股價對股票報酬波動率之非比例性影響–以臺灣市場為例

Abstract

投資人若非完全理性，可能因採用捷思法簡化消息面對股價衝擊之評估流程，以絕對金額衡量衝擊程度，而未考慮應依照股價對絕對金額進行等比例調整，產生「非比例性思考」之現象。因此，將產生低價股之股票報酬波動率較高價股大之現象，亦即股價對股票報酬波動率產生非比例性之影響。 本文採用臺股集中市場自1971年1月5日至2021年12月30日的日交易資料進行分析，在控制公司規模之代理變數後，發現股價與股票報酬波動率間確實存在前述非比例性影響之關係。本文亦加入公司內部人及外部大股東持股比進行分析，發現該變數確實可降低股票報酬波動度，顯示前述投資人之交易行為可穩定股價；但即使將該變數納入控制，股價與股票報酬率呈反比之關係仍舊顯著，顯示公司內部人及外部大股東仍受非比例性思考之影響。

Under the assumption that investors are not fully rational, when investors are aware of the news that would cause stock price to change, they would apply heuristics to the evaluation of stock price. Therefore, they evaluate the stock price shock in dollar instead of percentage units. The phenomenon is call “non-proportional thinking” since the investors fail to adjust the price shock in proportion to the price level. Therefore, the return volatilities of stocks of lower price level would tend to be larger than that of higher price level; in other words, stock prices would cause non-proportional relationship between the stock prices and the stock return volatilities. The study uses the stock daily trading data from the Taiwan Stock Exchange Corporation from Jan.5, 1971 to Dec.30, 2021 as research sample. Evidence shows that after controlling the proxies of firm size, stock prices and stock return volatilities are in negative correlation, which proves that the non-proportional thinking exists in Taiwan stock market. The ownership of the insiders and external major stockholders are in negative correlation with stock return volatilities, which shows that the above investors serve as price stabilizers in the market. However, after controlling the ownership of the insiders and external major stockholders, stock prices and stock return volatilities are still in negative correlation, showing that above investors are still prone to non-proportional thinking.