臺灣博碩士論文加值系統

股票市場是否有效率性一直是很重要的研究課題。在價格限制下的台灣股票市場，其股價行為是否符合效率市場假說或是符合過度反應假說是一個有趣的課題。
價格限制下如果資訊的價格影響大於當日的價格變動範圍，則有一部份的資訊價格會被切斷，且可能延至次一交易日時才可反應。如果投資人對於資訊有過度反應，則延至次一交易日才反應的資訊價格亦可能包含過度反應。
本論文的虛無假說為價格行為符合資訊假說，其對立假說為價格行為符合過度反應假說。本論文將價格限制下的股價行為分為兩個部分。一個部分是隔夜異常報酬率，另一部分是次一交易日交易期間異常報酬率。隔夜異常報酬率用來衡量在價格限制下受切斷的價格是否會延續其原來價格走勢。次一交易日交易期間異常報酬率用來衡量在次一交易日的交易期間私有資訊揭露下的價格行為。當投資人無過度反應時，價格會在隔夜期間繼續其走勢且在次一交易日交易期間無反轉。如果投資人有過度反應時，價格在隔夜期間會繼續其走勢但在次一交易日交易期間會反轉。藉由隔夜異常報酬率及次一交易日交易期間異常報酬率，價格限制下的價格行為研究可以有數個課題。首先用來檢驗價格限制下是否有過度反應現象。第二個課題是不同的收盤價格其次一交易日的價格行為為何。第三個課題是價格限制是否會造成磁鐵效果。
本論文使用台灣股市日交易資料，資料期間為民國七十九至八十五年。為了檢測磁鐵效果，本研究亦使用民國六十八至七十五年的資料。本研究的發現分為三個部份：
(1)、在控制買賣價差、公司規模及模式選用後，漲跌停事件日的隔夜期 間價格繼續其原有的價格趨勢，但次一交易日交易期間價格會反轉。此一結果支持過度反應假說。由價格限制造成切斷部分延遲到漲跌停之後的時期,因此價格限制不只延遲了事件日的價格繼續且延遲了事件日的過度反應。
(2)、接近漲跌停、次接近漲跌停及日內曾漲跌停的股票其價格行為與漲跌停股票相近。
(3)、本研究的結果並不支持磁鐵效果的存在。

Whether the stock market follows the efficient market hypothesis is an important topic. It is an interesting topic to test whether Taiwan stock market, constrained by price limits, follows the efficient market hypothesis.
If the stock price hits up-limits or down-limits, the impact of information on stock prices will be truncated and this truncated information value will be delayed to the next trading day. Moreover, investors tend to overreact to new information. If so, the truncated impact of new information will contain the overreaction effect.
The null hypothesis is that the stock price follows the efficient market hypothesis. In contrast, the alternative hypothesis, or the overreaction hypothesis, is that investors overreact to new information. This dissertation examines the two hypotheses by separating the abnormal return into two components, the overnight abnormal return and the trading period abnormal return, to analyze the stock price behavior under price limits. The overnight abnormal return is used to measure the extent of price continuation. The trading period abnormal return is used to measure the degree of price overreaction.
Under the overreaction hypothesis, the overnight abnormal return should be positively related to the event day return, and the trading period abnormal return should be negatively related to the event day return. Other topics tested in this research include the magnet effect and the price behavior under different price ranges.
This dissertation employs daily return data from the Taiwan Stock Exchange and uses two different sample periods to test the magnet effect. The findings are as follows:
(1)The overreaction effect exists in the Taiwan stock market. After controlling factors such as the ask-bid spread, company size ,and the benchmark models, the stock price continues its trend during the overnight period and reverses during the next trading period. Thus the price limits delay both the price continuation and the overreaction to the next trading day.
(2)The price behavior of different price ranges is very similar to the price behavior of up-hits and down-hits.
(3)The magnet effect does not exist.

第一章緒論 1
1.1前言 1
1.2 研究動機 2
1.3 研究目的 4
1.4 研究內容與章節 4
第二章文獻探討 5
2.1 價格限制的理論與實證 5
2.1.1 價格限制的理論 6
2.1.2 價格限制的實證 11
2.2 過度反應的理論與實證 16
2.2.1 過度反應的理論 16
2.2.2 過度反應的實證 21
2.3 國內的相關理論與實證 28
2.3.1 價格限制 28
2.3.2 過度反應 31
2.3.3 價格限制與過度反應 33
第三章研究設計 34
3.1 台灣股票市場的交易制度 34
3.1.1 台灣股票市場的漲跌幅限制 34
3.1.2 交易撮合機制 35
3.1.3 升降單位 36
3.2 研究假說 37
3.2.1 過度反應假說 37
3.2.1.1 無價格限制下的過度反應 37
3.2.1.2 價格限制下的過度反應 38
3.2.2 資訊假說 41
3.3 研究設計 42
3.3.1 研究期間選定 42
3.3.2 研究樣本公司選定 42
3.3.3 股票報酬率的計算 42
3.3.4 資料來源 43
3.3.5 實證模式建立 44
3.3.6 其他相關檢定 47
第四章實證結果與分析 50
4.1 資料敘述 50
4.2 漲跌停時的價格繼續與反轉 52
4.3 漲跌停時價格繼續與反轉的相關性 56
4.4 升降單位對股價行為的影響 63
4.5 公司規模對股價行為的影響 65
4.6 不同估算模式的影響 67
4.7 接近漲跌停時的價格行為 71
4.8 次接近漲跌停時的價格行為 73
4.9 日內曾漲跌停時的價格行為 76
4.10 磁鐵效果的驗證 78
第五章結論與建議 82
5.1 結論 82
5.1.1 過度反應假說 82
5.1.2 不同報酬率下的股票行為 83
5.1.3 磁鐵效果 84
5.1.4 學理上及實務上的涵義 85
5.2 建議 85
參考文獻 87
作者簡介 95

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