臺灣博碩士論文加值系統

本研究檢視2007 年11 月至2009 年1 月間台灣漲跌幅限制與停板股票
報酬之間的關係，我們收集雅虎(YAHOO)股市在網路上所提供的股市漲跌
幅排行資料，並挑選其中的收盤停板股票及盤中停板股票，利用變異數分
析觀察以收盤停板及盤中停板股票建構的投資組合於隔日和持有兩個交易
日後的報酬與投資績效。
研究發現，漲跌幅限制在解釋停板股票的後續表現上佔有關鍵性的角
色，實證結果指出漲跌幅限制將延遲收盤停板股票的價格發現過程，然而，
漲跌停限制會對盤中漲停股票產生磁吸效應，使其後續價格出現反轉，但
盤中跌停的股票仍會繼續呈現價格的持續性。即使在調整風險因素後，實
證結果也是類似的，也就是說，收盤漲停板股票的投資績效仍相當優異，
然而，收盤跌停、盤中漲停、盤中跌停股票則為顯著負的投資績效，表示
停板股票的後續投資績效主要來自漲跌幅限制的干擾而非來自冒較高的投
資風險，另外，除了盤中停板股票外，收盤停板股票的後續報酬與市場報
酬有著顯著的差異直至停板後的第二個交易日。本研究亦指出投資人的損
失趨避行為可能是造成漲停板及跌停板股票後續報酬幅度差異的原因。
最後，我們歸納出兩個結論，第一，漲跌停限制的實施確實會干擾股
票價格的反應過程，第二，對於投資人而言，股票達到停板的消息將是一
個具有參考價值的訊號，投資人能將其納入做為投資決策上的考量。

This study examines the relationship between price limits and stock returns by constructing
daily limits-hit portfolios from YAHOO stock tracker provided by Taiwan Stock Exchange
(TSE). Limits-hit stocks are classified into close-limit-hit (stock prices hit limits and are
closed at limit) and intraday-limit-hit (stock prices hit limits during the trading day but are
not closed at limit) stocks.
We use ANOVA approach to investigate the subsequent one day and two day stock returns
and investment performance. Results indicate that price limits play a key role in explaining
their performance after limits hit. We find full evidence as to the delayed price discovery
process for close-limit-hit stocks, whereas magnet effect is only observed from
up-hit-intraday stocks. Even after controlling for the risk, we find similar results on
investment performance. It means that the abnormal returns of close-limit-hit stocks are
driven more by price limits rather than by risk taking. Moreover, results present that the
performance of close-limit-hit stocks have prominent difference with that of market, but
intraday-limit-hit stocks have inconsistent evidence till day 2.
In addition, we document that investors’ loss aversion may cause the difference between
upward and downward movements. Last of all, we draw two main conclusions about our
studies: Firstly, the imposition of price limits indeed interfere the normal reaction of stock
prices. Secondly, price limits can provide helpful information for investors when they are
making investment decisions.

Chapter 1 Introduction 1
Chapter 2 Literature Review 7
　1. Price Limits Effects 7
　　1.1 Price Limits in Other Countries 9
　　1.2 Price Limits in Taiwan 15
　2. Loss Aversion 20
Chapter 3 Data and Methodology 23
　1. Data 23
　2. Methodology 25
　　2.1Test the Return Difference 26
　　　2.1.1 Subsequent One Day 26
　　　2.1.2 Subsequent Two Days 29
　　2.2Test the Risk-Adjusted Return Difference-Treynor
Index 31
　　2.3Test the Risk-Adjusted Return Difference-Sharpe
Index 33
　　2.4Test the Magnitude Difference 34
Chapter 4 Empirical Results and Analysis 38
　1. Subsequent Returns After Prices Hit Limits 38
　　1.1 Subsequent One Day 38
　　1.2 Subsequent Two Days 41
　2. Subsequent Treynor Index After Prices Hit Limits 42
　3. Subsequent Sharpe Index After Prices Hit Limits 45
　4. Subsequent Return Magnitude After Prices Hit Limits 46
Chapter 5 Conclusion 50
References 53

List of Figures
Figure3.1-1 Market Index over November 2007 to January 2009 62
Figure3.1-2 Market Return over November 2007 to January 2009 62

List of Tables
Table2.1.1 World Stock Exchanges and Price Limits 57
Table3.1-1 Stock-Ratings of Upward Movements for TSE Market on January 7,2009 58
Table3.1-2 Sample Portfolios 61
Table3.2.2 One-year time deposit fixed interest rate 63
Table4.1.1 Return Difference Subsequent One Day 64
Table4.1.2 Return Difference Subsequent Two Days 65
Table4.2-1 Treynor Index Difference Subsequent One Day 66
Table4.2-2 Treynor Index Difference Subsequent Two Days 67
Table4.3-1 Sharpe Index Difference Subsequent One Day 68
Table4.3-2 Sharpe Index Difference Subsequent Two Days 69
Table4.4 Magnitude Difference Subsequent One Day 70

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