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摘要
外文摘要
引文資料
題名:
漲跌幅限制變化對投資人預期之影響
書刊名:
臺大管理論叢
作者:
薛立言
/
陳獻儀
作者(外文):
Hsueh, Paul L.
/
Chen, Hsien-yi
出版日期:
2004
卷期:
14:2
頁次:
頁179-196
主題關鍵詞:
漲跌幅限制
;
隱含波動率
;
選擇權
;
Price limits
;
Implied volatility
;
Options
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
5
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
5
共同引用:
28
點閱:45
在許多金融市場中,價格漲跌幅限制常被作為抑制市場投機行為或過度反應的重要工具,然而漲跌幅限制對於投資人交易行為之影響,一直未獲得一致的看法。某些研究指出其可抑制投資人的過度反應,讓觸及漲跌幅限制後之股價波動率有減低的現象;另有文獻發現,在觸及漲跌幅限制後,股價波動率反而有增加的情況,因而認為漲跌幅限制並不會抑制市場上的不理性交易行為,而僅是延緩均衡價格的出現。由於選擇權的隱含波動率可視為市場投資人對未來標的股價波動的預期反應,加上選擇權交易高度槓桿的特性,投資人對於漲跌幅限制變化會更加敏感。因此,有別於以往相關研究都透過股票市場觀察股價觸及漲跌幅限制後所引起之變化,本文藉由觀察權證市場之隱含波動率的變動情形,分析國內權證市場投資人是否因為標的股票之漲跌幅限制產生變動,而改變對未來標的股價波動之預期,進而使交易行為有所改變。實證結果發現,當標的股票跌幅限制縮小時,認購權證之隱含波動率有顯著降低的現象,表示一般投資人對標的股票的未來波動率有下降的預期,也顯示出漲跌幅限制確實對投資行為產生冷卻效應。不過,對於較易觸及漲跌幅限制之標的,包括規模較小、交易熱絡以及波動性高的股票,其認購權證的隱含波動率在跌幅縮小時,反而出現顯著上升的現象。如此的結果支持Fama(1989)所提出之論點,也就是漲跌幅限制使投資人對未來均衡價格產生不確定感,進而延緩均衡價格之形成。
以文找文
The use of price limits to dampen investor's overraction or speculation behavior is not uncommon in many financial markets. While some research shows that market volatility decreases after the price limits are trigged, others find just the opposite. To better measure the effect of price limits on investor behavior, this study examines the sensitivity of implied volatility in the market. Specifically, given that the implied volatility represents a consensus measure of future volatility in the market, the behavior of implied volatility around price limits change can serve as a good measure of investor's view about future volatility prospect. Using data from the domestic warrant market, our findings show that when the lower price limit becomes more restrictive, the implied volatility in the market decrease significantly and seem to exert cooling-off effect. However, for stocks that tend to hit the price limits more easily (stocks that are more volatile, more actively traded, and with smaller market capitalization), their implied volatilities actually increase when more restrictive price limits are imposed. This finding confirms the view of Fama (1989) that price limits delay the price discovery process in the market.
以文找文
期刊論文
1.
Ma, Christopher K.、Rao, Ramesh P.、Sears, R. Stephen(1989)。Volatility, price resolution, and the effectiveness of price limits。Journal of Financial Services Research,3(2/3),165-199。
2.
Boyle, P. P.(1986)。Option valuation using a three jump process。International Options Journal,3,7-12。
3.
Mayhew, Stewart、Sarin, Atulya、Shastri, Kuldeep(1995)。The Allocation of Informed Trading Across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements。Journal of Finance,50(5),1635-1653。
4.
胡星陽、梁敏芳(19950100)。漲跌幅限制與臺灣股票市場波動。證券市場發展,7(1)=25,1-25。
延伸查詢
5.
Barone-Adesi, G.、Whaley, R. E.(1987)。Efficient analytic approximation of American option values。The Journal of Finance,42(2),301-320。
6.
Kim, Kenneth A.、Rhee, S. Ghon(1997)。Price Limit Performance: Evidence From the Tokyo Stock Exchange。Journal of Finance,52(2),885-901。
7.
Lehmann, B. N.(1989)。Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits。Journal of Financial Services Research,3,205-209。
8.
Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。
9.
Derman, Emanuel、Kani, Iraj、Chriss, Neil(1996)。Implied Trinomial Trees of the Volatility Smile。The Journal of Derivatives,3(4),7-23。
10.
吳壽山、周賓凰(1996)。衡量漲跌停限制對股票報酬與風險之影響。證券市場發展季刊,8(1),1-28。
延伸查詢
11.
