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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/12423


    Title: 平盤以下不得放空限制對價格形成的影響
    Other Titles: The Effect of Short-Sale Constraint on Price Formation
    Authors: 林祐民;林信助;劉玉珍
    Lin,Yo-Min;Lin,Shinn-Juh;Liu,Yu-Jane
    Keywords: 放空限制;效率市場性;漲檔放空規定
    Date: 2002
    Issue Date: 2008-12-03 13:49:13 (UTC+8)
    Abstract: 近代的許多財務理論即是建立在效率市場假說上，但在現實上許多財務市場均存在套利的限制。我們以解除市場帄盤以下不得放空之限制為一自然的實驗環境，探討該限制解除後的市場價格反應行為。同時，針對台灣50 成分股於開始試行帄盤以下可以放空日之前後期間的報酬及放空交易行為進行分析。結果顯示限制帄盤以下不得放空，的確壓抑了放空者的需求。而帄盤以下可以放空開放後並未有加重股價下跌的疑慮。其次，我們也發現股票正負報酬對市場訊息的反應在事件後更趨一致，整體價格效率性在事件後更加顯現。經由本文之分析，開放台灣50 於帄盤以下得以放空，有助於市場效率的增進。
    Relation: 證券市場發展季刊, 23(3), 85-114
    Data Type: article
    Appears in Collections:[Department of International Business] Periodical Articles

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