的上市宣告為樣本，驗證台灣標的股票的價格與成交量變化情形；並將樣本分類（附認股權證與未附認股權證），再驗證其價格與成交量的變化情形是否有差異；最後，回歸流動性的主題，驗證不同樣本間的流動性變化是否不同，並嘗試以價量關係的理論來解釋本研究結果，兼採用事件研究法與多元迴歸法加以檢測，其結果分述如下：
1. SIMEX台股指數期貨上市宣告日時，所有成分股的價格會暫時性的增加。但上市日則無此效果。
2. SIMEX台股指數期貨上市宣告日後，所有成分股的成交量會增加，但上市日後則減少。
3. 未附認股權證之成分股，在SIMEX指數期貨上市宣告日時，其股價變動的增加大於附選擇權之成分股。
4. SIMEX台股指數期貨上市宣告後，會增加所有成分股的流動性。
5. 未附認股權證之成分股，在SIMEX指數期貨上市宣告後，其流動性的增加大於附選擇權之成分股。

In order to invest in financial assets well, we have to consider liquidity. For the reason that liquidity, as risk and return, is the most important factor of stock pricing. Stocks with derivative commodity may have abnormal liquidity after index futures listing. This research try to explain the abnormal liquidity through price-volume theories: Price Pressure Hypothesis, Demand Curve Slopes Down Hypothesis and Information Hypothesis.
First, through price-volume relationship, I use the event of SIMEX Taiwan stocks index futures listing to test the change of underlying stock price and volume. Second, separating these data into two groups (warranted stocks, non-warranted stocks), I try to test if their price and volume have changed abnormally. Finally, back to the subject of "liquidity", I use methodology of event study and multiple regression to test if their liquidity in different period were abnormal and try to interpret the result through price-volume relationship. These results are as follows:
1. All listing stocks price increased temporally at announced date, but it didn''t occur at listing date.
2. All listing stocks volume increased after announced date, but it decreased after listing date.
3. At announced date, non-warranted stocks price variation increased more than warranted stocks.
4. After announced date, all listing stocks liquidity increased.
5. After announced date, non-warranted stocks liquidity increased more than warranted stocks.

