| 姓名 |
鄧名哲(Ming-Che Teng)
查詢紙本館藏 |
畢業系所 |
財務金融學系 |
| 論文名稱 |
(The Effectiveness of Deregulation on Day Trading in Taiwan Stock Market)
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| 相關論文 | |
| 檔案 |
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| 摘要(中) |
本論文探討台灣股票市場在開放現股當沖後，交易量是否有如金管會所預期的，台股成交量將增加。本篇論文使用平均調整模型，透過把每日週轉率減去平均週轉率，得出來的殘差稱為異常週轉率，並看事件日之後的異常週轉率是否顯著異於零。現股當沖的開放共有兩個事件日，ㄧ是先買後賣當沖交易於二零ㄧ四年一月六日開放，二是先賣後買當沖交易於二零ㄧ四年六月三十日開放。開放初期，台灣50，台灣中型100，富櫃50指數之成分股可以做為當沖標的。結果顯示，台灣50、台灣中型100，在兩種當沖開放後交易量都有顯著提升。台灣加權股價指數亦在先買後賣當沖開放有顯助提升，而在估計窗為30日的情況下，先賣後買當沖仍然有為台灣加權股價指數帶來更多的交易量。而對台灣加權股價指數期貨進行相同的檢定，結果顯示期貨並沒有因為開放現股當沖而造成交易量減少，因此我們可以說金管會的現股當沖政策有效提升了台灣股市的成交量。 |
| 摘要(英) |
This paper examines the impact of the stock day trading deregulation policy, to see if the deregulation on day trading in Taiwan stock market boosts the trading volume. Using average-adjusted model, then calculated the residual, which is called abnormal turnover, by daily turnover subtracting average turnover, then examining the change of post-deregulation residuals. There are two event time, one is January 6th, 2014, the day that long day (buy-first sell-after) trading implemented, the other one is June 30th, 2014, the day that short day (sell-first buy-after) trading permitted. The component stocks of Taiwan 50 index, Taiwan Mid-Cap 100 index and TPEx50 index are eligible for day trading in the first place. The results suggest that the deregulation policy successfully increases the trading volume in Taiwan 50 index, and Taiwan Mid-Cap 100 index. And TAIEX trading volume raised when buy-first sell-after day trading deregulated. Under 30 days as estimation window, TAIEX turnover also increased after sell-first buy-after day trading permitted. For robustness test, I examine the trading volume of TAIEX future to ensure the increased in stock market were not from the trade of related derivatives, and trading volume of TAIEX future is not decreased by the deregulation of stock day trading. We can be more confidence to say that the deregulation on day trading effectively raises the trading volume in Taiwan stock market. |
| 關鍵字(中) |
★ 現股當沖
★ 週轉率 |
關鍵字(英) |
★ Stock day trading
★ Turnover |
| 論文目次 |
1.Introduction..........................................1
2.General Overview of Day Trading Deregulation............................................5
2.1 Securities Eligibility............................. 5
2.2 Investor Eligibility................................6
2.3 Trading hours.......................................6
2.4 The Procedures for Sell-First, Buy-Later Day Trading.................................................6
2.5 Lending of Securities to Cover a Shortfall in Securities Deliverable..................................8
2.6 Halting of Sell-First Day Trading...................9
2.7 Risk Management.....................................9
3.Data and Methodology.................................10
3.1 Data Source and Variables..........................10
3.2 Methodology........................................12
4.Empirical Results....................................13
4.1 Differences in TW50, TM100, and TPEx 50 in the pre- and post-event periods – January 6th, 2014.............13
4.2 Differences in TAIEX in the pre- and post-event periods – first event time, January 6th, 2014..........14
4.3 Differences in TW50, TM100, TPEx 50, and TAIEX in pre- and post-event periods – June 30th, 2014..........14
4.4 Difference in TAIEX Future in pre- and post-event periods................................................15
5.Conclusions..........................................18
6.References...........................................21
7.Tables and Figure....................................22
Figure 1...............................................22
Table 1................................................23
Table 2................................................24
Table 3................................................25
Table 4................................................26
Table 5................................................27
Table 6................................................28
Table 7(A).............................................29
Table 7(B).............................................30
8. Appendix............................................31
Appendix A.............................................31
Appendix B.............................................32 |
| 參考文獻 |
Jonathan M. Karpoff (1986), ‘A Theory of Trading Volume’, The Journal of Finance, Volume 41, Issue 5, December 1986, Pages 1069–1087.
Ross Levine and Sara Zervos(1996), ‘Stock Market Development and Long-Run Growth’, The World Bank Economic Review, 10 (2): 323-339.
Matti Suominen (2001), ‘Trading volume and information revelation in stock market’, Journal of Financial and Quantitative Analysis, Volume 36, Issue 04, December 2001, Pages 545-565.
KENNETH A. KIM(2001), ‘Price limits and stock market volatility’, Economic Letter, Volume 71, Issue 1, April 2001, Pages 131–136.
Taiwan Securities Association, ‘Report of Impact of Capital Gain Tax’ and 2013 Annual Report.
Financial Supervisory Website, Day Trading.
Financial Supervisory Commission Statistics Website.
Taiwan Exchange Website, Day Trading. |
| 指導教授 |
張傳章(Chuang-Chang Chang)
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審核日期 |
2016-7-19 |
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