淡江大學機構典藏:Item 987654321/23600
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/23600


    Title: 臺灣股市漲跌幅及規模效果交互作用的解析
    Other Titles: An Analytical View of the Interaction Effect of Price Limit Regulations and Size Catergory in Taiwan
    Authors: 吳壽山;許和鈞;顧廣平
    Contributors: 淡江大學財務金融學系
    Keywords: 資本資產訂價模式;異常報酬;漲跌幅效果;規模效果
    Date: 1995-01
    Issue Date: 2009-11-30 17:46:06 (UTC+8)
    Publisher: 行政院國家科學委員會
    Abstract: 本研究根據Jensen的定價模式來衡量異常報酬，並採用多變量線性迴歸及重複測量的實驗設計方法進行檢定台灣股市在民國七十二年至八十二年間，是否存在漲跌幅及規模效果？實證結果顯示台灣股市存在漲跌幅及規模效果，且兩效果之間存在交互作用。
    In this research, Jensen's Alpha method is applied to measure the abnormal returns for portfolios.Multivariate linear regression and repeated-measure design are used to test price limit effects and firm sizeeffects for the period 1983-1993 in Taiwan. The results indicate that there exist price limit and size effectsin the Taiwan stock market. Furthermore, our results also show that there is an interaction effect betweenprice limit and firm size.
    Relation: 國家科學委員會研究彙刊 : 人文及社會科學類 5(1)，頁 73-82
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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