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    题名: 保證金比率，漲跌幅限制及股價波動性：台灣股市的另一種驗證
    其它题名: Margin Requirements, Price Limits, and Stock Market Volatility: Another Look at the Case of Taiwan.
    作者: 徐燕山
    贡献者: 財務管理學系
    关键词: 保證金比率;漲跌幅限制;股價波動性
    Margin requirement;Price limit;Stock market volatility
    日期: 1994
    上传时间: 2014-09-10 17:47:37 (UTC+8)
    摘要: 本研究探討台灣股市內漲跌幅調整與保證金比率調整對股市波動性的影響。研究資料為台灣證券交易所的第一類股與第二類股股價指數每日收盤資料。研究結果顯示,短期內股市波動性與漲跌幅調整間存在著正向關係;漲跌幅較大時,股市波動性也較大。因果關係檢定顯示,第一類股股價波動性是造成漲跌幅調整的原因。在保證金比率調整方面,第二類股保證金比率的調整,造成該類股股價波動性的變化。
    This paper examines the effects of margin requirements and price limits on the stock market volatility of the Category A stock price index and category B stock price index in the Taiwan Stock Market. The results show that there exists a positive short-term relationship between price limit and stock market volatility. We also find that volatility Granger-causes the price limit changes for Category A stocks. This provides evidence that changes in price limits have tended to follow changes in volatility. Although we find significant short-term relationships between margin changes and volatility in a few cases, the empirical evidence presented in this paper is somewhat mixed. However, some weak evidence indicates that margin changes Granger-cause volatility for Category B stocks. The more speculative stocks are affected more by margin requirements.
    關聯: 行政院國家科學委員會
    計畫編號NSC83-0301-H004-090
    数据类型: report
    显示于类别:[財務管理學系] 國科會研究計畫

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