在研究各國股市的日K、週K、月K或年K漲幅分布時，常會遇到一個關鍵問題：
是否應該將低價股納入統計？表面上看，排除低價股似乎是一種主觀篩選。但當跨市場資料被完整整理後，會發現這其實是一個統計學上的必要處理。
原因很簡單：
在許多市場中，低價股會明顯扭曲百分比報酬、跳空統計、以及極端漲跌分布。
當低價股大量存在時，市場中的「大漲」與「大跌」往往不再反映真正的市場波動，而是反映報價制度與最小跳動單位（tick size）的結構。
本文整理 2020–2025 年多個市場的數據，說明低價股如何影響市場統計，以及為何在跨市場比較時，低價股通常需要被單獨處理。
一、什麼是「低價股」？
不同市場的價格尺度差異很大，因此「低價股」不適合使用統一門檻。
在這項研究中，各市場採用本地化門檻定義低價股，例如：
- 美國 / 加拿大 / 英國 / 澳洲 / 香港 / 法國
低於 1 單位貨幣 - 日本
低於 100 日圓 - 韓國
低於 1000 韓元 - 台灣
低於 30 元台幣 - 中國
低於 5 元人民幣 - 泰國
低於 1 泰銖
因此，本文中的「低價股」更準確的英文是：
Low-price stocks
而非僅限於美股語境中的 penny stocks。
二、各國市場的低價股比例差異很大
跨市場資料顯示，不同市場的低價股密度差異非常明顯。
澳洲、加拿大、英國
這些市場中，大量股票長期停留在極低價格區間，例如：
- 0.05
- 0.03
- 甚至 0.003
在某些案例中，股票全年幾乎都停留在低價區。
這意味著：
低價股在市場中並非邊緣存在，而是市場結構的一部分。
美國
美股確實存在大量低於 1 美元的股票，尤其集中在：
- 小型股
- 權證（warrants）
- 部分流動性較低的標的
然而從跨市場比較來看，美股並不是唯一低價股密集的市場。
台灣
台灣市場也存在一定比例的低價股，例如：
- 10 元
- 15 元
- 20 元
但台股的一個特點是：
tick size 制度相對細緻，因此「一跳就 10%」的情況非常少見。
這說明：
低價股比例高，並不必然導致統計失真。
是否產生扭曲，還取決於市場的最小跳動單位制度。
三、真正造成統計扭曲的是「one tick percentage」
低價股之所以會扭曲統計，核心原因不是價格低，而是：
最小跳動單位占價格的比例過大。
這個指標可以稱為：
one tick percentage
舉例：
股票價格tick size單次跳動1000.10.1%10.011%0.10.0110%0.010.01100%
當價格足夠低時：
僅僅一個最小跳動單位，就可能造成極大的百分比變化。
因此許多「暴漲」實際上只是：
報價制度造成的百分比錯覺。
四、部分市場存在極端 tick distortion
跨市場統計顯示，某些市場存在非常明顯的 tick distortion。
澳洲
一些股票：
- 中位價格只有 0.003 ~ 0.03
- one tick percentage 可達 100%
在這種情況下：
+20%、+50%、+100% 的漲幅可能只是一次 tick。
加拿大
加拿大市場同樣存在大量極低價格股票，例如：
- 0.05
- 0.02
- 0.01
某些股票的 one tick percentage 可以達到：
200% 以上
英國與法國
部分股票價格甚至低於：
0.01
在這些案例中：
- tick distortion
- gap frequency
- intraday range
都會出現極端數值。
泰國
泰國市場也存在許多全年處於低價區的股票，例如：
- 0.03
- 0.05
- 0.09
在這些股票中：
10% 或 20% 的日內振幅非常常見。
五、低價股在極端漲跌排行榜中占比極高
統計顯示，在以下排行榜中：
- 最大 gap
- 最大單日漲跌
- 最大 intraday range
低價股占據極高比例。
原因很簡單：
低價股同時具備以下特性：
- 價格基數低
- tick size 比例大
- 流動性薄
- 成交不連續
這些因素會讓百分比波動顯著放大。
因此如果直接用百分比排名：
排行榜往往會變成
「低價股排行榜」
而不是市場真正的異動排行榜。
六、低價股也會影響週K、月K、年K分布
很多人認為：
日內波動可能受到低價股影響，但長期統計應該會被平均掉。
事實上並非如此。
低價股的特性，例如：
- gap
- 非連續報價
- 流動性不足
仍然會影響：
- weekly return
- monthly return
- yearly return
因此在漲幅分布圖中：
低價股往往會讓尾端分布變得非常肥。
這會造成一種錯覺：
某些市場看起來似乎「極端行情特別多」。
但實際上，可能只是低價股造成的統計偏差。
七、排除低價股的真正原因
在跨市場統計中，排除低價股通常有幾個原因：
1
避免 tick size 扭曲百分比報酬
2
避免 big move 排行被低價股主導
3
提高跨市場比較的公平性
4
避免分布圖尾端被低價股污染
5
將研究焦點放回市場本身，而非報價制度
八、低價股仍然值得研究
排除低價股並不代表低價股沒有研究價值。
相反地，低價股本身是一個非常有意思的研究主題，例如：
- 各國低價股比例
- tick distortion 程度
- gap 發生頻率
- 極端波動集中度
將低價股單獨研究，往往能更清楚看到各市場制度差異。
結語
低價股在全球市場中普遍存在，但不同市場的制度與結構，使得其對統計結果的影響程度差異很大。
在某些市場中，低價股可能只是價格較低的普通股票；
而在另一些市場中，低價股則可能與 tick size、流動性和報價制度結合，造成極大的百分比波動。
