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    题名: 價格設限對台灣股票市場交易量、波動性及均衡價格形成的影響
    作者: 徐則謙
    贡献者: 胡聯國
    徐則謙
    关键词: 價格設限
    漲跌停板
    日期: 1998
    上传时间: 2016-04-20 17:15:59 (UTC+8)
    摘要: 一般來說,價格設限的存在,主要的目的是要防止市場因為投資人對資訊的過度反應,而有大幅波動的現象。撰寫本文的動機及目的,是要探討價格設限的合理性,及價格設限對股票市場的影響。檢定價格設限的存在是否能夠有效的抑制股價的波動,達到穩定市場的功能。
    參考文獻: 丁誌鮫,「股價漲跌限幅緊縮對我國股市的影響」,淡江大學管理科學研究所未出版論文,民國七十八年
    李又剛,「股價漲跌限幅措施下的我國股市與美、日、港三國股市之比較」,台北市銀行月刊,第二十卷第一期,民國七十八年
    李兆倫,「調整股價漲跌限幅影響震盪幅度之實證研究 異質條件變異數分析法」,中山大學企管理研究所未出版論文,民國八十年
    沈中華、黃河泉,「股價波動性與結構性轉變之探討─不同漲跌幅下之分析」,台大管理論叢,5(2),民國八十三年七月,p23-46
    官怡君,「股價漲跌幅限制對系統風險影響之研究」,台灣大學商學研究所未出版論文,民國七十八年
    許碧真,「我國股市規模效果暨股價漲跌限幅緊縮措施下個別股價行為之探討」,淡江大學管理科學研究所未出版論文,民國七十八年
    馬黛,「台灣股市波動因素及穩定措施之研究 停板限制、信用交易保證金及證交稅對股市波動性之影響」,台灣股市結構與制度,中華民國管理科學學會出版,民國八十二年五月
    連志茹,「股價漲跌限幅措施的更易對於中大型股與小型股之股性所造成之影響」,淡江大學管理科學研究所未出版論文,民國七十九年
    劉寶桂,「台灣股市變現性、股價行為與股價漲跌限幅關連性之實證研究」,淡江大學管理科學研究所未出版論文,民國七十九年
    劉玉珍,周行一,潘璟靜,「台灣股市價格限制與交易行為」,中國財務學刊,第四卷第二期,八十五年十月
    Chen, Yea-Mow, 1993, "Price limit and stock market volatility in Taiwan" Pacific-Basin Finance Journal 1, 139-153
    Chen, Yea-Mow, 1996, "Price limit and liquidity: A Transactional Data Analysis", 中國財務學會八十五年年會論文
    Chiang, R., and K. C. John Wei, 1993, "Estimation of Volatility Under Price Limits" working paper
    Chu, E. L., 1994, "Association between Price Limit and Stock Returns Influences and Implication," working paper
    Fama, Eugene F., 1989, "Perspectives on October 1987,or What did we learn from the crash?" in Robert W. Kamphuis, Jr., Roger C. Kormendi, and J. W. Henry Watson, Eds:Black Monday and the Futures of the Financial Markets (Irwin, Homewood, III)
    French, Kenneth, and Richard Roll, 1986, "Stock return variances:Thearrival of information and the reaction of traders" Journal of financial economics 7, 5-26
    George, Thomas J., and Chuan-Yang Hwang, 1995, "Transitory price changes and price limit rules:Evidence from the Tokyo Stock Exchange" Journal of financial and quantitative analysis 30, 313-327
    Greenwald, Bruce C. and Jeremy C. Stein, 1991, "Transactional Risk, Market Crashes, and the Role of Circuit Breakers" Journal of Business 64, 443-462
    Grossman, S. J., and Stigilitz, J. E., 1980, "On the impossibility of informationally efficient markets" American Economic Review 70,393-408
    Harris, Lawrence, 1986, "A transaction data study of weekly and intradaily patterns in stock returns" Journal of financial economics 16, 99-117
    Karpoff, Jonathan M., 1987," The relation between price changes and trading volume:A survey" Journal of financial and quantitative analysis 22, 109-126
    Kyle, Albert S., 1988, "Trading halts and price limits" The review of futures markets 7, 426-434
    Khoury, Sarkis J. and Gerald L. Jones., 1984, "Daily price limit on futures countracts:Nature,Impact, and Justification" RMF 3,22-36
    Kim, Kenneth K. and S. Ghon Rhee, 1996, "Price limit performance:Evidence from the Tokyo Stock Exchange" Journal of finance, forth coming
    Kim, Oliver and Robert E. Verrecchia., 1991, "Trading volume and price reactins to public announcements" Journal of accounting research 29, 302-321
    Lee, Charles M. C. and Mark J. Ready and Paul J. Seguin,1994,"Volume,Volatility, and New York Stock Exchange Trading Halts" Journal of finance 49, 183-214
    Lee, Sang-Bin and Seok-Chung Jee, 1996, "Price limits and stock market efficiency" Journal of business and accounting 23,585-601
    Lehmann, Bruce N., 1989, "Commentary: Volatility, price resolution and the effectiveness of price limit" Journal of financial services research 3,205-209
    Ma, C., R. Rao, and R. S. Sears, "Volatility, price resolution and the effectiveness of price limits", Journal of financial services research 3, 165-200
    Miller, Merton H., 1989, "Commentary:Volatiliy,price resolution, and the effectiveness of price limit" Journal of financial services research 3, 201-203
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    86351024
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002001521
    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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