English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51258/86283 (59%)
Visitors : 8029782      Online Users : 97
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95257


    Title: New Evidence on Price Limit Performance from Options Market
    Authors: Chung, Hui-Min
    Contributors: 淡江大學財務金融學系
    Keywords: 選擇權市場;漲跌幅;價格發現;市場績效;台灣;Option Market;Price Limit;Price Discovery;Market Performance;Taiwan
    Date: 2001-06
    Issue Date: 2014-02-11 23:59:47 (UTC+8)
    Abstract: Previous studies on the effectiveness of price limits suffer from theproblem of being unable to observe the true asset price in the absenceof price limit. This paper employs a new approach to investigate theeffectiveness of the price limit regulation rules by using data of theTaiwan derivatives warrants, which are more flexible to reflectunderlying asset's "true" value when the underlying asset price hitsthe limits. We examine whether options provide price discoveryfunction for the opening price of the next trading day after alimit-lock day. Our empirical results show that option market providesuseful price discovery information for the cases that underlying assetprices hit the upper limits. The results are especially significantfor warrants issued by high credit rating financial institutes. Pricelimit regulation rules help to stabilize the market during periods ofextreme downward market movements.
    Relation: 2001年財務金融學術暨實務研討會論文集=Proceedings of the Annual Research Conference in Finance and Financial Market in the 21st Century
    Appears in Collections:[財務金融學系暨研究所] 會議論文

    Files in This Item:

    File SizeFormat
    New Evidence on Price Limit Performance from Options Market_英文摘要.docx16KbMicrosoft Word99View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


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