NASDAQ最大跌幅投機型個股之日內報酬率-買賣單不對稱關係

Abstract

本研究檢驗鉅額跌幅個股的日報酬率與資訊不對稱之間的關係。透過採用買賣單不對稱－買單量減去賣單量－做為資訊不對稱的替代變數，以瞭解同期與落後數期的買賣單不對稱對股票報酬率的影響。本研究自NASDAQ成分股中選擇50家為樣本，樣本期間自2004年10月19日至2004年12月17日止，觀察各個樣本日中的交易資料，並採用GARCH（1, 1）及Chordia and Subrahmanyam（2004）的迴歸模型進行實證。 本研究主要的發現如下： 1.同期的買賣單不對稱與股票報酬率的關係呈正向相關。 2.期差一期的買賣單不對稱與股票報酬率亦呈正向相關；然而，在控制同期買賣單不對稱的影響之後，該關係會被弱化或甚至轉變為負向關係。 3.同期的買賣單不對稱對於股票報酬的影響與個股的市場資本額呈負向相關。 4.鉅額買賣單不對稱可被視為一種訊號，投資人可透過這些資訊內涵來推論股價改變的方向，以獲得報酬。

This study examines the relation between individual stock returns and information asymmetry among top losers. While using order imbalance, defined as buy orders less sell orders, as proxy to information asymmetry, this study captures the effect of contemporaneous and lagged order imbalance on individual stock returns. The research data consists of transaction information of 50 sample stocks listed on NASDAQ and the sample period is from Oct. 19, 2004 to Dec. 17, 2004. GARCH (1,1) model and Chordia and Subrahmanyam’s (2004) regression model are applied to analyze these observations. The majority finding of this study are described as follows: 1.There exists positive relation between individual stock returns and contemporaneous order imbalance. 2.Lag one order imbalance is positive related to individual stock returns. However, this relation is weakened or even reversed after controlling the effect of contemporaneous order imbalance. 3.Contemporaneous order imbalance of one individual stock is negatively related to its market capitalization. 4.Large order imbalance can be treated as a signal, from which the investors infer to take profits