目 錄 頁次
第一章 緒論…………………………………………… 1
第一節、研究背景……………………………………………… 1
第二節、研究動機……………………………………………… 3
第三節、研究目的……………………………………………… 5
第四節、研究限制……………………………………………… 6
[附錄一] 何謂指數期貨………………………………………… 7
[附錄二] CME道瓊台灣期貨與期權合約規格…………………… 8
[附錄三] SIMEX摩根台灣期貨與期權合約規格………………… 9
[附錄四] CME與SIMEX之重要差異……………………………… 10
[附錄五] TAIMEX台灣期貨交易所指數期貨合約規格………… 11
[附錄六] 不同的交易機制與合約對市場影響之探討………… 12
第二章 文獻探討……………………………………… 14
第一節、指數期貨上市對股票價量之影響…………………… 14
第二節、選擇權的納入對股票成交量與流動性之影響……… 24
第三節、指數期貨上市宣告透過價量關係對流動性之影
響………………………………………………… 28
第三章 研究假說與研究方法………………………… 30
第一節、研究假說…………………………………………… 30
第二節、研究方法……………………………………………… 36
[附錄一] SIMEX摩根台灣股票指數期貨各成份股……………… 47
[附錄二] 認購權證之定義……………………………………… 49
[附錄三] 流動性指標之介紹…………………………………… 51
[附錄四] 元月效應之探討……………………………………… 55
[附錄五] 控制變數：波動性、成交量………………………… 56
第四章 實證分析與結果……………………………… 59
第一節、相關資料統計值之分析與檢定…………………… 59
第二節、SIMEX台股指數期貨宣告/上市對成份股價格變化
之影響…………………………………………… 70
第三節、SIMEX台股指數期貨上市宣告/上市對成份股成交
量變化之影響…………………………………… 78
第四節、SIMEX台股指數期貨上市宣告/上市對未附認股權
證成份股價格變化之影響……………………… 80
第五節、SIMEX台股指數期貨上市宣告/上市對成份股流動
性變化之影響…………………………………… 84
第六節、SIMEX台股指數期貨上市宣告/上市對未附認股權
證成份股流動性變化之影響…………………… 88
第五章 研究結論與建議……………………………… 92
第一節、研究結論……………………………………………. 92
第二節、研究建議……………………………………………. 96
參考文獻…………………………………………………. 98
表 次 頁次
表1-1：股票市場與股價指數期貨市場之差異………………… 7
表1-2：CME道瓊117台股指數期貨及期貨選擇權合約規格…… 8
表1-3：SIMEX摩根７７台股指數期貨及期貨選擇權合約規格… 9
表1-4：國內外台股指數期貨之比較…………………………… 11
表2-1：價量關係理論比較表…………………………………… 18
表2-2：價量關係研究文獻整理………………………………… 23
表3-1：SIMEX摩根台灣股票指數期貨成分股（共77股）……… 47
表3-2：SIMEX摩根台灣股票指數期貨附認購權證成份股（共32股）47
表3-3：SIMEX摩根台灣股票指數期貨未附認購權證成分股（共45股）48
表3-4：台股個股認購權證彙總………………………………… 49
表3-5：一籃子股票型認購權證彙總…………………………… 50
表4-1-1：各樣本財務資料……………………………………… 60
表4-1-2：SIMEX成份股比重資料………………………………… 61
表4-1-3：各樣本財務資料變化之檢定………………………… 62
表4-1-4：各應變數之相關係數………………………………… 63
表4-1-5：各統計變數之相關係數……………………………… 64
表4-1-6：各樣本統計值變化之初步檢定……………………… 67
表4-1-6：各樣本統計值變化之初步檢定(續)……………… 68
表4-1-6：各樣本統計值變化之初步檢定(續)………………… 69
表4-2-1：台股指數期貨宣告（上市）對股價變動之影響（全樣本）71
表4-2-2：迴歸（1-1-1）檢定結果……………………………… 73
表4-2-3：迴歸（1-1-2）檢定結果……………………………… 74
表4-2-4：宣告日後價格無反轉的檢定………………………… 76
表4-2-5：宣告日後價格完全反轉的檢定……………………… 77
表4-3：迴歸（1-2）檢定結果…………………………………… 78
表4-4-1：台股指數期貨宣告（上市）對股價變動之影響
（SIMEX成份股）------------------------------81
表4-4-2：迴歸（2-1）檢定結果………………………………… 82
表4-4-3：迴歸（2-2）檢定結果………………………………… 83
表4-5-1：迴歸（3-1）檢定結果………………………………… 85
表4-5-2：迴歸（3-2）檢定結果………………………………… 86
表4-5-3：迴歸（3-3）檢定結果………………………………… 87
表4-6-1：迴歸（4-1）檢定結果………………………………… 88
表4-6-2：迴歸（4-2）檢定結果………………………………… 89
表4-6-3：迴歸（4-3）檢定結果………………………………… 90
圖 次 頁次
圖3-1：研究假說與流程圖……………………………………… 35
圖3-2：事件研究法之樣本期間圖……………………………… 37
圖4-2-1：宣告事件期AR趨勢圖………………………………… 70
圖4-2-2：宣告事件期CAR趨勢圖………………………………… 70

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9. 董士德。撮合頻率的改變及電腦輔助人工撮合改成電腦自動撮合對台灣股市績效的影響 。國立中山大學財務管理學研究所碩士論文，民國八十五年。
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11. 蔡璧徽。台灣股市生降類事件對市場報酬、交易量與流動性影響之探討。東吳大學會計研究所碩士論文，民國八十六年。
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