因此，在進行跨市場比較、漲幅分布研究或 big move 分析時，將低價股單獨處理，往往能讓統計結果更加清晰，也更接近市場的真實結構。
Why Low-Price Stocks Are Often Excluded in Cross-Market Research
How Low-Price Stocks Distort Return Statistics (2020–2025 Global Market Study)
When analyzing stock markets across different countries—whether looking at daily, weekly, monthly, or yearly return distributions—one key methodological question always arises:
Should low-price stocks be included in the analysis?
At first glance, excluding low-price stocks may appear subjective. However, once cross-market data is examined systematically, it becomes clear that this is often a necessary statistical adjustment rather than a personal preference.
The reason is straightforward:
In many markets, low-price stocks significantly distort percentage returns, gap statistics, and extreme move distributions.
When a market contains a large number of low-price stocks, the biggest “gainers” and “losers” often reflect pricing mechanics and tick size structures, rather than genuine market dynamics.
This article summarizes findings from 2020–2025 cross-market data, explaining how low-price stocks influence market statistics and why they are often treated separately in comparative research.
1. What Counts as a “Low-Price Stock”?
Price levels differ significantly across markets, so a single universal threshold is not practical.
Instead, this study uses market-specific thresholds:
United States / Canada / United Kingdom / Australia / Hong Kong / France
Below 1 unit of local currency
Japan
Below 100 JPY
South Korea
Below 1000 KRW
Taiwan
Below 30 TWD
China
Below 5 RMB
Thailand
Below 1 THB
Because of these differences, the term used here is:
Low-price stocks
rather than the narrower U.S. term penny stocks.
2. The Proportion of Low-Price Stocks Varies Widely Across Markets
Cross-market data reveals large structural differences.
Australia, Canada, and the United Kingdom
In these markets, many stocks trade at extremely low price levels, such as:
- 0.05
- 0.03
- even 0.003
In some cases, stocks remain in these ranges for most of the year.
This suggests that:
Low-price stocks are not merely fringe assets—they are often part of the market structure.
United States
The U.S. market does contain a significant number of sub-$1 stocks, often including:
- micro-cap companies
- warrants
- thinly traded securities
However, when compared globally, the U.S. is not the only market where low-price stocks are common.
