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相關文獻
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頁籤選單縮合
| 題 名 | 股價大幅波動後之交易策略=Trading Strategies on Highly Volatile Markets |
|---|---|
| 作 者 | 林宏誼; 林盈課; 黃麟翔; 賴俊銓; | 書刊名 | 臺灣管理學刊 |
| 卷 期 | 25:1 2025.02[民114.02] |
| 頁 次 | 頁1-21 |
| 分類號 | 563.54 |
| 關鍵詞 | 股價大幅波動; 漲跌幅限制; 傳染效應; Large market volatility; Price limit; Contagion effect; |
| 語 文 | 中文(Chinese) |
| DOI | 10.6295/TAMJ.202502_25(1).0001 |
| 中文摘要 | 透過日內資料研究發現,美股大漲或大跌對台灣股票產生傳染效應。台股 收盤漲停個股,隔天股價平均上漲 1.57%。美股納斯達克綜合指數(簡稱納指) 大漲 3% 後漲停的個股,隔日上漲力道在傳染效應消失後,報酬率減弱。收盤跌 停個股,隔天股價下跌 1.91%。加入美股大漲傳染效應而跌停個股,隔日下跌力 道在傳染效應消失後,下跌更嚴重。當納指經歷 3% 以上跌幅後,投資者能夠交 易跌 7% 以上但未跌停的台股獲利,納指大跌對這些台股有明顯的傳染效應。 |
| 英文摘要 | This study analyzes intraday data to observe whether stocks overreact and exhibit contagion effects after a large increase or decrease in the US stock markets, with the aim of identifying short-term profit opportunities. When a stock hits its upward price limit, it tends to continue to rise next day with a 1.57% of increase. After the NASDAQ index goes up by more than 3%, those price increases from the contagion effect tends to disappear. This study found that a significant increase or decrease in the US stock index has a contagion effect on stocks listed in Taiwan. When the NASDAQ index experienced a 3% decline yesterday, investors today can make profit by trading stocks that have fallen more than 7% but have not reached the daily limit. This indicates that these companies exhibit a contagion phenomenon when the NASDAQ index experiences a significant decline. |
本系統中英文摘要資訊取自各篇刊載內容。