現在位置首頁 > 博碩士論文 > 詳目
論文中文名稱:股價指數數字分析-台灣、深圳與倫敦股票市場實證研究 [以論文名稱查詢館藏系統]
論文英文名稱:Digital Analysis of Stock Markets:Evidence from Taiwan, Shenzhen and London Stock Exchange [以論文名稱查詢館藏系統]
院校名稱:臺北科技大學
學院名稱:管理學院
系所名稱:商業自動化與管理研究所
畢業學年度:99
出版年度:100
中文姓名:李孟芸
英文姓名:Meng-Yun Li
研究生學號:98488030
學位類別:碩士
語文別:中文
口試日期:2011-05-31
論文頁數:71
指導教授中文名:林鳳儀
指導教授英文名:Feng-Yi Lin
口試委員中文名:葉清江;趙莊敏;吳斯偉
口試委員英文名:Qing-Jiang Ye;Zhuang-Min Zhao;Si-Wei Wu
中文關鍵詞:班佛法則數字分析價格群聚數字偏好
英文關鍵詞:digital analysisprice clusteringnumber preference
論文中文摘要:以數字分析法 (digital analysis) 為基礎的班佛法則 (Benford’s Law) 可作為確認資料是否有舞弊或操縱的方法及檢測數學模式預測之可信度,近年來已被廣泛應用於預測股市之相關資訊。本文針對台灣與中國大陸股價指數進行分析,探討兩者的股價指數是否符合班佛法則,並加入已開發市場英國金融時報指數進行三市場股價指數的研究分析。
研究結果發現英國股價指數的收盤價存在價格群聚的現象,收盤價的尾數明顯群聚於整數和偶數。中國大陸股票市場的日報酬與收盤第二位數顯著偏離班佛法則並且存在數字調整進位的情形,表示股市中的投資人與證券交易人在認知過程中可能受到人為偏誤、不確定性與有限理性的影響。本文也發現中國大陸股價指數收盤價調整進位的現象在第四季趨於緩和,可能是受到日曆效果的影響。
論文英文摘要:Benford’s Law which is based on the digital analysis has been widely applied to analyze and predict the trend of stock market. Prior research adopted this method to verify whether these data involve in fraud and manipulation. Previous studies had documented that the closing price on the Germany Stock Exchange, certain ebaY auctions and the continuous daily return on S&P and DJIA were in line with Benford’s Law. Studies proved that price clustering exisited in stock markets, and they indicated that the highest, lowest and closing prices on NYSE clustered on round and odd numbers.
There are few studies using Benford’s Law to analyze the stock markets in Taiwan and compare emerging markets with developed markets. Therefore, this study examines the stock indexes of Taiwan, Shenzhen and London Stock Exchange by utilizing Benford’s Law. Our result suggests that the second digit of one-day return and closing price on Shenzhen Stock Exchange doesn’t comply with the law. The price levels of round numbers are more significant for traders in stock markets. Stock price clustering also occurs on London Stock Exchange, and closing prices clusters on round and even numbers.
論文目次:摘要 I
ABSTRACT II
目錄 IV
圖目錄 VI
表目錄 VII
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 4
1.3 研究架構 5
第二章 文獻探討 7
2.1 班佛法則 7
2.2 班佛法則於舞弊偵測之應用 11
2.3   班佛法則與心理關卡 17
2.4   班佛法則與價格群聚 23
2.5 班佛法則與股價指數 27
第三章 研究方法 32
3.1 研究樣本 32
3.2 計算日報酬 34
3.3 後驗分配 34
3.4 資料分析方法 36
第四章 實證結果 39
4.1 台股指數大盤、深圳綜指與英國指數日報酬 39
4.2 2000年至2010年三市場日報酬分析 46
4.3 台股指數大盤、深圳綜指與英國指數收盤價 51
第五章 結論與建議 59
5.1   研究結論 59
5.2   未來研究建議 61
參考文獻 62
論文參考文獻:中文部分
[1] 謝劍平、林傑宸,證券市場與交易實務,台北:智勝文化,2006
[2] 李益興,「運用班佛法則檢驗台灣公開發行公司盈餘管理之研究」,碩士論文,國立台北科技大學商業自動化與管理研究所,2009
英文部分
[1] Aggarwal, R., and Lucey, B.M., “Psychological Barriers in Gold Prices?”, Review of Financial Economics, Vol. 16, Issue 2, 2007, pp.217-230.
