台灣處置制度之有效性及流動性差異對股價之影響

Abstract

股票處置為台灣特有的證券交易管控制度，由台灣證交所及中華民國櫃買中心分別實施，目的為警示投資人及維護市場交易秩序。近年價格短期波動異常的有價證券數量飆升，為確認現在為期10日的處置制度是否能有效抑制市場過熱現象，延伸前人對處置股票的流動性研究，本研究以2018年1月1日至2021年6月30日之間宣告處置的所有上市櫃普通股為樣本進行漲幅與相關因子的研究，證實在熱錢快速流入台灣股市期間，處置宣告後3日正超額報酬顯著為負，3日後價格有明顯回升的現象，處置期間結束後20日則再無無顯著正超額報酬，顯示台灣處置制度仍然能有效穩定市場價格。根據處置條件及處置期長，本研究亦探討不同樣本於宣告處置後期所產生的差異： 1.根據本研究處置期間正超額報酬的迴歸模型，市值(正向)及漲跌停次數 (負向)對第一次處置之上市櫃樣本正超額報酬有顯著影響；券資比(負向)、市值 (負向)及董監事持股比率(負向)則對第二次處置之上市櫃樣本正超額報酬有顯著影響。 2.根據本研究處置結束正超額報酬的迴歸模型，券資比(正向)、流通股數 (正向)、週轉率(負向)、處置前總漲跌幅(負向)、大股東持股比率(負向)及董 監事持股比率(負向)對第一次處置之上市櫃樣本正超額報酬有顯著影響；市值(正向)與月營收年增率(正向)則對第二次處置之上市櫃樣本正超額報酬有顯著影響。

Stock market surveillance is a unique system in the Taiwan stock market. The surveillance system aims to warn investors of abnormal stock and maintain price stability, enforced by either Taiwan Stock Exchange, TWSE, or Taipei Exchange, TPEX, individually. Nowadays, the number of securities with high volatility soars. This study aims to testify the restraining effect on the price of the latest rules and extends the former studies about measuring securities. During the study period, from January 2018 to June 2021, the price restraining effect of announcing Attention Securities works on both TWSE and TPEX common stocks, leading to an abnormal negative return in the first three days. After that, the price returns, and the abnormal return disappears when the disposition period ends. This study shows the effectiveness of Taiwan stock market surveillance and also analyzes the relationships between abnormal returns and stock factors: 1. After 3 to 10 days of announcing Disposition Securities, explanatory variables are market capital(shown as positive) and number of daily limit before the announcement(shown as negative) for the First Disposition Securities. Likewise, short sale / margin purchase(negative), market capital(negative), and shareholding ratio of board director(negative) are explanatory variables for the Second Disposition Securities. 2. 20 days after the disposition ends, explanatory variables are short sale / margin purchase ratio(shown as positive), outstanding shares(shown as positive), turnover(shown as negative), the returns before announcement(shown as negative), shareholding ratio of the top 10 shareholder(negative), and shareholding ratio of the board director(negative) for the First Disposition Securities. Similarly, market capital(shown as positive) and monthly revenue growth(shown as positive) are explanatory variables for the Second Disposition Securities.