New Evidence on Price Limit Performance from Options Market

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 會議論文 > Item 987654321/95257

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题名:	New Evidence on Price Limit Performance from Options Market
作者:	Chung, Hui-Min
贡献者:	淡江大學財務金融學系
关键词:	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
日期:	2001-06
上传时间:	2014-02-11 23:59:47 (UTC+8)
摘要:	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.
關聯:	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
显示于类别:	[財務金融學系暨研究所] 會議論文

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