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    Title: 資訊揭露對股票市場的波動性與流動性之影響
    The Impacts of Market Transparency on Volatility and Liquidity
    Authors: 張景婷
    Contributors: 陳樹衡
    馬文忠

    張景婷
    Keywords: 資訊揭露
    市場透明度
    有限理性
    人工股票市場
    代理人基建模
    遺傳規劃
    Information Disclosure
    Market Transparency
    Bounded Rationality
    Agent-Based Modeling
    Artificial Stock Market
    Genetic Programming
    Date: 2012
    Issue Date: 2012-11-01 13:58:46 (UTC+8)
    Abstract: 知訊者與非知訊者資訊不對稱之議題在學術殿堂一直廣為學者所研究討論,且各國證管機關為了維持證券市場公平性、保護非知訊者權益並且維持股票市場的穩定運作,適度的資訊揭露以維持證券市場的公平性一直都是各國證券交易所重視的政策目標。
    是故,本研究利用代理人基人工股票市場來探討資訊揭露對於金融市場之影響。在此架構下之交易者皆已有限理性方式來呈現。他們是以遺傳規劃(genetic programming)之方式來學習並修正他們對於未來之金融市場之預期。在透過即時的模擬價格之資訊揭露,我們嘗試探討此資訊揭露之金融政策措施對於市場之波動性、市場之流動性之影響。
    The topic of asymmetric information between the informed traders and uninformed traders has been widely discussed by researchers in academics. To maintain the fairness of securities market, an appropriate information disclosure is quite important for authorities of securities regulation to protect the rights and interests of uninformed traders, and to maintain the operations of securities market stable. Based on these reasons, we construct an agent-based artificial stock market to investigate how information disclosure affects a financial market. In this framework of artificial stock market, all traders are characterized by bounded rationality. The traders are able to learn and adjust their predictions of financial market by means of a genetic programming algorithm. We try to understand how market transparency affects the volatility and the liquidity of a securities market.
    Reference: 柯美珠與黃彥聖,2006,「資訊揭露對日內市場流動性之影響:台灣股票市場之實證研究」,國立台灣科技大學 2006 年管理新思維學術研討會。

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    Description: 碩士
    國立政治大學
    應用物理研究所
    99755004
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099755004
    Data Type: thesis
    Appears in Collections:[應用物理研究所 ] 學位論文

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