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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31560

    Title: 開放信用交易對股票報酬波動性與週轉率之影響
    Other Titles: The effect of margin trading on stock return, volatility and turnover.
    Authors: 賴智民;Lai, Chih-min
    Contributors: 淡江大學財務金融學系碩士班
    陳達新;Chen, Dar-hsin;陳玉瓏;Chen, Yu-lung
    Date: 2005
    Issue Date: 2010-01-11 00:56:55 (UTC+8)
    Abstract: 本文的主要目的在研究開放信用交易對股票報酬波動性與週轉率之影響,並對開放信用交易進行事件研究。
    The main purpose of this paper is to investigate the effect of the opening of margin trading on stock price return volatility and turnover rate, and investigate the opening of margin trading with event study. We observe that after the opening of margin trading, there is no relationship between the differences of the stock return volatility for diverse industries. Increasing with study period, the difference of market value causes the non-quasi electrical stock return volatility significantly changes early than electrical stock return volatility for TSE and OTC stocks. The system effect of the opening of margin trading on stock return volatility is larger for OTC than to TSE stocks. The system effect of the opening of margin trading on turnover rate is significant for TSE stocks, but not for OTC stocks. Although there exists a significant relationship between electrical and non-quasi electrical stocks for TSE stocks in the short-term, but not for considering both diverse industries and individual corporation sizes in the medium and long-term. The information has already flowed into TSE market before announcement date, the significantly positive CAAR of TSE stocks in the event period are made by TSE electrical stocks. OTC electrical stocks make temporary positive CAAR of OTC stocks around the event day. Besides OTC non-quasi electrical stocks, the effect of the opening of margin trading is positive for TSE and OTC stocks. In sum, TSE electrical stocks are better investment targets, and the CAAR increase more in bull market than in bear market, especially significant in great rise market.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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