價格壓力假說之實證研究-以台灣IPO募集之ETF為例

Abstract

本研究目的在檢驗台灣股票市場的價格反映是否符合價格壓力假說，根據價格壓力假說的內涵，大量現金流入所造成的超額需求，會造成股價短期的上揚，這是因為市場短期無法吸收大量的超額需求，但長期當市場可以消化完這些大量超額需求時，股價將回復到原來的正常水準。以往文獻在探討此類議題，大多利用指數改變成分股時機，觀察股價是否有異常報酬。然而指數改變成分股往往夾帶著資訊效果，干擾我們要觀察的價格壓力效果，因此本研究試圖提供一個解決方案，即採用IPO募集之ETF上市的機會，觀察在ETF現金轉換實物期間內，對於股價是否有影響，以檢定價格壓力假說。我們得到的主要實證結果有三，第一，台灣的證券市場不符合效率市場。第二，台灣股票的價格反應符合價格壓力說。第三，公司規模愈小，股價對於超額證券需求有愈大的反應。此外，我們也發現流動性效果的確存在，流動性愈高的股票，透過交易成本的降低，使得投資人要求報酬降低，進而提高股票評價。

The purpose of this study is to examine whether the Taiwan stock market supports the price pressure hypothesis. According to the content of price pressure hypothesis, large amounts of cash flow will result in short-term rise in stock prices, this is because the market can’t absorb the large amount of excess short-term demand, but in the long-term when the market can digest the large excess demand, price will revert to the original normal level. Related literatures to explore such issues most use the event of additions and deletions from stock index to observe whether there are abnormal stock returns. Index includes stocks, however, often carries the information, we can’t say the price effect we observed is due to the price pressure effect or information effect. This paper tries to provide a solution, that is, the event of ETF issues by initial public offering (IPO). We use the event to test the price pressure effect during the period of ETF mimics the index. We have three main empirical results. First, the Taiwan stock market does not meet the efficiency of the market. Second, the Taiwan stock price reaction is consistent with price pressure hypothesis. Third, we finally find the smaller size of the company, the greater price response for excess demand. We also find that liquidity effects do exist, the higher the stock liquidity will lower transaction costs thus raising the stock assessment.