查詢結果分析
相關文獻
- 放空價格限制對市場品質之影響
- 市場透明度與價格群聚:臺灣指數期貨市場之實證分析
- 外匯交易市場之市場微結構
- Behavior of Liquidity around Open Market Stock Repurchase Announcements: Evidence from Taiwan Stock Market
- An Empirical Study on Informed Trading on the Taiwan Stock Exchange
- 股價指數期貨與股價指數現貨間領先落後關係之實證研究--以總體經濟資訊宣告為例
- 臺指選擇權市場之套利效率
- 政府干預股市的影響:市場品質變化的觀點
- One Gold, Two Currencies: Price Discovery between Spot Exchange Rate and Implied Exchange Rate Derived from Futures
- 93-100年度抗生素製劑之品質監測結果分析
頁籤選單縮合
題 名 | 放空價格限制對市場品質之影響=The Impact of Short-Sale Price Constraints on Market Quality |
---|---|
作 者 | 張眾卓; 鄭揚耀; 王明昌; 蔡宜靜; | 書刊名 | 證券市場發展季刊 |
卷 期 | 26:1=101 2014.03[民103.03] |
頁 次 | 頁147-182 |
分類號 | 563.54 |
關鍵詞 | 融券交易; 放空限制; 市場品質; 市場微結構; Short-selling; Short-sale constraints; Market quality; Market microstructure; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究探討放空價格限制措施對證券市場的影響,進而瞭解平盤以下不得放空之機制是否應持續調整放寬標的。本研究的實證結果指出,取消放空價格限制的個股,其市場波動性顯著降低、市場流動性顯著提高、市場效率性亦顯著提升;且放空活動對市場品質具有正向的影響,顯示放空價格限制的解除對市場品質具有正向影響。再者,本研究發現,受到平盤以下不得放空限制之股票,具有較差的市場交易品質,且依公司特徵分群,亦獲得穩健性的檢測結果。最後,本文發現,在2008年全球金融風暴期間,政府的全面禁止放空措施對市場品質具負面影響。因此,本文的實證結果支持放寬平盤以下不得放空之標的,逐步取消平盤以下不得放空的限制,以增進市場交易品質,此結果可提供政府未來擬定或修改證券交易制度之參考。 |
英文摘要 | This study explores the effect of short-sale price constraints on the Taiwan Stock Exchange (TWSE) and further investigates whether short-sale price constraints should be relaxed to other targets. We find that the removal of up-tick rule contributes to the decrease in market volatility, and the increase in market liquidity and efficiency, implying that the removal of up-tick rule can improve market quality. We find that stocks with up-tick rule have inferior trading quality. These results are robust even after controlling firm characteristics. Finally, we find that short sales ban on stocks during the 2008 global financial crisis is detrimental for market quality. Therefore, this provides strong evidence supporting that short-sale price constraints should be relaxed to other targets and has important implications for the government to build or revise securities trading systems in the future. |
本系統中英文摘要資訊取自各篇刊載內容。