This dissertation studies volatility measurement and modeling issues when asset prices are subject to price limits based on Bayesian approaches. Two types of estimators are developed to consistently estimate integrated volatility in the presence of price limits. One is a realized volatility type estimator, but using both realized asset prices and simulated asset prices. The other is a discrete sample analogue of integrated volatility using posterior samples of the latent volatility states. These two types of estimators are first constructed based on the simple log-stochastic volatility model in Chapter 2. The simple log-stochastic volatility framework is extended in Chapter 3 to incorporate correlated innovations and further extended in Chapter 4 to accommodate jumps and fat-tailed innovations. For each framework, a MCMC algorithm is designed to simulate the unobserved asset prices, model parameters and latent states. Performances of both type estimators are also examined using simulations under each framework. Applications to Chinese stock markets are also provided. / Thesis (Ph.D, Economics) -- Queen's University, 2014-01-22 10:29:12.507

Abstract By using Tobit model to remove price limit regulation from the limited price data, this study analyzes the IPO aftermarket¡¦s rationality using a sample of 362 stocks which conducted IPO between 1991 and 1998 in Taiwan stock markets. Two market efficiency hypotheses were examined: the efficient markets hypothesis (EMH) and the hypothesis of efficiently learning market (ELM). The later relaxed EMH by letting prior beliefs to be unspecified. Risk was valued by market portfolio return, market model, and an alteration of Fama-French three-factor model. Tobit model is used to remove price limits in case of limit-move day. In addition to examining the hypotheses of market efficiency, this study also explores cross-section and time-series return patterns. We are interested in the effect of competitive bidding on market efficiency, the role of SEO on IPOs long-run performance, the implication of heavy issuance return pattern, and momentum and mean reversion. The results show that our IPO sample does learn rationally from information in the sense of ELM in conjunction with market model or thee-factor model. The cross-section and time-series results indicate that market is not ¡¥overreaction¡¦ or ¡¥fad¡¦, but learning sequentially and cautiously. Thus, the IPOs long-run anomalies disappear in our sample if model is properly defined.

This paper investigates the effect of price limits on strategically informed trading and market performances. We show that a price limit will increase the costs of liquidity traders and volatility spillover by its ex ante effects on strategically informed trading. Our study differs from prior research by focusing on informed traders¡¦ strategies and information competitiveness. With long-lived information or less information competitiveness, the price limit rule encourages stealthily informed trading, distorts the price dynamics and increases the trading costs of small liquidity traders. Volatility subsequent to a limit-hit is also increased. By using the listed firms in the Taiwan Stock Exchange, we provide empirical evidences that informed traders switch to trade with small orders when they encounter a price limit and volatility spillover exists. Furthermore, this negative effect is more sever for those stocks with less information competitiveness. Our findings suggest that the ex ante effects of price limits on market performances may be contrary to what the stabilizing mechanism is intended to achieve, especially for those firms with less information competitiveness.

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在傳統的Black-Scholes(B-S)選擇權評價公式中，並未將標的資產的漲跌幅限制(price limits)考慮進來。但是在某些國家如日本、韓國、台灣等其股票市場是有漲跌幅限制的。因此如果還是用傳統的B-S公式來評價，將會產生嚴重的誤差。而且在考慮漲跌幅限制下對於波動度(volatility)的估計，亦不同於傳統的計量方法，因為在漲跌幅限制下，價格會受到嚴重的扭曲，導致傳統的計量方法不再適用。本文的目的在推導出漲跌幅限制下選擇權之評價公式來取代B-S公式，並提供兩種估計波動度的方法，進而得出在考慮漲跌幅限制下正確的選擇權價值。我們發現距到期日越近、漲跌幅限制越小、波動度越大、越價外，標準B-S公式的評價誤差越嚴重。而本模型所推導的公式的誤差，相較B-S公式來的小。且實證結果也發現對較常碰觸漲跌停板的樣本而言利用GMM法來估計波動度較歷史波動度來的準確，其評價誤差也相對較小。

本文沿襲事件研究法的精神，首次將有無資訊的分類帶入漲跌幅限制的實證研究中。過去的文獻對於漲跌幅限制的效果，一直無法在理論或者實證上得到一致的結論，綜觀正反論辯，投資人對於資訊能否理性反應到股價上，是雙方交鋒的重點，因此假若能將造成漲跌幅事件背後的資訊本質釐清，將有助於吾人了解漲跌幅限制真正的影響。 本文利用個股的公開消息定義漲跌停事件的資訊本質，觀察漲跌停事件前後二十四小時股價、波動性與週轉率的變化，結果比較支持漲跌幅限制可以抑制過度反應的說法，不過漲跌幅限制卻在漲跌停板的前後，均造成較大的波動性與週轉率。此外，有資訊的漲跌停事件與沒有資訊的漲跌停事件，兩者的差異不如推論明顯，可能原因是存在本文無法捕捉的私有資訊。

