臺灣股票市場漲跌幅度限制對股價穩定效果之研究--失衡模型之應用

政大機構典藏 > 社會科學學院 > 經濟學系 > 學位論文 > Item 140.119/88688

Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/88688

Title:	臺灣股票市場漲跌幅度限制對股價穩定效果之研究--失衡模型之應用 The Research of Taiwan Stock Market Price Control Stablizing Effect--The Application of Disequilibrium Model
Authors:	唐正杰 Tang, Cheng Chieh
Contributors:	林祖嘉 Lin, Chu Chia Steven 唐正杰 Tang, Cheng Chieh
Keywords:	漲跌幅股價失衡 Tobit Rational Expectation
Date:	1993
Issue Date:	2016-04-29 16:30:24 (UTC+8)
Abstract:	本文主要是探討在股票單日漲跌幅限制下市場非恆久性失衡體系的一些經
Reference:	[1]財團法人中華民國證券發展基金會(民國七十七年十一月)，”股價漲跌幅限制對股市市場機能影響之研究。 [2]吳學基(民國七十五年六月)，”限制漲跌幅度影響後續股價之實證研究，國立政治大學企業管理研究所碩士論文。 [3]李又剛(民國七十八年)，”股價長跌幅措施下的我國股市與美、日、港三國股市之比較”，臺北市銀月刊，第二十卷，第一期。 [4]丁誌(民國七十八年五月)，”股價漲跌限幅緊縮對我國股市的影響”，私立淡江大學管理科學研究所經濟組碩士論文。 [5]王慕軍(民國七十八年六月)，”漲跌幅限製調整對穩定股價之評估”，國立臺灣大學商學研究所碩士論文。 [6]鄧鎧(民國八十年二月)，“張跌幅設限對股價變動率影響之研究”，私立轉仁大學管理學研究所碩士論文。 [1] Chanda A.K. and G.S .Maddala ' "Methods of estimation for models of markets with bounded price variation under rational expections " 'Economics Letters' 1983 ' 47 ' 181-184. [2] Stephten G.Donalod and G.S.Maddala ' "A note on the estimation of limited dependent variable models under rational expectations" , Economics Letters' 1992 ' , 17-23. [3] R.C.Fair and D.M.Jaffee ' "Methods of estimation for markets in disequilibrium" , Econometrica' 1972 ' 40 ' 497-514. [4] R.C.Fair and J .B.Taylor ' "Solution and maximum likelihood estimation of dynamic non-linear rational expectations models" , Econometrica ' 1983 ' 53 ' 1169-1185. [5] M. T .Holt ' "Bounded price variation models with rational expectations and price risk" , Economics Leiters' 1989 ' 31 ' 313-317. [6] M.T.Holt and S.R.Johnson ' "Bounded price variation and rat.ional expections in an endogenous switching model of the U.S. corn market " , Review of Economics and Statistics' 1989 ' 71 ' 605-613. [7] G.S.Maddala' "Methods of estimation for models of markets with bounded price variation" , International Economic Review' 1983 ' 2 , 361-378. [8] G.S.Maddala' "Limited dependent variables in econometrics" , Cambridge University , Pl'ess ' Cambridge ' 1983. [9] G.S.Maddala and F.D.Nelson ' "Maximum likelihood methods for models of markets in a disequilibrium" , Econometrica , 1976 ' 42 ' 1013-1030. [10] M.Hashem Pesaran and Hossein Samiei ' "Estimating limiteddependent rational expectations models with an application to exchange rate determination in a target zone" , Journal of Econometrics ' 1992 , 53 ' 141-163. [11] R.N.Rosett and F.D.Nelson ' "Estimation of the two-limit probit regression model" , Econometrica' 1975 ' , 141-146. [12J J.S.Shonkwiler and R.D.Emerson ' "Imports and supply of winter tomatoes : An application of rational expectations" , American Journal of Agriculture Economics, 1982 ' 64 ' 634-641. [13J J .S.Shonkwiler and G.S.Maddala ' "Modelling expectation of bounded prices : An application to the market for corn" , Review of Economics and Statistics' 1985 ' 67 ' 634-641. [14J J.Tobin ' "Estimation of relationship for limited dependent variables" , Econometrica ' 1958 ' 26 ' 24-36. [15] Kenneth F.Wallis ' "Econometrics implications of the rational expectations hypothesis" , Econometrica' 1980 ' 48 ' 49-74.
Description:	碩士國立政治大學經濟學系 G80258011
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002004222
Data Type:	thesis
Appears in Collections:	[經濟學系] 學位論文

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