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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/77955

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77955

Title:	Are magnet effects caused by uninformed traders? Evidence from Taiwan Stock Exchange
Authors:	Wong, Woon K.;Chang, Matthew C.;Tu, Anthony H. 杜化宇
Contributors:	財管系
Keywords:	G14;G15;G18
Date:	2009-01
Issue Date:	2015-08-24 12:07:13 (UTC+8)
Abstract:	Using transactions and quotes data, we find significant magnet effects of price limit rules in Taiwan Stock Exchange (TSEC). Consistent with Subrahmanyam [Subrahmanyam, A., 1994. Circuit breakers and market volatility: a theoretical perspective. Journal of Finance 49, 237–254], we find that when limit hits are imminent, trading activities intensify with higher volume and volatility. More importantly, our transactions data allows us to examine the roles of institutions and individuals in the magnet effects in TSEC. There is strong evidence that magnet effects are caused by uninformed individuals, whereas if trade volumes are dominated by institutions, no significant magnet effect is found. The policy implication of our findings is that transparency and institutional participation can help to reduce the frequency of magnet effects.
Relation:	Pacific-Basin Finance Journal, 17(1), 28-40
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.pacfin.2008.03.001
DOI:	10.1016/j.pacfin.2008.03.001
Appears in Collections:	[財務管理學系] 期刊論文

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