上海證券交易所與香港聯合交易所於2014年11月17日啟動滬港通計劃，允許兩地投資者在本地交易所買賣對方市場的股票。本文試圖以漲跌幅限制之磁吸現象探討滬港通對上海股市的影響。文章延用Hsieh, Kim and Yang(2009)之Logit回歸，將參與滬股通之股票以換手率與市值區分，藉以檢測不同組合股票之磁吸現象。研究結果顯示，在樣本期間發現當較高市值股票漲幅達9.5%以上出現磁吸現象，當較低市值股票漲幅達9%以上出現冷卻現象。而兩種組合的股票跌幅達6%以上時均出現反轉效果。為比較滬港通前後之變化，本文加入虛擬變數以區分事件前後，研究結果顯示，滬港通啟動後較高市值股票跌幅達9.5%以上、較低市值股票漲幅達8%以上時出現磁吸現象，冷卻現象消失，可得知滬港通並沒有產生理性作用。本文發現已在兩地上市之A+H股的磁吸現象在滬港通啟動後消失，可推測資訊不對稱及交易規則讓A股的外國投資者無法選擇最佳策略，而雙重上市股票則可以讓其於價格觸發漲跌幅限制前調整交易策略。 / SSE and HKEX have provided Shanghai-Hong Kong Stock Connect since Nov. 17th, 2014, which allows investors in one market to trade shares listed on the other market through their local brokers. The article attempts to discuss the impact of Shanghai-Hong Kong Stock Connect on Shanghai stock market from the perspective of the magnet effect. Using a logit model proposed by Hsieh, Kim and Yang (2009), the thesis classifies the stocks as turnover rate and market capitalization, examining the magnet effect with different portfolios. The results demonstrate that the magnet effect appears as the price of large stocks increases 9.5% while the cool-off effect initiates as the price of small stocks decreases 9%. Reversal effect is found in both large and small stock when the decline of the price exceeds 6%. Moreover, a dummy variable is introduced in the regression to capture the difference made by the Connect. The evidence of magnet effect is shown respectively when the price of large stocks decreases 9.5% and when the price of small stocks decreases 8% after the Connect launched. Price limits fail to cool off the market. Therefore, the program may not rationalize Shanghai stock market. Due to the disappearance of magnet effect on A+H shares after the link between two markets, the thesis conjectures the program may provide an opportunity to switch to Hong Kong market before the price crosses the limit bound. However, information disadvantage and strict trading rules force foreign investors trading on A-shares to make suboptimal strategies.

L’implémentation d’une étude d’événement est confrontée à des choix méthodologiques plus ou moins arbitraires concernant la période de l’étude et l’échantillon sélectionné. Or, ces choix méthodologiques conditionnent les résultats obtenus, aboutissant à des divergences notoires en matière de conclusions. Une démarche par simulations, effectuées sur des données réelles de la Bourse de Tunis, nous a permis de juger de la validité des différentes méthodes à utiliser et des différents tests à mettre en œuvre, puis de déterminer celles et ceux qui sont recommandés en fonction des caractéristiques de l’événement à étudier. Nos résultats sont spécifiquement adaptés aux marchés émergents, souffrant d’un manque de liquidité, d’un manque de transparence…En application des résultats de la méthodologie recommandée, nous avons cherché à analyser l’impact sur le marché boursier tunisien, de changements d’abord microstructurels et ensuite environnementaux de nature institutionnelle. Au plan de la microstructure, les choix organisationnels ont été répartis en trois catégories distinctes : la structure du marché, la transparence et le contrôle de la variation des prix. Au plan institutionnel, nous avons axé notre analyse sur l’infrastructure légale en considérant quatre composantes : la protection des investisseurs externes à l’entreprise, les lois sur les valeurs mobilières, les transactions des initiés et le cadre comptable. / Event studies implementation faces many arbitrary methodological choices concerning the period of the study and the selected sample. Unfortunately, these methodological choices condition the results of the study, leading to important differences in the outcomes. An approach by simulations, carried out on actual data of the Tunis stock exchange, has allowed us to judge the validity of the different methods used and the different tests to be implemented, in order to determine those recommended according to the characteristics of the event being studied. Our results are specifically adapted to the emerging markets, known for their lack of liquidity, lack of transparency…Pursuant to the results of the recommended methodology, we next analyze the impact on the Tunisian stock market, of some micro-structural and institutional changes that have occurred in the last years. In terms of microstructure, we precisely examine the structure of the market, its degree of transparency and the mechanisms of price variations control. In terms of institutional environment, we focus our analysis on the legal infrastructure through the aspects of company’s outsiders’ protection, securities law, insiders’ transactions and accounting framework.

