企業分封報酬、波動性與買賣單不對稱之研究

Abstract

許多研究指出企業分封宣告時所釋放出之訊息可能可以減緩抑或是加深資訊不對稱之問題，更甚而會在企業分封之宣告日期間產生異常報酬。換言之，由於資訊不對稱的存在使得投資人可藉由觀察交易量來了解持有私有資訊者之交易行為與資訊。而本研究之目的在於以買賣單不對稱變數作為交易資訊的指標進而研究企業分封宣告日當天母公司日內股票報酬、波動性與買賣單不對稱之關係。 首先，我們藉由時間序列迴歸模型檢測同期與前期之買賣單不對稱對於日內股票價格之影響。實證結果指出前期之買賣單不對稱對於當期股票報酬並不存在顯著之正向影響，亦即為我們並無法利用前期買賣單不對稱之變數去預測當期之股票報酬。然而，我們發現同期之買賣單不對稱對於同期股票報酬具有顯著之正向影響。 接著，我們利用波動性-買賣單不對稱GARCH(1,1)模型檢驗是否買賣單不對稱愈大會造成股價波動性愈大，亦即買賣單不對稱是否對股價波動性的影響為正向關係。實證結果指出買賣單不對稱與股價波動性並無存在顯著正向或負向關係；我們推論這是由於造市者(Market maker)擁有良好穩定股票價格之能力。此外，我們發現取對數後之資本額對於買賣單不對稱變數有顯著之負向影響，顯示在本研究樣本中存在小型股效應。 最後，我們以買賣單不對稱變數建立一套以報價價格與交易價格為基礎之交易策略。結果顯示僅有5分鐘時間區間下之交易策略報酬可以擊敗大盤報酬。

Several researches indicate that spinoff event can alleviate or exacerbated the information asymmetry problem by revealing information and even yield abnormal excess returns around the announcement periods. In other words, investors can know the private information and behavior of informed traders by observing trading volume because of information asymmetry. The central purpose of our study is using the order imbalance as an indicator of the trading information to investigate the relation among the intraday stock return, volatility and order imbalances at announcement date of spinoff’s parent firms. First, we examine the intraday current stock price reaction to the lagged order imbalances by time-series regression models. The empirical results provide no significantly positive relation between current stock returns and lagged order imbalances； that is, we deduce that lagged order imbalances have no predictive explanatory power to current returns. However, we observe that contemporaneous returns are positively associated with contemporaneous order imbalances by performing another multiple regression model with contemporaneous and four-lag of order imbalance. Next, we use the volatility-order imbalance GARCH(1,1) model to examine whether the larger order imbalance lead to the larger volatility of stock price. The empirical study indicates no strongly positive and negative relation between stock price volatility and order imbalances. We infer that market maker has greater control power to stabilize market price. In addition, we find logged market capitalization is negatively significant related to order imbalance. It implies the existence of small firm effect in our study. Finally, we form the order imbalance-based trading strategies with basis of quote price and trading price. We only find that the returns on trading strategies for 5 minutes time interval can beat the open-to-close returns.