Chen, H.(1998)。Price Limits, Overreaction, and Price Resolution in Futures Markets。Journal of Futures Markets,18(3),243-263。
12.
Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。
13.
Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。
14.
MacBeth, J. D.、Merville, L. J.(1979)。An Empirical Examination of the Black-Scholes Call Option Pricing Model。Journal of Finance,34(5),1173-1186。
15.
Pena, I.、Rubio, G.、Serna, G.(1999)。“Why Do We Smile? On the Determinants of the Implied Volatility Function,”。Journal of Banking and Finance,23,1151–1179。
16.
周賓凰、吳壽山(19981000)。漲跌幅限制之再探討。中國財務學刊,6(2),19-48。
延伸查詢
17.
Heynen, Ronald、Kemna, Angelien、Vorst, Ton(1994)。Analysis of the Term Structure of Implied Volatilities。Journal of Financial and Quantitative Analysis,29(1),31-56。
18.
Dupire, Bruno(1994)。Pricing with a Smile。Risk,7(1),18-20。
19.
Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。
20.
Easley, David、O'Hara, Maureen、Srinivas, P. S.(1998)。Option volume and stock prices: Evidence on where informed traders trade。Journal of Finance,53(2),431-465。
21.
Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。
22.
Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。
23.
Ma, C. K.、Rao, R. P.、Sears, R. S.(1989)。Limit moves and price resolution: the case of the Treasury bond futures markets。The Journal of Futures Markets,9(4),321-335。
24.
Chou, P. H.(1997)。A Gibbs sampling approach to the estimation of linear regression models under daily price limits。Pacific-Basin Finance Journal,5,39-62。
25.
Adjaoute, K.、Bruand, M.、Gibson-Asner, R.(1998)。On the predictability of the stock market: Does history matter?。European Financial Management,4,287-292。
26.
Bhabra, G. S.、Gonzalez, L.、Kim, M. S.、Powell, J. G.(2001)。Volatility prediction during prolonged crises: evidence from Korean index options。Pacific-Basin Finance Journal,9,147-164。
27.
Cherian, J. A.、Jarrow, R. A.(1998)。Options markets, self-fulfilling prophecies, and implied volatilities。Review of Derivatives Research,2,5-37。
28.
Derman, E.、Kani, I.(1994)。Riding on the smile。Risk,7,32-39。
29.
Duque, J.、Paxson, D.(1993)。Implied volatility and dynamic hedging。Review of Futures Markets,13,381-421。
30.
Hyland, D. C.、Sarkar, S. K.、Tripathy, N.(2003)。Insider trading when an underlying option is present。Financial Analysts Journal,59,69-77。
31.
Kim, K. A.、Limpaphayom, P.(2000)。Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand。Journal of Financial Markets,3,315-332。
32.
Kyle, A. S.(1988)。Trading halts and price limits。The Review of Futures Markets,10,136-175。
33.
Lee, Jason、Yi, Cheong H.(2001)。Trade size and information-motivated trading in the options and stock markets。Journal of Financial and Quantitative Analysis,36,485-501。
34.
Mayhew, S.(1995)。Implied volatility。Financial Analysts Journal,July/ August,8-20。
35.
Ncube, M.(1996)。Modelling implied volatility with OLS and panel data models。Journal of Banking & Finance,20,71-84。
36.
Roll, R.(1989)。Price volatility, international market links, and their implications for regulatory policy。Journal of Financial Services Research,3,211-246。
37.
Tompkins, R. G.(2001)。Implied volatility surfaces: uncovering regularities for options on financial futures。The European Journal of Finance,7,198-230。
研究報告
1.
Cao, C.、Chen, Z.、Griffin, J. M.(2000)。The informational content of option volume prior to takeovers。沒有紀錄。
2.
Pan, J.、Poteshman, A. M.(2003)。The information in option volume for stock prices。沒有紀錄。
學位論文
1.
蕭慧玲(1996)。漲跌幅限制措施對市場交易活動影響之研究,0。
延伸查詢
圖書
1.
Hull, J. C.(2000)。Options, Futures, and Other Derivatives。Prentice-Hall。
2.
Greene, W. H.(2000)。Econometric Analysis。New York:Macmillan。
3.
Tompkins, R. G.(1997)。Measuring equity volatilities。Equity Derivatives: Applications in Risk Management and Investment。London, UK:Risk Publications。
圖書論文
1.
Fama, E. F.(1989)。Perspectives on October 1987, or What Did We Learn from the Crash?。Black Monday and the Future of Financial Markets。Homewood, IL:Dow Jones-Irwin, Inc.。
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