篇名 | 股價波動性與結構性轉變之探討--不同漲跌幅限制下的分析 |
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卷期 | 5:2 |
並列篇名 | Stock Price Limits and Structural Change in Time-Varying Volatility |
作者 | 沈中華 、 黃河泉 |
頁次 | 23-45 |
關鍵字 | 價格限制 、 隨時間變化波動性 、 Price limit 、 Time-varying volatility 、 Scopus 、 TSSCI |
出刊日期 | 199407 |
本文針對股價漲跌限幅對臺灣平均股價報酬率、波動程度和結構模型的影響作一有系統的探討。和以往文獻最大不同在於本文模型允許股價報酬和波動可以互相影響,並考慮在不同漲跌限幅之下有無結構性改變。 本文發現漲跌限幅由5%縮小為3%,平均報酬率雖有上升但統計上不顯著,當由5%放寬為7%,則平均報酬率顯著地下跌。至於股價波動在三個不同漲跌限幅期間均顯著地不同,放寬漲跌幅的確使波動增大。最後我們發現股價波動產生模型並不受漲跌限幅的影響,所有係數均沒產生結構性改變。
The effect of price limit on the stock return, volatility and the structural change is pursued through a generalized autoregressive conditional heterscedasticity (GARCH) model. The interaction between stock returns and its volatility is permitted in each price limit regime. While the stock return does not go up when the price limit decreases from 5% to 3%, the return significantly drop when the price limit increases from 5% to 7%. The stock volatility, however, is substantially different across three regimes. The higher the price limit, the larger is the volatility. Finally, the GARCH model does not suffer from the structural change when price limits change.