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研究生:何子璇
研究生(外文):Tzu-Hsuan He
論文名稱:開放當沖對於價格效率與交易活動的影響:台灣股票市場的實證
論文名稱(外文):The Impact of Permitting Day Trading on Price Efficiency and Trading Activity: Evidence from the Taiwan Stock Market
指導教授:翁培師翁培師引用關係
指導教授(外文):Pei-Shih Weng
學位類別:碩士
校院名稱:國立東華大學
系所名稱:財務金融學系
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:2016
畢業學年度:104
論文頁數:55
中文關鍵詞:當沖權證價格效率交易熱絡度流動性週轉率
外文關鍵詞:day tradingwarrantsprice efficienttrading volumeliquidityturnover
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本研究分別探討台灣股票市場2014年1月6日第一階段開放「先買後賣」之當沖政策和2014年6月30日第二階段開放「先賣後買」之當沖政策對資產價格效率以及交易活動的影響。我們以現股與權證隱含股價間的價差來衡量價格效率,交易活動則分析交易熱絡度、流動性,與週轉率三個面相。實證分析使用一般化最小平方法檢驗開放當沖後是否對上述變數造成影響。實證結果指出,開放當沖後對價格效率之影響,第一階段政策效果比第二階段政策效果佳,第一階段開放後價格效率大致上有明顯提升。以市場交易熱絡度來看,不論是第一階段或第二階段的開放,皆僅認售權證和其標的股票之交易量有明顯增加。以市場流動性來看,第二階段的開放,認售權證標的股票市場之流動性變差,其他並無太大的差別。以週轉率來看,開放當沖後股票市場與權證市場週轉率皆有提升,權證市場受開放當沖之政策影響較股市大。整體來看,政策效果為第一階段開放大於第二階段開放,權證市場的改變大於股票市場。
This paper examines the impact of permitting day trading on the Taiwan stock market. The relaxation of day trading regulations consists of two steps. The first step was implemented at January 1, 2014 to allow investors to conduct buy-then-sell day trading, and the second step was implemented at June 30, 2014 to allow investors to conduct sell-and-buy-back day trading. We analyze the policy impact by price efficiency, which is measured by the difference between spot prices and warrant implied prices, and several measures of trading activity, including trading volume, liquidity, and turnover. The analysis is executed by generalized least squares regression. Our empirical findings show that the improvement of price efficiency in the first step period is much significant, while that in the second step period is ambiguous. As for trading volume, the improvement can be seen in both step periods, but only for put warrants and the underlying stocks. As for the liquidity, the stocks underlying the put warrants in the second step period become less liquid, while the liquidity of other stocks or warrants has no significant changes. As for turnover, easing rules in both step periods increase the rate of turnover for both markets, but the impact is much higher in the warrant market. Overall the findings indicate that on average, the relaxation of day trading brings more impacts for the deregulation in the first step period, and to the warrant market as well.
第壹章……………………………………………………1
第一節 研究背景和動機……………………………………………………1
第二節 研究目的……………………………………………………2
第貳章 文獻回顧……………………………………………………5
第參章 資料與研究方法……………………………………………………9
第一節 樣本……………………………………………………9
第二節 變數……………………………………………………11
第三節 研究方法……………………………………………………15
第肆章 實證結果……………………………………………………17
第伍章 結論……………………………………………………37
參考文獻……………………………………………………39
附錄……………………………………………………41


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(SSRN: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2563312)
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