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Please use this identifier to cite or link to this item:
https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/33211
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| Title: | 台灣上市公司股價跳空行為之研究 |
| Other Titles: | A study of jump behavior of share prices listed in tse
臺灣上市公司股價跳空行為之研究 |
| Authors: | 黃郁婷;Huang, Yu-ting |
| Contributors: | 淡江大學管理科學研究所碩士班
倪衍森;Ni, Yen-sen |
| Keywords: | 跳空缺口;技術分析;事件研究法;相對強弱指標;價量關係;Technical Analysis;Jump Behavior;Event Study;RSI;Price-volume Relationship |
| Date: | 2006 |
| Issue Date: | 2010-01-11 03:44:25 (UTC+8) |
| Abstract: | 跳空亦是技術分析之一種，然而少有學者進行跳空的討論，且過去技術分析的文獻多是採用模擬分析的方法。本研究欲探討的主題即台灣股市在跳空產生後的影響，採用事件研究法，估計事件日前後的平均異常報酬及累積異常報酬，再對其進行T檢定，驗證是否有顯著異常報酬。
本論文之研究假說分為跳空方向、跳空缺口大小、技術分析指標（以RSI指標為例）、成交量、產業類股以及權值股個股等六類，分別探討各種跳空行為的異常報酬。本研究採用台灣股市2003年1月1日至2005年12月31日的日資料，並將研究樣本分為14種產業類股，共七十支個股。
根據本研究的實證結果，得到以下的結論：
一、所有的跳空產生當天（t = -1（E）），股價均有顯著異常報酬，且在跳空產生前一天（t = -2（E））即有顯著異常報酬，這表示有資訊外溢，可推論台灣股市中可能充斥內線消息。
二、整體之向上跳空或向下跳空產生後，均有顯著之異常報酬，且在跳空前都有資訊外溢之情形。
三、整體以及各產業類股之跳空在幅度較大時，會產生較為顯著之異常報酬；而跳空幅度較小時，異常報酬不顯著。
四、跳空配合RSI指標時，只有在RSI高檔又向上跳空，以及RSI低檔又向下跳空時，有較為顯著的異常報酬。
五、在價量關係方面，成交量減少（價漲量縮、價跌量縮）時，有非常顯著之異常報酬，且連續多日；成交量增加（價量齊揚、價跌量增）時，則報酬表現僅在事件日及事件日後第一個交易日顯著。四種情形都在跳空前有資訊外溢的現象。
六、傳產股，如水泥、食品、紡織、造紙、機電、營造建材等，在向下跳空時容易有負顯著異常報酬；而電子產業則較容易在向上跳空時，產生正的異常報酬；金融保險則在多數情形下，報酬並不顯著；另外，值得注意的是，紡織在各項分析中的向上跳空，反而會有負的異常報酬，且其跳空資訊發酵較慢。
The jump is a kind of technical analysis, but few studies are about this topic. The main objective of this study is to examine the effects of share price listed in Taiwan Stock Exchange (TSE) after the jump happened.
I conducted the method of “Event Study” to estimate the average abnormal returns (AR) and cumulative average abnormal returns (CAR) before and after the jump. And then, I tested the t-value of AR and CAR to verify if it is significant. The sample includes 70 firms listed in TSE which are divided into 14 industry categories, and the sample period is from 2003 to 2005.
According to my empirical analysis, there are six major finding:
1. Abnormal returns of every jump behavior are significant on the day jump happened. Moreover, abnormal returns of every jump behavior are also significant on the day before jump happened; this indicates the spillover effect of the jump information.
2. Abnormal returns after the upward and downward jumps happened are significant.
3. Abnormal returns of greater span jumps are more significant; and abnormal returns of smaller span jumps are not conspicuous.
4. While the jump behaviors cooperate with RSI, the abnormal returns are significant after the upward jumps accompanied with RSI which is higher than 70%, and the downward jumps accompanied with RSI which is lower than 30%.
5. While the jump behaviors cooperate with the price-volume relationship, the abnormal returns are significant and incessant for many days after the jumps accompanied with declined volume; however, the abnormal returns are significant only on the first two days after the jumps accompanied with increased volume.
6. Abnormal returns of traditional industry categories, such as cement, food, spinning, building etc., are significant and negative after downward jumps; abnormal returns of electronic industry are significant and positive after upward jumps; abnormal returns of financial industry are not significant in most situations. In addition, abnormal returns of spinning industry are significant and negative after upward jumps; furthermore, the upward jump information is spread slower. |
| Appears in Collections: | [管理科學學系暨研究所] 學位論文
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