台灣股票市場中的數字迷思

Abstract

本研究系統性探討價格群集(Price clustering)，即資本市場中買賣價格尾數聚集於某些特定數字現象，過去研究顯示群集處多為整數關卡(0或5)，且認為價格群集違反價格為連續之假設，造成定價模型結果偏誤。 本研究使用台灣股票市場1989至2012年間日資料，以價格於特定數字群聚出現數量，驗證數字迷信存在於股票市場中。有別於過去研究，本研究使用固定效果模型(Fixed effect model)，探討造成價格群集之因素對於迷信的影響，及傳統節日對於迷信是否具增強作用。最後區分買賣方的價格群集狀況，分析是否買方或賣方投資人較為迷信。 研究結果顯示，台灣股票市場中確實存在迷信行為，然而造成價格群聚於迷信數字的因素與過去價格群集的因素不同，且只在鬼月(農曆七月)特別顯著。而買賣方看似迷信的委託價格，部份理由是理性思考下的搶單策略，顯示投資人大多數情況下為理性的，然迷信已深植於文化內涵，故在不自覺中顯現。

This study investigates in Taiwan securities market the significance of price clustering, namely, the phenomenon that the last digit of the stock price clusters on specific numbers, usually 0, 5, or lucky numbers. As for the latter clustering issue, in Chinese society, individuals superstitiously favor on 6 and 8; while, on the other hand, dislike 4 in particular. I regard this phenomenon as “number superstition” which may be explored in various ways. This piece of research work extends previous studies that have proved the existence of price clustering, a result that violates the assumption of traditional pricing model that the price should be continuous. This study aims to verify the extent to which the price clusters in Taiwan stock market is attributable to superstition in Chinese culture. I use fixed effect model to test whether the factors explaining the price clustering also help explain the superstition, and I adopt dummy variables to examine the superstitious price clustering effect on Chinese traditional holidays. Furthermore, I use both bid and offer prices to test whether the buyer or seller is more superstitious. The result is consistent with the notion of number superstition in Taiwan stock market, but the factors which influence the previous price clustering appear to have no effect on clustering on superstitious numbers. The only influential Chinese traditional holiday is the ghost month, July, in lunar calendar. The buyers and sellers’ behaviors which look superstitious actually are the actions after rational consideration. It is partly due to a front-running strategy to set the price that is slightly higher for buying stock more easily.