[2] Aitken, M., Brown, P., Buckland, C., Izan, H.Y. and Walter, T., “Price clustering on the Australian Stock Exchange”, Pacific-Basin Finance Journal, Vol. 4, No. 2&3, 1996, pp. 297-314.
[3] Bagnoli, M., Park, J. and Watts, S.G., “Nines in the endings of stock prices.” SSRN working paper 728544.
[4] Ball, C.A., Torous, W.A. and Tschoegl, A.E., “The degree of price resolution: the case of the gold market”, Journal of Ftures Markets, Vol. 5, No. 1, 1985, pp. 29-43.
[5] Bekaert, G., and Harvey, C.R., “Time-Varying World Market Integration”, The Journal of Finance, Vol. L., No. 2, 1995.
[6] Benford, F., “The Law of Anomalous Numbers”, Proceedings of the American Philosophical Society, Vol. 78, No. 4, 1938, pp. 551-572.
[7] Bita, N., “Bad numbers don’t add up to sales”, The Weekend Australian, Vol. 9, 1997, pp. 16-17.
[8] Brown, P., Chua, A. and Mitchell, J., “The influence of cultural factors on price clustering: evidence from Asia-Pacific stock markets.” Pacific-Basin Finance Journal, Vol. 10, No. 3, 2002, pp. 307-332.
[9] Brown, P. and Mitchell, J., “Culture and stock price clustering: Evidence from The Peoples’ Republic of China”, Pacific-Basin Finance Journal, Vol. 16, 2008, pp. 95-120.
[10] Brown, L., Griffin, P., Hagerman, R., Zmijewski, M., Burgess, E., Sales, S., Whiteley, J., Evans, M., and Miller, I., “Reliability and validity of a smoking timeline followback interview”, Psychology of Addicitive Behaviors, Vol. 12, 1988, pp. 101-112.
[11] Butler, D. and Loomes, G., “Decision difficulty and imprecise preferences”, Acta Psychologica, Vol. 68, No. 1-3, 1988, pp. 183-196.
[12] Carslaw, C., “Anomalies in Income Number: Evidence of Goal Oriented Behaviour”, The Accounting Review, Vol. 63, 1988, pp. 321-327.
[13] Corrè, N., “Psychological Barriers on the Dutch Stock Exchange: An investigation of the AEX and its constituent equities”, ERASMUS UNIVERSITY ROTTERDAM, ERASMUS SCHOOL OF ECONOMICS, Thesis, 2010.
[14] Cyree, K.B., Domian, D.L., Louton, D.A., and Yobaccio, E.J., “Evidence of Psychological Barriers in the Conditional Moments of Major World Stock Indices”, Review of Financial Economics, Vol. 8, Issue 1, 1999, pp. 73-91.
[15] De Ceuster, M.J.K., Dhaene, G., and Schatteman, T., “On the Hypothesis of Psychological Barriers in Stock Markets and Benford’s Law”, Journal of Empirical Finance, Vol. 5, 1998, pp. 263-267.
[16] De Grauwe, P. and Decupere, D., “Psychological barriers in the foreign exchange markets.” Journal of International and Comparative Economics, Vol. 1, 1992, pp. 87-101.
[17] Diekmann, A., “Not the first Digit! Using Benford’s Law to Detect fraudulent Scientific Data”, Journal of Applied Statistics, Vol. 34, 2007, pp. 321-329.
[18] Dorfleitner, C., and Klein, C., “Psychological Barriers in European Stock Markets: Where Are They?” Global Finance Journal, Vol. 19, 2009, pp. 268-285.
[19] Donaldson, R.G., “Psychological barriers in asset prices, rationality and the efficient market hypothesis”, Princeton financial research memorandum, Vol. 114, 1990.
[20] Donaldson, R.G. and Kim, H.Y., “Price Barriers in the Dow Jones Industrial Average”, Journal of Financial and Quantitative Analysis, Vol. 28, No. 3, 1993, pp. 313-330.
[21] Doucouliagos, H., “Number preference in Australian stocks”, Applied Financial Economics, Vol. 14, 2004, pp. 43-54.
[22] Durtschi, C., Hillison, W. and Pacini, C., “The Effective Use of Benford’s Law to Assist in Detecting Fraud in Accounting data”, Journal of Forensic Accounting, Vol. 5, 2004, pp. 17-34.
