| 摘要: | 綜觀世界各國股巿大多無漲跌幅限制規定，而有限制的國家亦均在10%以上，台灣近年來多次討論是否放寬漲跌幅限制，金管會於2015年推動證券巿場揚升計劃，希望藉由此來營造透明、公正、效率的資本市場，並與世界接軌，使證券市場更加蓬勃發展，以提升國際競爭力。並於2015年6月1日將漲跌幅限制提高至10%，期能達到營造更有效率交易巿場之目的。
本研究的主要動機是以放寬漲跌幅後對台灣股巿的影響出發，探討此政策對台指加權指數及前十大類股指數，包括半導體、金融保險、其他電子、通信網路業、塑膠類、電腦及週邊設備、電子零組件、其他類、光電及油電燃氣波動性的影響。本研究採用ARMAX-GJR-GARCH模型進行參數估計及波動性評估。綜合本文實證結果，有以下幾點發現：一、加權指數成交量與股價指數報酬率於放寬漲跌幅限制前後皆顯著，但正負符號不一，顯示放寬漲跌幅限制對促進巿場流動性的預期並不相符。二、股巿對消息面反應相對會更加敏感，投資人預期報酬率會加大的同時也擔憂風險的提升，因而刺激了台股波動性。三、從橫斷面與緃斷面來看放寬前後皆具有一致性的影響，且依平均波動性強弱排列，放寬漲跌幅前後前三大分別為油電燃氣、半導體與光電，最小則是通信網路業，完全沒有改變。
Most worldwide stock markets do not have price fluctuation limitations, or are limited to only a 10% price fluctuation. Taiwan is limited to a 7% price fluctuation in the stock market, and a relaxation of the current fluctuation limitations has been discussed frequently in recent years. In 2015, the Financial Supervisory Commission (FSC) implemented the Stock Market Growth Plan to create a transparent, fair, and efficient capital market to cultivate the Taiwanese stock market and enhance its international compatibility. The FSC relaxed the price fluctuation limit to 10% on June 1 of the same year, which increased the effectiveness of the market.
The present study explores the influence of the relaxation of price fluctuation limitations on the volatility of the Taiwan Capitalization Weighted Stock Index and the top ten stock sector indices, which are Semiconductor, Finance and Insurance, Miscellaneous Electronics, Communication and networks, plastic, Computers and Computer Peripherals, Electronic Components, Others, Photoelectrics, and Oil and Gas. The study uses ARMAX-GJR-GARCH to calculate Parameter estimation accuracy and evaluate Volatility. The empirical results reveal that 1) the relaxation of price fluctuation limits does not stimulate stock market liquidity as expected; 2) theinvestors become more sensitive in response to market news because of potentially larger gains and the risk of more substantial losses, which increases the volatility of the Taiwan Stock Exchange; 3) the average changes in volatility of the top three sectors and the bottom sector are the same after relaxation of the price fluctuation limits. The top three sectors are Oil and Gas, Semiconductors, and Photoelectrics, and the bottom sector is Communication and Networks sector. |
