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研究生:林宏誼
研究生(外文):Hung-Yi Lin
論文名稱:股價大幅波動後之隔日沖策略
論文名稱(外文):Overnight trading strategies on large price movements
指導教授:林盈課林盈課引用關係葉宗穎葉宗穎引用關係
指導教授(外文):Anchor Y.LinChung-Ying Yeh
口試委員:林哲群
口試委員(外文):Che-Chun Lin
口試日期:2023-06-12
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融學系所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2023
畢業學年度:111
語文別:中文
論文頁數:46
中文關鍵詞:股價大幅波動價格延遲發現傳染效應
外文關鍵詞:large price movementdelayed price discoverycontagion effect
相關次數:
  • 被引用被引用:0
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  • 下載下載:32
  • 收藏至我的研究室書目清單書目收藏:0
隨著科技的進步,資訊的取得也越來越容易,而股價的波動又經常會受到各種消息面以及政策面的影響,因此在面對股價大幅波動時,許多投資人會做出不理性的操作,進而導致股價過度反應的現象。本研究認為股價大幅波動的個股除了有過度反應的現象之外,也認為美股指數的漲跌會對台股產生傳染效應,對其產生影響,因此本研究加入了美股的因子,並透過日內資料分析,觀察在前一日美股指數大漲或大跌之後,當日股價大幅波動的個股是否有過度反應及傳染的現象,期望能從中找到短期獲利的機會。
本研究發現美股指數的大漲或大跌確實會對台灣上市櫃的股票產生傳染效應。例如,當納斯達克指數昨天經歷3%-4%的跌幅時,投資者能夠透過交易那些在當天13:20跌7%以上但未跌停的股票獲利,此外,本研究透過迴歸分析更進一步發現報酬率對小規模、高股價和高交易量的因子有顯著關係,表示這些公司在納斯達克指數大跌的情況下,有更明顯的過度反應現象。
With the advancement of technology, accessing information has become easier and easier. However, stock prices are often influenced by various news and policy factors, which can result in significant fluctuations. Therefore, when facing large price fluctuations, many investors may make irrational decisions, leading to an overreaction in stock prices. This study believes that in addition to the phenomenon of overreaction, stocks with significant price fluctuations also experience a contagion effect from the rise and fall of the US stock index, which affects their prices. Therefore, this study incorporates the factor of the US stock market and analyzes intraday data to observe whether stocks with significant price fluctuations overreact and exhibit contagion effects after a large increase or decrease in the US stock index on the previous day, with the aim of identifying short-term profit opportunities.
This study found that a significant increase or decrease in the US stock index indeed has a contagion effect on stocks listed in Taiwan. For example, when the NASDAQ index experienced a 3%-4% decline yesterday, investors today can profit by trading stocks that have fallen more than 7% but have not reached the daily limit. Furthermore, through regression analysis, this study further discovered a significant relationship between returns and factors such as small market capitalization, high stock prices, and high trading volume. This indicates that these companies exhibit a more pronounced overreaction phenomenon when the NASDAQ index experiences a significant decline.
摘要 i
Abstract ii
目 錄 iii
圖 目 錄 iv
表 目 錄 v
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 1
第三節 研究架構與流程 2
第二章 文獻回顧 3
第一節 傳染效應 3
第二節 漲跌停限制 4
第三節 市場情緒 5
第三章 研究方法 6
第一節 研究樣本 6
第二節 大漲與大跌條件與交易策略 6
第三節 研究方法與假說 8
第四章 實證分析 12
第一節 各組別之模擬結果分析 12
第二節 綜合比較 18
第三節 迴歸分析 22
第五章 結論與建議 23
參考文獻 24
中文文獻 :
林均叡,2019,《個股大漲或大跌後之交易策略》,國立中興大學財務金融學研究所碩士學位論文。
陳珮瑜,2016,《黑天鵝事件下反脆弱選股之策略》,國立中興大學財務金融學研究所碩士學位論文。
陳政勤,2008,《漲跌停交易之獲利策略》,國立中興大學財務金融學研究所碩士學位論文。
英文文獻 :
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