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題 名 | Association between Price Limit and Stock Returns: Influences and Implication for Market-Based Research=漲跌幅限制與股票報酬關聯性研究 |
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作 者 | 朱立倫; | 書刊名 | 輔仁管理評論 |
卷 期 | 5:2 1998.09[民87.09] |
頁 次 | 頁103-126 |
分類號 | 563.54 |
關鍵詞 | 關聯性; 漲跌幅限制; 股價報酬; Association; Price limit; Stock retums; |
語 文 | 英文(English) |
中文摘要 | 本研究探討漲跌幅限制對台灣股市股價行為之關聯性,尤其針對該限制是否對股 價報酬之隨機漫步假設有所影響。本研究並比較不同漲跌幅對上述假說影響之程度。 研究結果顯示,台灣股市之股價行為的確受到漲跌幅限制之影響,不同漲跌幅也造成 股價報酬之不同程度時間序列相關。亦即漲跌幅限制可能是造成台灣股市報酬違反隨機漫 步假說之主因。 本研究之結果也建議主管機關應考慮消除該限制以利股市之健全,同時本研究之結果 也提醒相關實證研究應注意股價短期之相關性。 |
英文摘要 | This paper examines the influences of price limit on price behavior in the Taiwan stock market, especially focusing on the random walk hypothesis for stock returns. Two methodologies; serial correlation, and scaled variogram; are applied for periods with different levels of price limit. The results are hypothesized varying with the change of price limit. The results indicate that the serial correlations of stock returns are statistically non-zero and sensitive to the levels of price limit. Higher time- series correlations of stock returns associate with lower level of price limit. It supports that price limit for the market may deter reflecting of information and demean efficiency of the market. The test of scaled variogram positively supports the random walk hypothesis for weekly returns even when the periods with narrow price limit. The results provide good evidence for policy-markers for Taiwan's stock market to consider to eliminate the price limit. The results also suggest that the market-based studies using short intervals as the testing period may be biased due to the influence of the price limit on stock returns. |
本系統中英文摘要資訊取自各篇刊載內容。