本研究以台灣市場為對象，利用高頻率的日內資料，進行波動度外溢假說的驗證，並藉投資人行為觀察其成因。本研究參考Kim and Yang (2008)的做法，將漲跌停板狀況分為單點觸碰、鎖死及有打開三種類型，再加上漲停與跌停兩種市場方向共計六種漲跌停型態，進行波動度外溢假說之實證研究。並將股票市場中的參與者區分為外資、散戶、自營商及其它國內法人四類，以流動性及委託單不平衡做為投資人下單行為的代理變數，以分析其中行為對漲跌停板後之股票市場波動度之影響。並進一步分析該行為是否具有資訊性。 研究結果顯示波動度外溢只存在於跌停板狀態，漲停板之狀態皆如漲跌停限制制度設立原意可降低市場波動度，而使波動度降低的原因主要來自於散戶。且波動度的降低並非雜訊性的波動。隱含漲跌停板確實為散戶帶來訊號致使散戶行為做出改變，緩和了市場波動，此結果亦支持了機構投資人於平常時較散戶更具有資訊性的觀點。 The purpose of this paper is to test the volatility spillover hypothesis by analyzing high-frequency intraday data from Taiwan. To investigate the effects of the price limits on volatility spillover, we consider three types of price limits according to Kim and Yang (2008): hits-single, locked, and opened. Each type has upper and lower limits. Investors are also separated into four categories: foreign institutional investors, individual investors, dealers and domestic institutional investors. Both liquidity and order imbalance are employed of analyze investors’ behavior with report to factors influencing volatility change. Our evidence indicates that only lower price limits causes volatility spillover. While behaviors of individual investors cause the price limits system to stabilize market fluctuations when upper price limits is reached. However, the volatility changes at price limits is the actual volatility without noise, which implies that price limits send significant signals to individual investors to change their behavior. This is consisted with the view that institutional investors have information advantage over other investors in general.