Taiwan
Taiwan also has a noticeable number of low-price stocks, typically in ranges such as:
- 10 TWD
- 15 TWD
- 20 TWD
However, the Taiwanese market has a distinctive feature:
Tick sizes are relatively fine-grained, making “one-tick = 10% move” situations extremely rare.
This highlights an important point:
A market can have many low-price stocks without necessarily producing severe statistical distortions.
The key factor is how tick sizes interact with price levels.
3. The Real Issue: “One Tick Percentage”
The core statistical problem is not simply low prices.
It is the percentage impact of the minimum price increment.
This concept can be described as:
One Tick Percentage
Example:
Stock PriceTick SizeSingle Tick Move1000.10.1%10.011%0.10.0110%0.010.01100%
At very low prices, a single tick can represent an enormous percentage change.
As a result, many apparent “huge gains” are actually:
mechanical artifacts of market microstructure.
4. Extreme Tick Distortion in Certain Markets
Some markets exhibit particularly strong tick distortions.
Australia
Certain stocks have:
- median prices around 0.003–0.03
- one-tick percentages reaching 100%
In such cases:
+20%, +50%, or even +100% moves can occur in a single tick.
Canada
Canada also contains many ultra-low-price stocks such as:
- 0.05
- 0.02
- 0.01
Some of these securities can experience one-tick moves exceeding 200%.
United Kingdom and France
Some securities trade at extremely small price levels (below 0.01).
These stocks often exhibit:
- extreme tick distortions
- high gap frequency
- large intraday ranges
Thailand
Thailand also contains many stocks that remain in low-price ranges such as:
- 0.03
- 0.05
- 0.09
In these cases:
10%–20% intraday moves are not unusual.
5. Low-Price Stocks Dominate Extreme Move Rankings
Statistical analysis shows that low-price stocks frequently dominate rankings of:
- largest price gaps
- largest daily returns
- largest intraday ranges
This occurs because low-price stocks often share several characteristics:
- very small price bases
- large tick size ratios
- thin liquidity
- discontinuous trading
Together, these factors amplify percentage movements.
As a result, rankings based purely on percentage returns can quickly become:
lists of low-price stocks, rather than genuine indicators of market dynamics.
6. Low-Price Stocks Also Affect Weekly, Monthly, and Yearly Distributions
It is sometimes assumed that daily distortions disappear over longer time horizons.
However, this is not always the case.
Features commonly associated with low-price stocks—such as:
- price gaps
- illiquidity
- irregular trading
can also affect:
- weekly returns
- monthly returns
- yearly returns
As a result, return distribution charts often develop unusually fat tails when low-price stocks are included.
This can create the illusion that certain markets experience more extreme price behavior than they actually do.
7. Why Low-Price Stocks Are Often Excluded
In cross-market statistical research, low-price stocks are frequently excluded for several reasons:
- To avoid tick-size distortion in percentage returns
- To prevent extreme-move rankings from being dominated by micro-priced securities
- To improve comparability between markets
- To reduce distortion in return distribution tails
- To focus analysis on market behavior rather than pricing mechanics
8. Low-Price Stocks Still Deserve Separate Study
Excluding low-price stocks does not imply they are unimportant.
In fact, they represent a fascinating area of research, including topics such as:
- cross-market prevalence of low-price stocks
- tick-size distortions
- gap frequency
- concentration of extreme volatility
When analyzed separately, low-price stocks often reveal structural differences between markets.
Conclusion
Low-price stocks exist in nearly every market, but their statistical impact varies depending on local trading structures.
In some markets, they simply represent inexpensive equities.
In others, they interact with tick sizes, liquidity conditions, and price mechanics in ways that generate extreme percentage movements.
For this reason, separating low-price stocks from broader market analysis often leads to cleaner statistics and more meaningful cross-market comparisons.
