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題 名 | 股市雜訊交易之研究=A Study on Noise Trading in Taiwan Stock Market |
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作 者 | 陳文生; 陳丰津; | 書刊名 | 高雄科學技術學院學報 |
卷 期 | 29 1999.12[民88.12] |
頁 次 | 頁195-209 |
分類號 | 563.54 |
關鍵詞 | 雜訊交易; 變異數比率; Noise trading; Variance ratio; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究以國內上市公司為樣本進行實證分析以探討國內股市雜訊交易的現象,結果發現國內股價型態呈現均數偏離的現象,顯示雜訊交易行為對股市交易具有重大影響力。就上市公司產業類型而言,金融保險類股受雜訊交易行為影響較大;而雜訊交易行為對股價波動影響則有公司規模效果,其規模愈小,則受雜訊交易影響程度愈大。 |
英文摘要 | Based on noise trading theory and the empirical results, we attempts to interpretation the behavior of noise trading in-Taiwan stock market. We find that the activity of noise trading exists in stock exchanges and affects stock trading behavior especially in the short term. There is industry effect but its intensity varies across different industries. The financial and insurunce stocks as a group seem to attract the most significant noise trading activity. Finally, the empirical results show that the noise trading behavior has influence on stock prices and the effect is more prominent for the firms of smaller size. |
本系統中英文摘要資訊取自各篇刊載內容。