淡江大學機構典藏:Item 987654321/87173
English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 64191/96979 (66%)
造訪人次 : 8275018      線上人數 : 7457
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/87173


    題名: 漲跌停限制對波動度之影響 : 投資人交易行為分析
    其他題名: The impact of price limits on volatility : evidence from investors' trading
    作者: 林良一;Lin, Liang-Yi
    貢獻者: 淡江大學財務金融學系碩士班
    林蒼祥
    關鍵詞: 漲跌停限制;流動性;委託單不平衡;波動度;雜訊;price limit;Liquidity;Order imbalance;Volatility;Noise
    日期: 2012
    上傳時間: 2013-04-13 10:49:26 (UTC+8)
    摘要: 本研究以台灣市場為對象，利用高頻率的日內資料，進行波動度外溢假說的驗證，並藉投資人行為觀察其成因。本研究參考Kim and Yang (2008)的做法，將漲跌停板狀況分為單點觸碰、鎖死及有打開三種類型，再加上漲停與跌停兩種市場方向共計六種漲跌停型態，進行波動度外溢假說之實證研究。並將股票市場中的參與者區分為外資、散戶、自營商及其它國內法人四類，以流動性及委託單不平衡做為投資人下單行為的代理變數，以分析其中行為對漲跌停板後之股票市場波動度之影響。並進一步分析該行為是否具有資訊性。
    研究結果顯示波動度外溢只存在於跌停板狀態，漲停板之狀態皆如漲跌停限制制度設立原意可降低市場波動度，而使波動度降低的原因主要來自於散戶。且波動度的降低並非雜訊性的波動。隱含漲跌停板確實為散戶帶來訊號致使散戶行為做出改變，緩和了市場波動，此結果亦支持了機構投資人於平常時較散戶更具有資訊性的觀點。
    The purpose of this paper is to test the volatility spillover hypothesis by analyzing high-frequency intraday data from Taiwan. To investigate the effects of the price limits on volatility spillover, we consider three types of price limits according to Kim and Yang (2008): hits-single, locked, and opened. Each type has upper and lower limits. Investors are also separated into four categories: foreign institutional investors, individual investors, dealers and domestic institutional investors. Both liquidity and order imbalance are employed of analyze investors’ behavior with report to factors influencing volatility change.
    Our evidence indicates that only lower price limits causes volatility spillover. While behaviors of individual investors cause the price limits system to stabilize market fluctuations when upper price limits is reached. However, the volatility changes at price limits is the actual volatility without noise, which implies that price limits send significant signals to individual investors to change their behavior. This is consisted with the view that institutional investors have information advantage over other investors in general.
    顯示於類別:[財務金融學系暨研究所] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML186檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