[23] Dorfleitner, G. and Klein, C., “Psychological barriers in European stock markets: Where are they?”, Global Finance Journal, Vol. 19, 2009, pp. 268-285.
[24] Geyer, C.L. and Williamson, P.P., “Detecting fraud in data sets using Benford’s law”, Communications in Statistics B, Vol. 33, 2004, pp. 229–46.
[25] Giles, D.E., “Benford’s Law and Naturally Occurring Prices in Certain ebaY Auctions”, Applied Economics Letters, Vol. 14, 2007, pp. 157-161
[26] Goodhart, C., Curcio, R., “The clustering of bid/ask prices and the spread in the foreign exchange market.” Discussion Paper, No. 110, 1991, LSE Financial Markets Group Discussion Paper Series.
[27] Grossman, S.J., Miller, M.H., Cone, K.R., Fischel, D.R. and Ross, D.J., “Clustering and competition in asset markets.” Journal of Law and Economics, Vol. 40, No. 1, 1997, pp. 23-60.
[28] Guan, L., He, D. and Yang, D., “Auditing, integral approach to quarterly reporting, and cosmetic earnings management”, Managerial Auditing Journal, Vol. 21, No. 6, 2006, pp. 569-581.
[29] Guan, L., Lin, F. and Fang, W., “Goal-oriented earnings management: evidence from Taiwanese firms”, Emerging Markets Finance and Trade, Vol. 44, No.4, 2008, pp. 19-32.
[30] Günnel, S. and Tödter, K.H., “Does Benford’s law hold in economic research and forecasting?” Discussion Paper, Series 1, 2007, Deutsche Bundesbank, Eurosystem.
[31] Gwilym, O.A., Clare, A. and Thomas, S., “Extreme price clustering in the London equity index futures and options markets.” Journal of banking and Finance, Vol 22, No. 9, 1998a, pp. 1193-1206.
[32] Gwilym, O.A., Clare A. and Thomas, S., “Price clustering and bid-ask spreads in international bond futures”, Journal of International Financial Markets, Institutions and Money, Vol. 8, No. 3&4, 1998b, pp. 377-391.
[33] Hameed, A. and Terry, E., “The effect of tick size on price clustering and trading volume”, Journal of Business Finance and Accounting, Vol. 25, No. 7&8, 1998, pp. 849-867.
[34] Harris, L., “Stock price clustering and discreteness”, Review of Financial Studies, Vol. 4, No. 3, 1991, pp. 389-415.
[35] Hermann, D., and Thomas, W.B., “Rounding of analyst forecasts.” The Accounting Review, Vol. 80, No. 3, 2005, pp. 805-823.
[36] Hill, T.P., “A Statistical Derivation of the Significant-Digit Law”, Statistical Science, Vol. 10, 1995, pp. 354-363.
[37] Hill T.P., “The first digit phenomenon.” American Scientist, No. 86, 1998, pp. 358-363.
[38] Hobson, R., “Properties preserved by some smoothing functions.” Journal of the American Statistical Association, Vol. 71, No. 355, 1976, pp. 763-766.
[39] Huttenlocher, J., L. Hedges, and N. Bradburn., “Reports of elapsed time: Bounding and rounding processes in estimation”, Journal of Experimental Psychology, Vol. 16, 1990, pp. 196-213.
[40] Kandel, S., Saring, O. and Wohl, A., “Do investors prefer round stock prices? Evidence from Isreali IPO auctions”, Journal of Banking and Finance, Vol. 25, No. 8, 2001, pp. 1543-1551.
[41] Kahn, C., Pennacch, B. and Sopranzetti, B., “Bank deposit rate clustering: theory and empirical evidence”, Journal of Finance, Vol. 54, No. 6, 1999, pp. 2185-2214.
[42] Kendall, M.G. and Smith, B., “Randomness and random sampling numbers”, Journal of the Royal Statistical Society, Vol. 101, No. 1, 1938, pp. 147-166.
[43] Kinnunen, J., and M. Koskela., “Who is Miss World in cosmetic earnings management? A cross-national comparison of small upward rounding of net income numbers among eighteen countries”, Journal of International Accounting Research, No. 4, 2003, pp. 39-68.
[44] Koedijk, K.G. and Stork, P.A., “Should we care? Psychological barriers in stock markets”, Economics Letters, Vol. 44, 1994, pp. 427-432.
