股市交易制度變動對市場衝擊之研究－ 以台灣的漲跌幅制度、競價撮合制度與庫藏股制度為例

Abstract

本研究旨在探討漲跌幅限制、競價撮合新制與庫藏股制度對於市場交易活動之影響，藉由台灣股票市場之投資人為證實對象，其中包含法人與自然人，透過問卷調查進行深入探討，以為我國未來交易制度之改善提供建議。由於股價係反應一家公司現在與未來的營運狀況與獲利能力，故股市交易制度的改變是否真能影響股票的價格與成交量值得進一步探討。 台灣證券交易所為促進交易制度更公平、效率及資訊更透明，自民國51年交易以來，為穩定股價波動，即設有漲跌幅限制；自民國89年8月，庫藏股制度正式上路；自民國91年7月1日起實施競價撮合新制，包括盤中撮合上下兩檔限制的取消、盤中瞬間價格穩定措施、收盤改採五分鐘集合競價、增加揭露未成交的買賣委託價量。觀察制度的實施，是否會影響台灣證券集中市場投資人的流動性、波動性與效率性，茲將研究結果摘要整理如下。 （一）漲跌幅制度方面：對提升投資人的交易意願有助益，交易態度也會 較理性，且更能掌握股價的變動；而在交易量與獲利績效上，則沒有顯著的影響。 （二）競價撮合制度方面：使投資人更能掌握股價的變動，交易時亦較為 理性，並且有助於提升投資人的交易意願；然而在獲利的績效表現與交易量，則無明顯提升或幫助。 （三）庫藏股制度方面：除了在股價掌握度上，對投資人較無幫助之外， 皆會提高投資人的交易意願，獲利績效與交易量皆提升，並且在交易時更能以理性的態度面對。 台灣股市交易的新制在邁向國際化與自由化之時，各界均予以正面肯定，故相信新制度長期對台灣資本市場的發展有正面的影響。

This purpose of the research is discussing the different price limit system, new auction system, and stock repurchases system in Taiwan stock market. Because a company’s value is responded by stock price, changing transaction system of stock market will be able to influence the stock the price which is worthy discussing. In order to make the stock market more efficient, fairer and have clearer information in Taiwan, the different price limit system has launched since 1,962; new auction system has started on July 1, 2002; stock repurchases system has launched in August, 2000. Researching on these systems if influence the investors’ volatility, liquidity and efficiency in Taiwan stock market. this the findings abstract reorganization will be as follows. (1) Different price limit system aspect: it’s helpful to promote investors' transaction willing, the transaction behavior also can be more rational, and can catch the stock price. However, profit making and transaction has not influenced significantly. (2) New auction system aspect: investors can catch the stock price, transaction behavior also can more rationality, and is helpful to promotes investors' transaction willing; However, profit making and transaction has not influenced significantly. (3) Stock repurchases system aspect: except for stock price catching, all can enhance investors' transaction willing, make a profit and the transaction volume all promoted. Also, investor can be more rational when jumping into the stock market. The Taiwan stock market is in steps to be international and the liberal. It should believe that the new transaction systems develop right in a positive way for Taiwan capital market in the future.