漲跌幅限制變化對投資人預期之影響

The Impact of Price Limits Change on Investor Expectations

10.6226/NTURM2003.14.2.179

薛立言(L. Paul Hsueh)；陳獻儀(Hsien-Yi Chen)

漲跌幅限制 ； 隱含波動率 ； 選擇權 ； price limits ； implied volatility ； options

臺大管理論叢

14卷2期（2003 / 12 / 01）

179 - 196

繁體中文

在許多金融市場中，價格漲跌幅限制常被作為抑制市場投機行為或過度反應的重要工具，然而漲跌幅限制對於投資人交易行為之影響，一直未獲得一致的看法。某些研究指出其可抑制投資人的過度反應，讓觸及漲跌幅限制後之股價波動率有減低的現象；另有文獻發現，在觸及漲跌幅限制後，股價波動率反而有增加的情況，因而認為漲跌幅限制並不會抑制市場上的不理性交易行為，而僅是延緩均衡價格的出現。由於選擇權的隱含波動率可視為市場投資人對未來標的股價波動的預期反應，加上選擇權交易高度槓桿的特性，投資人對於漲跌幅限制變化會更加敏感。因此，有別於以往相關研究都透過股票市場觀察股價觸及漲跌幅限制後所引起之變化，本文藉由觀察權證市場之隱含波動率的變動情形，分析國內權證市場投資人是否因為標的股票之漲跌幅限制產生變動，而改變對未來標的股價波動之預期，進而使交易行為有所改變。實證結果發現，當標的股票跌幅限制縮小時，認購權證之隱含波動率有顯著降低的現象，表示一般投資人對標的股票的未來波動率有下降的預期，也顯示出漲跌幅限制確實對投資行為產生冷卻效應。不過，對於較易觸及漲跌幅限制之標的，包括規模較小、交易熱絡以及波動性高的股票，其認購權證的隱含波動率在跌幅縮小時，反而出現顯著上升的現象。如此的結果支持Fama (1989)所提出之論點，也就是漲跌幅限制使投資人對未來均衡價格產生不確定感，進而延緩均衡價格之形成。

The use of price limits to dampen investor's overreaction or speculation behavior is not uncommon in many financial markets. While some research shows that market volatility decreases after the price limits are triggered, others find just the opposite. To better measure the effect of price limits on investor behavior, this study examines the sensitivity of implied volatility in the market. Specifically, given that the implied volatility represents a consensus measure of future volatility in the market, the behavior of implied volatility around price limits change can serve as a good measure of investor's view about future volatility prospect. Using data from the domestic warrant market, our findings show that when the lower price limit becomes more restrictive, the implied volatility in the market decrease significantly and seem to exert cooling-off effect. However, for stocks that tend to hit the price limits more easily (stocks that are more volatile, more actively traded, and with smaller market capitalization), their implied volatilities actually increase when more restrictive price limits are imposed. This finding confirms the view of Fama (1989) that price limits delay the price discovery process in the market.

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