股價漲跌幅限制改變的宣告效果之分析

The Analysis of Announcement Effects of Stock Price Limit Changes

股價漲跌幅限制之採行是為了降低每日股價的波動，藉以提供投資人冷卻期，並在當下重新評估股票之合理價值。而金管會於2015年1月23日提出實施「放寬每日股價漲跌幅限制至10%」的政策，並於同年6月1日正式生效。因此，本研究之研究目的在檢視臺灣50、中型100、以及富櫃50等三項指數之成分股，於新聞發布日與政策生效日之宣告效果，並且比較指數成分股間之宣告效果是否存在差異。本研究之研究期間為2014年8月29日至2015年6月8日，包含2015年1月23日新聞宣布日與2015年6月1日政策生效日，指數成分股共計169家。透過事件研究法、t檢定、符號檢定與單因子變異數分析，實證結果如下。首先，放寬每日股價漲跌幅限制於發布日之宣告效果以臺灣50之成分股較為顯著，但政策生效日則呈現效率性市場假說的肯定結果。其次，只有在新聞發布日當天，三項指數成分股的平均異常報酬率之間才呈現顯著差異。最後，整體而言，無論是在新聞發布日或在生效日，宣告日與日後的指數成分股平均異常報酬中，以富櫃50成分股之表現最佳，而臺灣50成分股的平均異常報酬則表現最差。

The goal of adopting stock price limits is to reduce daily stock-price volatility. Meanwhile, it provides investors as a cooling-off period for re-valuating the reasonable intrinsic values of stocks. The Financial Supervisory Commission (FSC) announced the news of increasing price variation limits to 10% in January 23, 2015, and became effective in June 1 at the same year. Therefore, the main objective of this study is to examine and compare such announcement effects on the constituents of three stock indices, namely, Taiwan 50 Index (TW50), Taiwan Mid-Cap 100 Index (Mid100), and TPEx50 Index. The investigated period covers from August 29, 2014 to June 1, 2015, including the news announcement date and policy effective date mentioned above. The index constituents analyzed are 169 stocks in total. Through the methodologies of event study, t tests, sign tests, and one-way ANOVA, the empirical results are as follows. First, the announcement effects of TW50 are the most significant on the news announcement date, but the efficient market hypothesis is supported on the policy-effective date. Second, it is only on the news announcement date for the average abnormal returns ( ARs ) in constituents among indices to be different. Finally, the descending ranking of AR s’ significances among three indices are the TPEx50, Mid100 and TW50 constituents.