交易時間延長對證券市場波動性、流動性及效率性之影響

Abstract

為符合國際證券市場的潮流，我國自2001年1月1日起，實施每日交易時間延長1.5小時，由3小時(9:00~12:00)延長至4.5小時(9:00~13:30)的股票現貨交易至今已滿十年；而近年來鄰近國家相繼有延長交易時間之變革，例如東京證交所預計在2011年由4.5小時延長至5小時；香港交易所也在2011年3月延長至4.5小時，且在2012年3月再延長至5小時；韓國也早已將午休時間取消，改採一盤到底，每日由9:00交易至15:00共6小時。 本研究主要探討延長交易時間制度實施後對於證券市場波動性、流動性及效率性的影響。運用大盤指數(台灣加權指數、韓國KOSPI指數、香港恆生指數)及所有臺灣上市個股的日資料，透過多種證券市場績效指標做驗證，進行三大績效之探討。整體而言，可得以下結論： 1. 臺灣股市： 交易時間延長短期內對股市市場績效呈現一致性的正面影響；中長期來看，對市場績效的影響正、負兩面並存。 2. 韓國股市： 交易時間延長短期內使得股市波動性增加、效率性增加；中長期對市場績效有正面的影響。 3. 香港股市： 交易時間延長對股市的波動性及效率性之影響不顯著。

To meet the trend of international securities markets, Taiwan Stock Exchange has extended daily trading hours from 3 hours (9:00 to 12:00) to 4.5 hours (9:00 to 13: 30) since January 1, 2001. Recently, neighboring countries of Taiwan have extended or are planning to extend trading hours. For example, Tokyo Stock Exchange plans to extend trading hours from 4.5 hours to 5 hours in late 2011, and Hong Kong Stock Exchange extends trading hours to 4.5 hours in March 2011 and plans to rather extend them to 5 hours in March 2012. In addition, Korea Stock Exchange has canceled lunch break for years, and the daily trading hours of Korea is from 9:00 to 15:00, totally for 6 hours. This study focuses mainly on the effects of extended trading hours on stock market volatility, liquidity and efficiency. Three market index (TAIEX, KOSPI, and HSI) and the data of all listed stocks in Taiwan Stock Exchange were used in my study to access measurement of market performance. Overall, through the verification of multiple securities market indexes, we have the following conclusions: 1. Taiwan Stock Market: In the short term, extended trading hours has positive effect on the stock market. In the medium-long term, however, it has both positive and negative effect on the stock market. 2. Korean Stock Market: In the short term, extended trading hours increases the volatility and the efficiency of the stock market. In the long term, it has positive effect on the stock market. 3. Hong Kong Stock Market: The effect of extended trading hours on the volatility and the efficiency of the stock market are not significant.