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研究生:詹淑慧
研究生(外文):Shu-Hui Chan
論文名稱:新制收盤集合競價對收盤交易行為的影響
論文名稱(外文):Trading Behavior at the Close: the Effect of a New Closing Method
指導教授:黃玉娟黃玉娟引用關係
指導教授(外文):Yu-Chuan Huang
學位類別:博士
校院名稱:國立高雄第一科技大學
系所名稱:管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:英文
論文頁數:81
中文關鍵詞:市場機制投資人行為操縱集合競價
外文關鍵詞:call auctionMarket mechanismtraders&apos&aposbehaviormanipulation
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  • 被引用被引用:1
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收盤價是一天中最重要的價格,常用於投資組合價值、共同基金資產淨值、績效評估、盤後交易、以及衍生性金融商品契約到期結算價格的計算。台灣證券交易所為抑制收盤操縱行為及提升收盤交易的公平及效率,自2002年7月1日起收盤價改採5分鐘集合競價制度。本研究以2001年7月1日至2003年6月30日為研究期間,觀察台股於收盤時之變化,透過日內交易資料,將投資人區分為不同類別(包括自然人、外資、共同基金及本國法人),以探討收盤改採集合競價對到期日、季底及易被操縱個股(以下簡稱個股操縱)之收盤交易行為的影響。具體而言,本研究主要目的如下:第一,分別檢驗到期日、季底及個股操縱於收盤時是否存在異常現象,以及那一類別投資人呈現較明顯的意圖影響股票收盤價。第二,改採5分鐘集合競價制度,是否顯著降低了收盤時的異常現象。最後,以拔靴法模擬收盤改採5分鐘集合競價後,投資人操縱成本的變化;並進一步以實際委託簿資料,分析大額且積極的委託單對改制前後收盤價的影響。
研究結果發現外資在摩根台指期貨合約到期時有影響收盤價之意圖,而機構投資人則傾向於在季底之前為美化財報資料而有影響收盤價之意圖,改制後到期日及季底效應並未消失,但投資人欲影響股價,需以更大且更積極的委託單才可能成功。而自然人中的大戶及本國法人則傾向於影響個股的股價,但改制後,因操縱難度提升,異常現象已較不明顯。模擬結果亦顯示證交所改採收盤五分鐘集合競價後,使得操縱難度及成本均提高,因此投資人若仍欲操縱股價,需以更大且更積極的委託單才可能操縱成功。本研究並發現引進新制後,自然人為規避成交的不確定性而提早下單,因而破壞了收盤時市場流動性。
Of all stock prices observed during a trading day, the closing price is the one that is most widely quoted. The closing price is used to measure portfolio values and fund performances, and is typically used for margins and the settlement of derivatives contracts at their expiration. On July 1, 2002, the Taiwan Stock Exchange changed its closing price procedure to a five-minute call auction to limit market manipulation at day’s end and enhance the fairness of the closing price. This study examines the impact of trading behavior on expiration and quarter-end days, and for specific stocks which are easily manipulated (hereafter specific stocks) after introduction of the new mechanism. Using TSEC data, this study distinguishes orders by trader type. First, this study examines whether any anomalies are observed at the close and who makes the limit order book on expiration and quarter-end days, and for specific stocks tend to be manipulated. Second, this study investigates whether the new mechanism eliminates anomalies. Finally, this study utilizes a bootstrap technique to examine the manipulation cost after the introduction of the five-minute closing call auctions. Additionally, this study compares the price impact at the close of large and aggressive orders, directly using actual limit order book data.
The results show that since the new mechanism was introduced, individuals have shifted their trades away from the closing interval to the pre-closing interval, which worsens market liquidity at the close. This paper also finds that institutional investors try to influence closing prices for window dressing at quarter ends, whereas foreign institutions attempt to influence closing prices on the expiration days of index futures. After the new mechanism''s introduction, neither the expiration-day effect nor the quarter-end-day effect disappeared. Specific stocks are mainly influenced by large traders and local institutions, but the anomalies lessen at the close after the new mechanism was introduced. In spite of this finding, the new mechanism does make it more difficult and costly for traders to attempt to influence the stock price.
中文摘要 i
Abstract ii
誌謝 iv
Contents v
List of Tables vi
List of Figures vii
1.Introduction 1
2.Literature Review 6
2.1 Closing Call Auction and Trading Behavior 6
2.2 Anomalies at the Close and Trading Behavior 10
2.3 Manipulation and Trading Behavior 13
3.Institutional Details and Data Description 15
3.1 Institutional Details of the TSEC 15
3.2 Data Description 16
3.3 Summary of Statistics 17
4. Methodology 21
4.1 Measures of the Characteristic of Price Manipulation 21
4.2 The Methodology for Simulation of Manipulation Cost at the Close 25
5. Anomalies at the Close of TSEC 30
6. Trading Behavior at the Close Across Trader Types 35
6.1 Trading Behavior at the Close on Expiration Days 35
6.2 Trading Behavior at the Close on Quarter-End Days 44
6.3 Trading Behavior at the Close for Specific Stocks 51
6.4 Discussion 60
7. Cost of Price Manipulation at the Close 61
7.1 Manipulation Costs at Various Target Prices by the Bootstrap Methodology 61
7.2 Price Impact of Large and Aggressive Orders at the Close 64
8. Conclusions and Suggestions 66
8.1 Conclusions 66
8.2 Suggestions for Further Research 68
Reference 69
Appendix 73
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