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    题名: 台灣期貨市場操縱
    作者: 林倢伃
    贡献者: 山本竜市
    林倢伃
    关键词: 操縱
    期貨市場
    Manipulation
    Futures market
    TAIFEX
    日期: 2007
    上传时间: 2009-09-11 17:08:15 (UTC+8)
    摘要: 台灣期貨市場收盤價的操縱現象並不明顯，推論可能的理由為收盤時採用不連續的搓合機制，使有意操縱收盤價的交易者的操縱意願降低。報酬與操縱呈現負相關，可能的原因為操縱者在不同市場間進行操縱，即使在某一市場虧損，仍能在另一市場獲得更多的報酬。激發操縱交易行為的因子最顯著的解釋變數為交易者的平均累積部位成本，而非收盤價的變動。
    This paper uncovers the trade-based manipulative trading in TAIFEX with the detailed trade-level data. The manipulation of closing prices is rather unremarkable. The call auction may be the reason. Revenue and manipulation have a negative remarkable relation. One of the reasons could be that a manipulator trades between different markets at the same time. He can ear more return in one market to cover the loss in another market. The other possible reason is that the informed trader wants to mislead other traders.
    This paper finds out that the most explainable motivation of manipulation is the cost of the held position. The outcome supports the negative relation between revenue and manipulation.
    參考文獻: Aggarwal, R.K., and G., Wu, 2006. Stock Market Manipulations. Journal of Business. 79(4), 1915-1953.
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    Bagnoli, M., and B.L. Lipman, 1990, Stock Price Manipulation through Takeover Bids. woking paper. Graduate School of Industrial Administration, Carnegie Mellon University.
    Benabou, R., and G. Laroque, 1992, Using Privileged Information to Manipulate Markets: Insiders, Gurus and Credibility. Quarterly Journal of Economics. 107, 921-956
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    Chamberlain, T., Cheung, C., Kwan, C., 1989. Expiration-day effects of index futures and options: some Canadian evidence. Financial Analysts Journal. 45(5), 67-71.
    Cheung, Y., 1995. Intradaily returns and the day-end effect; evidence from the Hong Kong equity market. Journal of Business Finance & Accounting. 22(7), 1023-1034.
    Collins, B., and F., Fabozzi, 1991. A methodology for measuring transactions costs. Financial Analysts Journal. 47(2), 27-44.
    Comerton-Forde, C., J., Rydge, 2005. Call auction algorithm design and market manipulation. Journal of Multinational Financial Management. 16, 184-198
    Comerton-Forde, C., Lau, S.T., McInish, T., 2006. Opening and closing behavior following the introduction of call auctions in Singapore. Pacific-Basin Finance Journal. 15, 18-35.
    Felixson, K., and A.Pelli, 1999. Day end returns-stock price manipulation. Journal of Multinational Management. 9, 95-127.
    Glaeser, E., Johnson, S., Shleifer, A., 2001. Coase versus the Coasians. Quarterly Journal of Economics. 116, 853-899
    Harris, L., 1989. A day-end transaction price anomaly. Journal of Financial and Quantitative Analysis. 24(1), 29-45
    Hedvall, K., 1994. Essays on the market microstructure of the Helsinki Stock Exchange. Publications of the Swedish School of Economics and Business Adminstration. 56.
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    Norden, L., 1993. An investigation of intradaily regularities in Swedish stock market returns. Working paper. University of Lund, Sweden.
    Pirrong, S.C., 1995. Mixed Manipulation Strategies In Commodity Futures Markets. Journal of Futures Markets. 15, 13-39.
    Stoll, H., Whaley, R., 1987. Program trading and expiration-day effects. Financial Analysts Journal. 43(2), 16-28.
    Stoll, H., Whaley, R., 1991. Expiration-day effects: what has changed? Financial Analysts Journal. 47(1), 58-72.
    Vila, J. L., 1989, Simple Games of Market Manipulation. Economics Letters. 29,21-26
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    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    95351024
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095351024
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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