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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85827


    Title: 漲跌停前後股價變動行為之實證研究--高頻資料之應用分析
    The empirical study of stock price when it hits price limits --the application of high frequency data
    Authors: 黃麗英
    Huang, Li-ying
    Contributors: 郭炳伸
    Bing-guan Guo
    黃麗英
    Li-ying Huang
    Keywords: 漲跌停限制
    間斷型
    日內資料
    高頻資料
    買賣價差
    最小升降單位
    price limits
    discrete
    intra -day data
    high frequency data
    bid-asked spread
    tick size
    Date: 1998
    Issue Date: 2016-04-20 17:15:38 (UTC+8)
    Abstract: 本篇論文基於市場上所存在的一些交易機制，探討漲跌停前後之股價行為。因為證券市場上存在一些交易規則，例如漲跌停限制、買賣價差、最小升降單位限制、競價制度等，這些交易規則，具有法定的效力，理所當然地會影響投資人的行為。這種以各種交易機制的存在，探討價格形成的過程，就是市場微結構理論之研究範疇。
    This thesis is an application of the market microstructure theory’. In light of some trading mechanisms in our stock market, such as price limit, bid-asked spread, tick size, and auction system, those trading rules would influence the behavior of investors. We want to study the process and outcomes of stock price under those explicit trading rules.
    Reference: 一、 英文文獻
    1. Admati, A., and P. Pfleiderer, 1988, A Theory of Intraday Patterns: Volume and Price Variablity, Review of Financial Studies 1, 3-40.
    2. Admati, A., and P. Pfleiderer, 1989, Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects, Reviews of Financial Studies 2, 189-224.
    3. Atchison, M., K. Butler, and R. Simonds, 1987, Nonsynchronous Security Trading and Market Index Autocorrelation, Journal of Finance 42, 111-118.
    4. Ball, C., 1988, Estimation Bias Induced by Discrete Security Prices, Journal of Finance 43, 841-865.
    5. Bertsimas, D., L. Kogan, A. Lo, 1996, When is time continuous? Working Paper LFE-1045-96, Massachusetts Institute of Technology Laboratory for Financial Engineering.
    6. Blume, M., C. MacKinlay, and B. Terker, 1989, Order Imbalances and Stock Price Movements on October 19 and 20, 1987, Journal of Finance 44, 827-848.
    7. Chiang, R. and Wei, K. C. J., 1995, Using Daily Security Prices to Estimate Volatility and Regression Models under Price Limits, Department of Finance, Hong Kong University of Science and Technology.
    8. Chib, S., Bayes Regression with Autoregressive Errors:A Gibbs Sampling Approach, Journal of Econometrics 58, 275-294.
    9. Cho, D., and E. Frees, 1988, Estimating the volatility of Discrete Stock Prices, Journal of Finance 43, 452-466.
    10. Chou, P. H., 1995, A Gibbs Sampling Approach to Estimating Linear Regression Models under Price Limits with an Application to the Estimation of Systematic Risk in Taiwan, Working Paper.
    11. Christie, W., J. harris, and P. Schultz, 1994, Why did NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes? Journal of Finance 49, 1841-1860.
    12. Cohen, K., S. Maier, R. Schwartz, and D. Whitcomb, 1978, The Returns Generation Process, Returns Variance, and the Effect of Thinness in Securities Market, Journal of Finance 33, 149-167.
    13. Cohen, K., S. Maier, R. Schwartz, and D. Whitcomb, 1979, On the Existence of Serial Correlation in an Efficient Securities Market, TIMS Studies in the Management Sciences 11, 151-168.
    14. Copeland, T., and D. Galai, 1983, Information Effects on the Bid-Ask Spread, Journal of Finance 38, 1457-1469.
    15. Demsetz, H., 1968, The Cost of Transaction, Quarterly Journal of Economics 82, 33-53.
    16. Dimson, E., 1979, Risk Measurement When Shares Are Subject to Infrequent Trading, Journal of Financial Economics 7, 197-226.
    17. Easley, D., M. O’Hara, 1987, Price, Trade Size, and Information in Securities Markets, Journal of Financial Economics 19, 69-90.
    18. Fisher, L., 1966, Some New Stock Market Indexes, Journal of Business 39, 191-225.
    19. Glosten, L., 1987, Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices, Journal of Finance 42, 1293-1307.
    20. Glosten, L., and L., Harris, 1988, Estimating the Components of the Bid/Ask Spread, Journal of Financial Economics 21, 123-142.
    21. Glosten, L., and P. Milgrom, 1985, Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders, Journal of Financial Economics 14, 71-100.
