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題 名 | 影響臺灣股市日內股價變動因素之探討=Investigation the Underlying Factors Affecting Intradaily Price Change Behavior on the Taiwan Stock Exchange |
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作 者 | 江明憲; 鄭淯隆; | 書刊名 | 中山管理評論 |
卷 期 | 12:1 2004.03[民93.03] |
頁 次 | 頁173-193 |
分類號 | 563.54 |
關鍵詞 | 股市; 股價變動; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究主要探討臺灣股票市場中影響日內股價變動之因素。研究顯示交易時距的確是一非常重要的資訊因子。另外,成交次數愈多,會降低交易成本,導致價格變動情形會變小。當股價呈現下降時,若買單出現時,短期間投資者心理會受到影響,而發生短期交易反轉現象,使得負向資訊的反應變得較為長久。在相對較大的交易量時,價格變動會變小。 |
英文摘要 | This paper investigates factors affecting intradaily price change path on the Taiwan stock Exchange. Empirical evidence shows that the time between trades represents a crucial role regarding the information contents implicit in the trades. In addition, the larger the number of trades between two different prices, the lower the price change. Meanwhile, the seller-initiated order causes stock price to take much longer time to react to underlying information during the downward trend. Also, the price change decreases when a relatively large order size arrives. |
本系統中英文摘要資訊取自各篇刊載內容。