本篇論文基於市場上所存在的一些交易機制，探討漲跌停前後之股價行為。因為證券市場上存在一些交易規則，例如漲跌停限制、買賣價差、最小升降單位限制、競價制度等，這些交易規則，具有法定的效力，理所當然地會影響投資人的行為。這種以各種交易機制的存在，探討價格形成的過程，就是市場微結構理論之研究範疇。 本篇引用Hausman, Lo, and MacKinlay (1992)所建立之Ordered Probit模型來分析漲跌停前後之股價行為，以個股逐筆交易的價格變動為因變數，而建立因變數為間斷型之分析模型，並以等待撮合時間、交易量、落後期交易價格、買賣價差等經濟變數，來探討個股逐筆交易價格變動的成因。在此同時，鑑於以往研究多假定價量關係為線性，本研究引入非線性的概念，檢定價量之間是否存有非線線性之關係；最後，為使模型更具解釋力，我們引入異質性變異數。 第一章 緒論……………………………………………………………..1 第一節 研究動機……………………………………………..1 第二節 研究目的……………………………………………..7 第三節 研究範圍與限制……………………………………..7 第四節 研究架構與內容……………………………………..8 第二章 文獻回顧……………………………………………………….10 第一節 非同時交易………………………………………….10 第二節 最小升降單位……………………………………….11 第三節 買賣價差…………………………………………….14 第四節 漲跌停限制………………………………………….15 第五節 重要模型回顧…………………………………….…18 2.5.1 Chou(1996)……………………………………..18 2.5.2 Hausman, Lo, and MacKinlay(1992)…………..20 第三章 實證模型設定………………………………………………….25 第一節 資料來源…………………………………………….25 第二節 樣本選取…………………………………………….25 第三節 模型設定…………………………………………….26 3.3.1 價格的變動區間……………………………….26 3.3.2 解釋變數……………………………………….29 3.3.3 條件變異數的型式…………………………….32 3.3.4 價格與成交量之間非線性關係的檢定……….32 第四節 資料處理…………………………………………….33 第四章 實證分析……………………………………………………….36 第一節 模型基本統計分析………………………………….36 第二節 價量非線性關係的檢定…………………………….39 第三節 Ordered Probit模型實證分析……………………….40 第五章 結論與建議……………………………………………………..48 第一節 結論…………………………………………………..48 第二節 建議…………………………………………………..49 參考文獻…………………………………………………………………..50 / This thesis is an application of the market microstructure theory’. In light of some trading mechanisms in our stock market, such as price limit, bid-asked spread, tick size, and auction system, those trading rules would influence the behavior of investors. We want to study the process and outcomes of stock price under those explicit trading rules. We use the Ordered Probit model (Hausman, Lo, and MacKinlay, 1992) to investigate the stock behaviors when it hits price limits. We also use price change as the discrete dependent variable, and time elapsed, trading volume, lag price changes, bid-asked spread as explanatory variables. In order to make the model more explainable, heterogeneity is applied. Moreover, we also want to find out if there is any nonlinear relationship between price change and trading volume.

本論文是二篇探討與股票價格平均數復歸現象有關的實證文章。在第一篇文章中，我們將探討由於廠商特質所產生資金供需雙方訊息的非對稱，而引發的流動性限制對廠商股票價格行為的潛在影響；在第二篇文章中，我們研究的課題是在漲跌幅限制下，交易量與股票報酬自我相關的關係。 第一篇文章主要在探討由於廠商特質所產生資金供需雙方訊息的非對稱，而引發的流動性限制對廠商股票價格行為的影響。我們利用五個廠商特質－所有權結構、集團企業成員、上市時間、公司規模與現金股利的發放，定義面臨流動性限制的廠商，並使用變異數比率衡量股票價格平均數復歸的現象，由於小樣本的問題，我們將利用拔靴法檢定假說：廠商的流動性限制會強化其股票價格平均數復歸的行為。我們的實證結果並不一致，所有權結構、公司規模和集團企業成員的分組實證結果支持我們的假說，流動性限制會強化平均數復歸的行為；而上市時間與現金股利發放的分組實證結果並不支持我們的假說。 在第二篇文章中，我們使用與Campbell et. al. (1993)相同的實證模型，討論在漲跌幅限制下，交易量與股票日報酬自我相關的關係。由於漲跌幅限制的存在，當股票價格觸及漲跌幅上下限時，即停止交易，而使得真正的股票價格無法觀察到，因而未實現之需求或供給將會傳遞至下一個交易日，將使傳統OLS或其衍生方法的估計產生偏誤，而使用Chou和Chib (1995)與Chou (1995)所提的Gibbs抽樣法則可以成功地克服這些困難。所以，本文將應用Chou和Chib (1995)與Chou (1995)的Gibbs抽樣法來衡量台灣股票市場交易量對股票日報酬自我相關係數的影響，以避免漲跌幅限制的影響。本文採用台灣證交所編製的綜合股價指數所採樣的二十四家公司為樣本，利用日資料進行實證分析，實證結果支持「交易量效果」的存在。且在實證過程中，發現台灣股票市場股票日報酬的正自我相關有可能是漲跌幅限制的存在而造成的。