    22. Godek, P., 1996, Why NASDAQ Market Makers Avoid Odd-Eighth Quotes, Journal of Financial Economics 41, 465-474.
    23. Gottlieb, G., and A. Kalay, 1985, Implications of the Discreteness of Observed Stock Prices, Journal of Finance 40, 135-154.
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    25. Hasbrouck, J., 1988, Trades, Quades, Inventories, and information, Journal of Financial Economics 22, 229-252.
    26. Hasbrouck, J., 1991, The Summary Informativeness of Stock Trades: An Econometric Analysis, Review of Financial Studies 4, 571-595.
    27. Ho, T., and H. Stoll, 1981, Optimal Dealer Pricing under Transactions and Return Uncertainty, Journal of Financial Economics 9, 47-73.
    28. Huang, R., and H. Stoll, 1994, Market Microstructure and Stock Return Predictions, Review of Financial Studies 7, 179-213.
    29. Huang, R., and H. Stoll, 1996, Dealer Versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE, Journal of Financial Economics 41, 465-474.
    30. Jegadeesh, N., and S. Titman, 1995, Overreaction, Delayed Reaction, and Contrarian Profits, Review of Financial Studies 8, 973-993.
    31. Jegadeesh, N., and S. Titman, 1995, Short-Horizon Return Reversals and the Bid-Ask Spread, Journal of Financial Intermediation 4, 116-132.
    32. Jenning, R., 1994, Intraday Changes in Target Firms’ Share Price and Bid-Ask Quotes around Takeover Announcements, Journal of Financial Research 17, 255-270.
    33. Jerry A. Hausman, Andrew W. Lo, and A. Craig MacKinlay, 1992, An Ordered Probit Analysis of Transaction Stock Price, Journal of Financial Economics 31, 319-379.
    34. John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay, 1997, The Econometrics of Financial Market.
    35. Kodres, L. E., 1993, Tests of Unbiasedness in the Foreign Exchang Futures Markets: An Examination of Price Limit and Conditional Heteroscedasticity, Journal of Business 66, 463-490.
    36. Lin. J. C. G. and Sanger G. G.Booth, 1995, Trade Size and Components of the Bid-Ask Spread, Review of Financial Studies 8, 1153-1183.
    37. Ma, C. K. R., P. Rao, and S. R. Sears, 1989, Volatility, Price resolution, and the Effectiveness of Price Limits, Journal of Financial Services Reserch 3, 165-199.
    38. Marsh, T., and E. Rosenfeld, 1986, Non-Trading, Market Making, and Estimates of Stock Price Volatility, Journal of Financial Economics 15, 359-372.
    39. Maureen O’Hara, 1995, Market Microstructure Theory.
    40. Osborne, M., 1962, Periodic Structure in the Brownian Motion Models of Stock Prices, Operations Reserch 10, 345-379.
    41. Porter, D., and D. Weaver, 1996, Estimating Bid-Ask Spread Components: Specialist Versus Multiple Market Maker Systems, Review of Quantitative Finance and Accounting 6, 167-180.
    42. Roger D. Huang, and Hans R. Stoll, 1997, The Components of the Bid-Ask Spread: A General Approach, Review of Financial Studies 10, 995-1034.
    43. Roll, R., 1984, A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance 39, 1127-1140.
    44. Timothy Falcon Crack, and Olivier Ledoit, 1996, Robust Structure Without Predictability: The “Compass Rose” Pattern of the Stock Market, Journal of Finance 11, 751-762.
    45. V. Ravi Anshuman, and Avner Kalay, 1998, Market Making with Discrete Prices, Review of Financial Studies 11, 81-109.

    二、中文文獻
    1. 李汪明，1996，「漲跌幅限制下台灣股票日報酬率特性之研究」，國立中央大學財管所碩士論文。
    2. 邱美娟，1996，「漲跌幅限制、過度反應及資訊不對稱」，中央大學財管所碩士論文。
    3. 唐正杰，1992，「台灣股票市場漲跌幅度限制對股價穩定效果之研究--失衡模型之應用」，國立政治大學經濟學研究所碩士論文。
    4. 黃建榮，1996，「漲跌幅限制下股價行為與財務指標受扭曲程度之研究」，政治大學國貿所碩士論文。
    5. 黃建順，1994，「台灣股市日內間斷性價格變動之分析—Ordered Probit、Multinominal logit模型之應用」，國立中正大學財務金融所碩士論文。
    6. 劉玉珍、藍新仁，1993，「台灣股票集中市場與店頭市場變線性之研究」，證券市場發展季刊。
    7. 蔡邦昌，1992，「台灣股市價格叢聚、價格反轉與股價震盪之實證研究」，國立中正大學財務金融所碩士論文。
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    86351014
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001511
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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