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| 研究生： |
李紹禎 Lee, Shao-Chen |
|---|---|
| 論文名稱： |
股價突破歷史新高與未來報酬：台灣股市的實證研究 Historical High Breakouts and Future Returns: An Empirical Study in the Taiwan Stock Market |
| 指導教授： |
周冠男
Chou, Robin K. |
| 口試委員: |
周冠男
陳鴻毅 何耕宇 翁培師 蔡明宏 |
| 學位類別： |
博士
Doctor |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2025 |
| 畢業學年度： | 113 |
| 語文別： | 英文 |
| 論文頁數： | 41 |
| 中文關鍵詞： | 資產定價 、行為財務 、金融市場實證 、交易決策 、投資 、歷史高點 |
| 外文關鍵詞： | Asset pricing, Behavioral finance, Empirical evidence in financial markets, Financial decision-making, Investments, Historical highs |
| 相關次數： | 點閱：33 下載：11 |
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本研究以台灣股市 1983–2022 年資料為樣本，發現當股價「突破歷史高點」時，在散戶佔交易量七成以上且每日有漲跌幅限制的市場結構中，報酬會由短期過度反應轉為遲滯反應而呈現持續性的正向動能；其中，小型股（散戶比例高）、異常週轉率高的股票在 1 週至 6 個月內的動能最為強勁，而週轉率較低的股票則在 6–12 個月內維持穩定超額報酬，且此現象於每年 11 月至翌年 4 月尤為明顯，對行為財務理論與實務投資策略均具啟示。
How does market structure affect price formation around psychological barriers? While the research has found negative returns when stocks approach historical highs in institutional-dominated markets, the effect of such price patterns in retail-dominated markets remains unexplored. We use data from Taiwan’s stock market in which individual investors account for 74% of the trading volume to examine how their composition and the market structure influence return patterns around historically high prices. We find that when stocks exceed historical highs, they trigger a shift from overreaction to underreaction. This shift yields positive returns. This effect is particularly pronounced for small-cap stocks with larger retail ownership in which investors’ level of sophistication plays a crucial role in price formation around psychological barriers. The effect varies systematically with trading volume and manifests a strong seasonality, with returns concentrated between November and April. Our findings show how the market structure affects the relationship between historical highs and future returns. This finding extends our theoretical understanding of price formation and provides practical insights for investment strategies in emerging markets.
1. Introduction 7
2. Literature review 8
2.1. Theoretical foundations: investors’ psychology and the market’s microstructure 9
2.2. Empirical evidence on price breakthroughs and return predictability 10
2.3. Abnormal turnover as a confirmation signal 10
2.4. Seasonal anomalies and market structure in Taiwan 11
3. Data and methodology 11
3.1. Data and sample 11
3.2. Methodology 12
4. Empirical results 15
4.1. Descriptive statistics 15
4.3. Post-breakout risk-adjusted returns analysis 19
4.4. Impact of turnover 22
4.5. Seasonal anomalies in the Taiwan stock market 25
4.6. Robustness checks 26
5. Conclusion 28
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