臺灣博碩士論文加值系統

摘 要
台灣證券交易所，為了提供股票在集中交易市場收盤後的流動性需求，於2000年4月3日起開始開放下午二時至二時三十分止申報買賣股票，但一律以當日市場收盤價格撮合成交。有許多文獻證實，存在漲跌停限制的僵固性交易不僅會尚失市場之效率性亦可能加深資訊交易之機會，盤後定價交易是否亦為如此，本文著眼於此觀點深入探討。
本研究為探討盤後交易政策之效果，使用2004年大盤與100檔個股之盤後定價交易日資料，建構5個假說，利用GARCH模型進行實證研究。實證結果顯示，大盤與65%的個股樣本都呈現，盤後交易量顯著影響隔夜報酬之波動，表示資訊交易者進入盤後交易市場致使盤後交易量出現異常，進而影響隔夜報酬率之波動，此結果符合本文假說一之預期。 另有，57%的個股顯示，盤後委託單失衡與隔夜報酬率呈現正相關，代表若委託單失衡出現大幅波動時，有可能是資訊交易者進入盤後市場，故其產生的盤後委託單大幅失衡將對隔夜報酬率產生正相關，此結果符合本文假說二之預期。本文假說三推論，資訊交易者進入盤後交易市場，亦會造成盤後委託單失衡與隔夜報酬率之波動相關，實證結果大盤及43%的個股樣本驗證假說。
最後，在假說四與假說五的實證結果方面，本文發現分別有36與77檔個股顯示，若當天股價為漲停與跌停時，但盤後交易量卻異常放大或委託單失衡卻異常之縮小，代表著可能因股價有過度反應，故其隔天開盤反轉的機率將上升，此結果符合本文之預期。本文另也發現到大部份的個股都具延續盤中交易的功能。
雖然樣本不全然符合本文所有的假說預期，但是不可否認，盤後交易多少具資訊內涵存在，國內文獻對於盤後定價交易的研究還十分缺乏，且國內之內線交易頻繁，希望本文能夠幫助有關當局健全盤後交易制度及往後研究之參考。

目　　次
摘要 v
目次 vi
表目錄 viii
第壹章 導論 1
1.1 研究背景 1
1.2 研究動機 2
1.2 研究目的 5
第貳章 文獻回顧 7
2.1盤後交易 7
2.2委託單失衡與交易量 9
2.3漲跌幅限制 12
2.4證券交易相關理論 16
第參章 建構假說 18
3.1假說設定 18
3.2假說推論 19
3.2.1 當收盤價不效率為私有資訊時 20
3.2.2 當收盤價不效率為公開資訊時 21
第肆章 研究方法與資料分析 23
4.1研究方法-GARCH模型 18
4.2實證模型 24
4.3資料描述與分析 28
4.3.1 資料來源 28
4.3.2 資料分析 31
第伍章 實證結果 35
5.1個股實證結果 35
5.2大盤實證結果 49
5.3漲跌幅限制下之實證結果 53
第陸章 結論與建議 61
6.1結論 61
6.2建議 62
參考文獻 64
附錄
A 樣本資料 70

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