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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/77955


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/77955


    题名: Are magnet effects caused by uninformed traders? Evidence from Taiwan Stock Exchange
    作者: Wong, Woon K.;Chang, Matthew C.;Tu, Anthony H.
    杜化宇
    贡献者: 財管系
    关键词: G14;G15;G18
    日期: 2009-01
    上传时间: 2015-08-24 12:07:13 (UTC+8)
    摘要: Using transactions and quotes data, we find significant magnet effects of price limit rules in Taiwan Stock Exchange (TSEC). Consistent with Subrahmanyam [Subrahmanyam, A., 1994. Circuit breakers and market volatility: a theoretical perspective. Journal of Finance 49, 237–254], we find that when limit hits are imminent, trading activities intensify with higher volume and volatility. More importantly, our transactions data allows us to examine the roles of institutions and individuals in the magnet effects in TSEC. There is strong evidence that magnet effects are caused by uninformed individuals, whereas if trade volumes are dominated by institutions, no significant magnet effect is found. The policy implication of our findings is that transparency and institutional participation can help to reduce the frequency of magnet effects.
    關聯: Pacific-Basin Finance Journal, 17(1), 28-40
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1016/j.pacfin.2008.03.001
    DOI: 10.1016/j.pacfin.2008.03.001
    显示于类别:[財務管理學系] 期刊論文

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