監視制度對平均數復歸與報酬波動性影響之研究

The Effect of Surveillance System on the Mean-Reverting and Volatility of Stock Returns

10.6545/JoFS.1998.6(2).4

葉銀華(Yin-Hua Yeh)；鄭文選(Wen-Hsuan Cheng)

監視制度 ； 平均數復歸 ； 報酬波動性 ； 雜訊交易理論 ； surveillance system ； mean-reverting ； return volatility ； noise trading theory

中國財務學刊

6卷2期（1998 / 10 / 31）

65 - 97

繁體中文

本文旨在探討監視制度對於注意股之平均數復歸與報酬波動性的影響，利用Lo和Mackinlay（1989）所導出的變異數比率檢定統計量，來分析注意宣告對股票報酬平均數復歸的影響。再者，利用Chiang和Wei（1993）所提出克服漲跌幅限影響的估計式，來衡量股票報酬的波動程度。實證結果發現：（1）就平均而言，監視制度可降低投資人正向回饋的行為，而使股票報酬產生平均數復歸的情形；然而有部分注意股報酬並非如此。再者，監視制度並無法有效降低注意股的報酬波動程度。（2）受處置的注意股（在持有期間為3日）與公司規模較小者，其報酬率仍存在正向回饋的行為，而有均數偏離的現象。（3）再者，週轉率較高與喊進出價差較大的注意股，在注意宣告後，其報酬波動性並無顯著降低。特別是，受處置的注意股與公司規模較小者，在注意宣告後，報酬波動程度反而增加。綜合本文的實證結果，監視制度的施行成效仍然有限。

The purpose of this study is to investigate the effect of surveillance system on the mean reverting and return volatility of the warning announcement stocks. This study first utilizes the variance ratio test proposed by the Lo and Mackinlay (1989) to analyze the effect of warning announcement on the mean-reverting of stock returns, and employs the modified variance estimator that readjusted the influence of price limit proposed by Chiang and Wei (1993) to measure the volatility of stock returns. The empirical results indicate that the surveillance system induces the mean-reverting of stock returns by mitigating the investors ' behavior of positive feedback trading in general, whereas, it cannot decrease the volatility of stock return effectively. In addition, the mea n averting of stock returns still occurs for warning announcement receiving companies with transformed transaction systems and for the ones with small size. For those stocks with high turnover, and large bid-asked spread, their volatility does not significantly decrease after the warning announcement. On the contrary, for the companies with small size and the ones with transformed transaction system do increase the volatility of returns after the warning announcement. To sum up the findings of this research, we conclude that the result of the surveillance system is not so effective to attain the goal of decreasing volatility and mean reverting.