[45] Ley, E. and Varian, H.R., “Are there psychological barriers in the Dow-Jones index?” Applied Financial Economics, Vol. 4, 1994, pp. 217-224.
[46] Ley, E., “On the Peculiar Distribution of the U.S. Stock Indexes’ Digits.” The American Statistician, Vol. 50, No. 4, 1996, pp. 311-313.
[47] Lip, E., “Chinese Numbers: Significance, Symbolism and Traditions”, Times Books International, 1992, Singapore.
[48] Lin, F., Guan, L. and Fang, W., “Heaping in Reported Earnings: Evidence from Monthly Financial Reports of Taiwanese Firms”, Emerging Markets Finance and Trade, Vol. 47, No. 2, 2011, pp. 62-73.
[49] Loomes, G., “Different experimental procedures for obtaining valuations of risky actions: implications for utility theory”, Theory and Decision, Vol. 25, No. 1, 1988, pp. 1-23.
[50] Lu, O. F. and Giles, D. E., “Benford’s Las and psychological barriers in certain eBay auctions”, Applied Economics Letters, Vol. 17, 2010, pp. 1005-1008.
[51] Marquering, W., Nisser, J. and Valla, T., “Disappearing anomalies: a dynamic analysis of the persistence of anomalies”, Applied Financial Economics, Vol. 16, 2006, pp. 291-302.
[52] Marc J. K., De Ceuster, Geert Dhaene, and Tom Schatteman, “On the Hypothesis of Psychological Barriers in Stock Markets and Benford's Law”, Journal of Empirical Finance, Vol. 5, Issue 3, 1998, pp. 263-279.
[53] MacCrimmon, K.R. and Smith, M.R., “Imprecise equivalences: preference reversals in money and probability”, Working paper, Vol. 1211, 1986, University of British Columbia.
[54] McCarty, C., P. Killworth, H. Bernard, E. Johnson and G. Shelley, “Comparing two methods for estimating network size”, Human Organization, Vol. 60, 2001, pp. 28-39.
[55] Mitchell, J., “Clustering and psychological barriers: The importance of numbers”, The Journal of Futures Markets, Vol. 21, No. 5, 2001, pp. 395-428.
[56] Mitchell, J. and Izan, H. Y., “Clustering and psychological barriers in exchange rates”, Journal of International Financial Markets, Institutions, and Money, Vol. 16, 2006, pp. 318-344.
[57] Newcomb, S., “Note on the Frequency of Use of the Different Digits in Natural Numbers”, American Journal of Mathematics, Vol. 4, 1881, pp. 39-40.
[58] Nigrini, M. J., “The detection of income tax evasion through an analysis of digital frequencies”, PhD Dissertation, University of Cincinnati, Cincinnati, 1992, Ohio.
[59] Nigrini, M.J., “A Taxpayer Compliance Application of Benford’s Law”, The Journal of the American Taxpayer Association, Vol.18, 1996a, pp. 72-91.
[60] Nigrini, M.J., “Using Digital Frequencies to Detect Fraud”, The White Paper, 1996b, pp. 3-6.
[61] Nigrini, M.J., “Adding Value with Digital Analysis”, The Internal Auditor, Vol. 56, 1999, pp. 21-23.
[62] Nigrini, M. and Mittermaier, L., “The Use of Benford’s Law as An Aid in Analytical Procedures”, Auditing: A Journal of Pratice & Theory, Vol. 16, No. 2, 1997, pp. 52-67.
[63] Niskanen, J. and Keloharu, M., “Earnings cosmetics in a Tax-Driven Accounting Environment: Evidence from Finnish Public Firms”, The European Accounting Review, Vol. 9, 2000, pp. 443-452.
[64] Niederhoffer, V., “Clustering of stock price”, Operations Research, Vol. 13, No. 2, 1965, pp. 258-265.
[65] Osborne, M.F.M., “Periodic structure in the Brownian motion of stock prices”, Operations Research, Vol. 10, No. 3, 1962, pp. 345-379.
[66] Palmon, O., Smith, B.A. and Sopranzetti, B.J., “Clustering in real estate prices: determinants and consequences”, The Journal of Real Estate Research, Vol. 26, No. 2, 2004, pp. 115-136.
[67] Pinkham, R.S., “On the Distribution of First Significant Digits”, Annals of Mathematical Statistics, Vol. 32, 1961, pp. 1223-1230.
