極端高漲幅投機型股票買賣單不對稱、股票報酬率、波動性之間的動態關係

Abstract

本文的主旨在探討極端高漲幅投機型股票買賣單不對稱、股票報酬率、波動性之間的動態關係，根據以往的研究，買賣單不對稱程度為個股交易是否隱含私有資訊的一項重要指標，並可能對當期或未來的股票報酬產生影響。在資訊不對稱下，私有資訊持有者可以利用此私有資訊來交易獲取超額報酬，而非私有資訊持有者則分析股票交易資料中的資訊內涵來發展出一套理論、設計可以獲利的策略。本研究篩選日內報酬率在35%以上的高漲幅投機型個股，檢視其買賣單不對稱對股價報酬率造成的影響，並探討造成極端高漲幅的可能原因。 本研究以GARCH 模型及多期的時間序列模型來驗證原始資料，主要的解釋變數為買賣單不對稱，被解釋變數為股價報酬率與波動性，實證結果發現：同期的買賣單不對稱對於股價會產生正向的影響，一筆交易量大的買單會引起正向的價格壓力，並推升股價；前一期的買賣單不對稱對於股價會產生負向的影響；而前兩期以上的買賣單不對稱與當期報酬率之間的關係卻不顯著。 另外，我們也檢視高漲幅個股公司是否存在特定的公司性質而影響資訊不對稱程度高低，公司資本規模一向為衡量資訊不對稱程度的重要代理變數，我們建立一個迴歸模型，以公司資本規模作為解釋變數，買賣單不對稱對股價報酬及波動性的影響程度為被解釋變數，然而，實證結果指出公司資本規模對資訊不對稱程度高低的影響並不顯著。

The main purpose of our study is to explore the dynamic relations between order imbalance, stock return and volatility for extremely high return stocks. According to previous literature, order imbalances contain abundant valuable information to future payoff. Under information asymmetry, stock market participants carefully examine order imbalances and attempt to make abnormal profit. We select stocks with intraday return higher than 35% as our sample data. It is interesting to derive the reason why these attractive high return stocks win such remarkable positive profit in a short period. We test the dynamic relations by applying GARCH model and intertemporal time series model to our sample data. The empirical evidences reconfirm that contemporaneous order imbalance has positive and significant influence on price movement. A large amount of buyer-initiated order imbalance generates positive return in current period. Nevertheless, past order imbalances show negative or insignificant price impacts. In addition, we investigate whether firm-specific characteristics can alter the intense of relation between return and order imbalances. However, our finding suggests that market capitalization, an important proxy of information asymmetry, is not a significant explanatory variable to the degree of price impact caused by order imbalance.