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研究生:陳政勤
研究生(外文):Cheng-Chin Chen
論文名稱:漲跌停交易之獲利策略
論文名稱(外文):Profiting from Price-Limit Trading
指導教授:林盈課林盈課引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融系所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:英文
論文頁數:55
中文關鍵詞:漲跌幅限制過度反應
外文關鍵詞:Price LimitOverreaction
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政府訂定漲跌幅限制是為了要降低市場的波動度,避免投資人的過度反應。本研究樣本為台灣上市股票,由1997年1 月1日至2007年12月 31日,共計2827個交易日之實證研究。本研究發現觸及漲跌停後之股價存在過度反應,其中低股價、小型股以及非科技產業的股票之過度反應較其他類型股票的過度反應強。這些過度反應較為強的原因可能是資訊不對稱而產生的。而在於漲跌停鎖死(收盤時股價位於漲跌停)的股票之過度反應比沒有鎖死的股票強。最後本研究發現在於股市崩跌時,跌停之股票將會產生更強烈的過度反應,使股價更為波動,因此政府訂定的漲跌幅限制也許沒有辦法達到所想要的效果。
Government makes the price limit rule to stabilize the volatility of the market and makes investors calm down when the market crashed. This study uses the data of Taiwan Stock Exchange from January 1, 1997 to December 31,2007 to find out if there exist overreaction effect after stock price hits the limit. We find that the overreaction effect in small-price stock, small-size firm, and non-high-tech industry is much stronger. The reason may be information asymmetric in these types of stock. The overreaction effect in the stocks which hit and lock the limit at close is much stronger than those hit but not lock the limit at close. Finally, we find that when the market crashed, the price limit makes the stocks which hit downward limit more volatile. So the policy goal to reduce the volatility may not be reached.
I. Introduction ..................... - 1 -
II. Related Literature ............. - 3 -
III. Data and Methodology ........... - 5 -
IV. Empirical Evidence .............. - 9 -
V. Conclusion ....................... - 19 -
References ........................... - 20 -
Appendix ............................. - 40 -
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Cho, D.D., Russell, J., Tiao, G.C., and Tsay, R., 2003. The Magnet Effect of Price Limits: Evidence from High-Frequency Data on Taiwan Stock Exchange. Journal of Empirical Finance 10, 133 - 168.
Chul Woo Park, 2000. Examining futures price changes and volatility on the trading day after a limit-lock day. Journal of Futures Markets Volume 20, Issue 5 , 445 - 466
Daniel, K., Hirshleifer, D., and A. Subrahmanyam, 1998. Investor Psychology and Security Market Under- and Overreaction. Journal of Finance 53, 1839 - 1885.
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Chung , Jeff, and Li Gan, 2004. Estimating the effect of price limits on limit-hitting days. The Econometrics Journal Volume 8, Issue 1, 79 - 96
Kim, K.A., and Limpaphayom, P., 2000. Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand. Journal of Financial Markets 3, 315 - 332.
Kim, K.A., and Rhee, S.G., 1997. Price limit performance: Evidence from the Tokyo Stock Exchange. Journal of Finance 52, 885 - 901.
Kim, K.A., 2001. Price limits and stock market volatility. Economics Letters 71, 131 - 136.
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Lehmann, B.N., 1989. Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits. Journal of Financial Services Research 3, 205 - 209.
Li, Chen-Han, Hsu Chih-Tao, and Chou, Pin-Feng, 2003. The reaserch of price limit:from the point of option pricing.
Lin, Anchor Y., Hsu, Ching-Tao., and Swanson Peggy E., 2005. Profiting from Price Limits and Investor Overreaction.
Ma, C.K., Rao, R.P., and Sears, R.S., 1989. Limit Moves and Price Resolution: The Case of the Treasury Bond Futures Market. Journal of Futures Markets 9, 321 - 335.
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Cheng , Shu-mei, and Wein , Sin-min, 1998. Long-term Market Overreaction: Evidence from the Taiwan Stock Exchange.
Subrahmanyam, A., 1994. Circuit breakers and market volatility: a theoretical perspective. Journal of Finance 49, 527 - 543.
Westerhoff, F., 2003. Speculative Markets and the Effectiveness of Price Limits. Journal of Economic Dynamics & Control 28, 493 - 508.
Yong H., Kim, J., and Yang, Jimmy, 2007. The Effect of Price Limits on Intraday Volatility and Information Asymmetry.
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