[68] Posch, P.N., and Kreiner, W.A., “Analysing Digits for Portfolio Formation and Index Tracking”, Journal of Asset Management, Vol. 7, No. 1, 2006, pp. 69-80.
[69] Puchkov, A.V., and Nielsen, F., “In Search of Global Diversification -Developed and Emerging Markets”, MSCI Barra RESEARCH INSIGHTS, 2006.
[70] Quick, R., and Wolz, M., “Benford’s Law in Deutschen Rechnugslegungsdaten”, Betriebswirtschaftliche Forschung and Praxis, 2003, pp. 208-224.
[71] Rangan, S. and Sloan, R., “Implications of the integral approach to quarterly reporting for the post-earnings-announcement drift”, The Accounting Review, Vol. 73 No. 3, 1998, pp. 353-71.
[72] Roberts, J., and D. Brewer., “Measures and tests of heaping in discrete quantitative distributions”, Journal of Applied Statistics, Vol. 28, 2001, pp. 887-896.
[73] Rowland, M., “Self-reported weight and height.” Amercian Journal of Clinical Nutrition, Vol. 52, 1990, pp. 1125-1133.
[74] Schäfer, C., Schräpler, J.P., Müller, K.R. and Wagner, G.G., “Automatic Identification of Faked and Fraudulent Interviews in the German SOEP”, Schmollers Jahrbuch-Journal of Applied social Science Studies, Vol. 125, 2005, pp. 119-129.
[75] Schipper, K. and Vincent, L., “Earnings quality”, Accounting Horizons, Vol. 17, Supplement, 2003, pp. 97-110.
[76] Singh, K.K., Suchindran, C.M. and Singh, R.S., “Smoothed breastfeeding durations and waiting time to conception”, Biodemography and Social Biology, Vol. 41, Issue 3-4, 1994, pp. 229-239.
[77] Skousen, C., Guan, L. and Wetzel, T., “Anomalies and Unusual Patterns in Reported Earnings: Japanese Managers Round Earnings”, Journal of International Financial Management and Accounting, Vol. 15 No. 3, 2004, pp. 212-34.
[78] Sonnemans, J., “Price clustering and natural resistance points in the Dutch stock market: A natural experiment”, European Economic Review, Vol. 50, 2006, pp. 1937-1950.
[79] Sopranzetti, B.J. and Datar, V., “Price clustering in the foreign exchange spot markets”, Journal of Financial Markets, Vol. 5, No. 4, 2002, pp. 411-417.
[80] Stephanchuk, C. and Wong, C., “Mooncakes and Hungry Ghosts: Festivals of China”, China Books and Periodicals, 1991, San Francisco.
[81] Tam Cho, W.K., and Gaines B.J. “Breaking the (Benford) Law: Statistical Fraud Detection in Campaign Finance”, The American Statistician, Vol. 61, No. 3, 2007, pp.218-223.
[82] Tam Cho, W.K., Gaines, B.J. and Gimpel, J.G., “Benford’s Law and Election Fraud”, Working paper, 2006.
[83] Thomas, J.K., “Unusual Patterns in Reported Earnings”, The Accounting Review, Vol. 64, 1989, pp. 773-787.
[84] Torelli, N., and Trivellato, U., “Modeling inaccuracies in job-search duration data”, Journal of Econometrics, Vol. 59, 1993, pp. 187-211.
[85] Tödter, K.H., “ Das Benford-Gesetz und die Anfangsziffern von Aktienkursen”, Wirtschafwissenschaftliches Studium, Vol. 36, No. 2, 2007, pp. 93-97.
[86] Ureta, M., “The importance of lifetime jobs in the U.S. economy, revisited”, American Economic Review 82, 1922, pp. 322-335.
[87] Van Caneghem, T., “Earnings Management Induced by Cognitive Reference Points”, The British Accounting Review, Vol. 34, 2002, pp. 167-178.
[88] Wen, S., Kramer, M., Hoey, J., Hanley, J. and Usher, R., “Terminal digit preference, random error, and bias in routine clinical measurement of blood pressure”, Journal of Clinical Epidemiology, Vol. 46, 1993, pp. 1187-1193.
[89] Wright, D.E. and Bray, I., “A Mixture Model for Rounded Data “, Journal of the Royal Statistical Society. Series D (The Statistician), Vol. 52, No. 1, 2003, pp. 3-13.
論文全文使用權限:不同意授權