臺灣股票價格群聚現象之分析

Analysis of the Price Clustering in Taiwan Stock Market

有價證券價格尾數群聚於0 與5 的現象，已是眾所周知；然而，過去的研究聚焦於十進位尾數，普遍排除五倍數進位尾數樣本。為補足文獻之不足，本研究利用2005 年3 月至2017 年1 月的臺灣五十成分股日資料，證明十進位尾數的股票價格末尾數群聚在0 與5 之外，也有群聚在8的現象；主要貢獻則在說明，五倍數進位尾數價格的末二位尾數，則有群聚在00、50 與80 的傾向；而且，群聚在其他末二尾數X0 的頻率，高於其他十個的X5 頻率。本文呼應Kuo, Lin, and Zhou(2015)認知限制觀點，本文也提出理論面、政策面與實務面的啟示。

It is well-known that the last digits of stock prices tend to cluster at 0 and 5. Existing studies focus on prices with last digits in decimal format and exclude those with last digits in multiples of 5, at most showing 0 is more prevalent than 5. To enhance the literature, this study analyzes the daily prices of the Taiwan 50 index from March 2005 to January 2017 and shows that the last digits have a strong tendency to cluster at 8 in addition to 0 and 5 when the last digits are presented in decimal format. In particular, we show that the last two digits tend to cluster at 80 in addition to 00 and 50 when the last digits are set in multiples of 5. Moreover, the tendency of clustering at “X0” is always larger than “X5” in the latter case. Hence, we provide further evidence supporting the cognition-limit argument for the futures market by Kuo, Lin, and Zhou (2015). We provide theoretical, policy and practice implication based on the results.