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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/87491


    Title: 漲跌幅限制下股價行為與財務指標受扭曲程度之研究
    The Impacts of Stock Price Limits on Security Price Behavior and Financial Risk Indices Measures
    Authors: 黃健榮
    Huang, Je Rome
    Contributors: 林修葳
    黃健榮
    Huang, Je Rome
    Keywords: 漲跌幅限制
    暫停交易
    停板
    Tobit Model
    GMM
    Gibbs Sampler
    Date: 1995
    Issue Date: 2016-04-28 14:42:36 (UTC+8)
    Abstract: 　　我國股市的價格漲跌幅限制已逾三十年的歷史，主管機關維持此一機制的訴求是避免股價波動過於激烈、抑制投機行為。惟停板限制可能帶來的影響，除直覺上的其造成投資者持股風險指標扭曲等問題。經探究中亦歸結出（一）其被引為技術指標、（二）其引致財務風險指標扭曲等問題。
    　　Thsi Study explores how price limits, which have remained in Taiwan Securities Exchange for over thirty years, affects both security price behavior and security risk indices. Its empirical results add to our understanding of the social costs and benefits of price limits. The SEC has been advocating the merits of price limits, emphasing that they help eliminating speculative trades and reducing security price volatility. In contrast, it remains a popular thought that price limits increase investors’holding costs and risks. To empirically examine the effects of price limits in Taiwan, this papers adopts Two-Limit-Tobit Model, together with CAAR as an indicator for specification validity. My test results lend support to the notion of (1).Technical Indicator Effect immediately before the price limits are hit; (2).Enhancement Effect the day after. Moreover, price limits contribute to bias in both systematic risk and total risk estimates (namely, β and σ) and thus distort investment decisions.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    83351006
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002002760
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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