臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：放空價格限制對市場品質之影響
書刊名：證券市場發展季刊
作者：張眾卓 引用關係／鄭揚耀 引用關係／王明昌 引用關係／蔡宜靜
作者(外文)：Chang, Chong-chuo／Cheng, Lee-young／Wang, Ming-chang／Tsai, Yi-ching
出版日期：2014
卷期：26:1=101
頁次：頁147-182
主題關鍵詞：融券交易；放空限制；市場品質；市場微結構；Short-selling；Short-sale constraints；Market quality；Market microstructure
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:55
  • 點閱點閱:46
本研究探討放空價格限制措施對證券市場的影響，進而瞭解平盤以下不得放空之機制是否應持續調整放寬標的。本研究的實證結果指出，取消放空價格限制的個股，其市場波動性顯著降低、市場流動性顯著提高、市場效率性亦顯著提升；且放空活動對市場品質具有正向的影響，顯示放空價格限制的解除對市場品質具有正向影響。再者，本研究發現，受到平盤以下不得放空限制之股票，具有較差的市場交易品質，且依公司特徵分群，亦獲得穩健性的檢測結果。最後，本文發現，在2008年全球金融風暴期間，政府的全面禁止放空措施對市場品質具負面影響。因此，本文的實證結果支持放寬平盤以下不得放空之標的，逐步取消平盤以下不得放空的限制，以增進市場交易品質，此結果可提供政府未來擬定或修改證券交易制度之參考。
This study explores the effect of short-sale price constraints on the Taiwan Stock Exchange (TWSE) and further investigates whether short-sale price constraints should be relaxed to other targets. We find that the removal of up-tick rule contributes to the decrease in market volatility, and the increase in market liquidity and efficiency, implying that the removal of up-tick rule can improve market quality. We find that stocks with up-tick rule have inferior trading quality. These results are robust even after controlling firm characteristics. Finally, we find that short sales ban on stocks during the 2008 global financial crisis is detrimental for market quality. Therefore, this provides strong evidence supporting that short-sale price constraints should be relaxed to other targets and has important implications for the government to build or revise securities trading systems in the future.
期刊論文
1.詹司如、林靖中、郭玟秀(20080700)。平盤以下可融券賣出對股票價格行為之影響。經濟與管理論叢，4(2)，203-228。new window  延伸查詢new window
2.龔尚智、吳其昌(20000300)。以新上市公司樣本探討店頭市場開放信用交易對其股價波動性及效率性之影響。輔仁管理評論，7(1)，161-181。new window  延伸查詢new window
3.Bris, Arturo、Goetzmann, William N.、Zhu, Ning(2007)。Efficiency and the bear: Short sales and markets around the world。Journal of Finance，62(3)，1029-1080。  new window
4.Miller, James M.、McConnell, John J.(1995)。Open-market Share Repurchase Programs and Bid-ask Spreads on the NYSE: Implications for Corporate Payout Policy。Journal of Financial and Quantitative Analysis，30(3)，365-382。  new window
5.Boehmer, Ekkehart、Jones, Charles M.、Zhang, Xiaoyan(2008)。Which Shorts Are Informed?。Journal of Finance，63(2)，491-527。  new window
6.Christophe, Stephen E.、Ferri, Michael G.、Hsieh, Jim J.(2010)。Informed Trading Before Analyst Downgrades: Evidence from Short Sellers。Journal of Financial Economics，95，85-106。  new window
7.Chordia, T.、Subrahmanyam, A.(2004)。Order Imbalance and Individual Stock Returns: Theory and Evidence。Journal of Financial Economics，72，485-518。  new window
8.Diamond, Douglas W.、Verrecchia, Robert E.(1987)。Constraints on short-selling and asset price adjustment to private information。Journal of Financial Economics，18(2)，277-311。  new window
9.Jones, Charles M.、Lamont, Owen A.(2002)。Short-sale constraints and stock returns。Journal of Financial Economics，66(2/3)，207-239。  new window
10.王健聰(20061000)。市場不完美性與指數套利關係之研究。管理與系統，13(4)，441-469。new window  延伸查詢new window
11.王健聰、闕河士(20061200)。股價波動性、融券賣空限制與定價績效--SGX-DT摩根臺股與TAIFEX臺股指數期貨之實證。交大管理學報，26(2)，91-122。new window  延伸查詢new window
12.林祐民、林信助、劉玉珍(20110900)。平盤以下不得放空限制對價格形成的影響。證券市場發展，23(3)=91，85-114。new window  延伸查詢new window
13.Alexander, Gordon J.、Peterson, Mark A.(2008)。The Effect of Price Tests on Trader Behavior and Market Quality: An Analysis of Reg SHO。Journal of Financial Markets，11(1)，84-111。  new window
14.Boehmer, Ekkehart、Wu, Juan Julie(2013)。Short Selling and the Price Discovery Process。Review of Financial Studies，26(2)，287-322。  new window
15.Chen, C. X.、Rhee, S. G.(2010)。Short Sales and Speed of Price Adjustment: Evidence from the Hong Kong Stock Market。Journal of Banking and Finance，34(2)，471-483。  new window
16.Diether, Karl B.、Lee, Kuan-Hui、Werner, Ingrid M.(2009)。It's SHO Time! Short-Sale Price Tests and Market Quality。Journal of Finance，64(1)，37-73。  new window
17.陳煒朋、吳壽山、洪慧妤(20100500)。選擇權價格效率性、放空限制與雜訊交易者風險。期貨與選擇權學刊，3(1)，1-31。new window  延伸查詢new window
18.Christophe, S. E.、Ferri, M. G.、Angel, J. J.(2004)。Short-selling prior to earnings announcements。Journal of Finance，59(4)，1845-1876。  new window
19.Diether, Karl B.、Lee, Kuan H.、Werner, Ingrid M.(2007)。Short sale strategies and return predictability。Review of Financial Studies，22(2)，575-607。  new window
20.Figlewski, S.(1981)。The informational effects of restrictions on short sales: some empirical evidence。Journal of Financial and Quantitative Analysis，16(4)，463-476。  new window
21.Hong, H.、Stein, J. C.(2003)。Differences of opinion, short-sales constraints and market crashes。Review of Financial Studies，16(2)，487-525。  new window
22.Chordia, Taran、Swaminathan, Bhaskaram(2000)。Trading volume and cross-autocorrelations in stock returns。The Journal of Finance，55(2)，913-935。  new window
23.許溪南、詹司如、林靖中、謝東瀛(20060900)。新上市股票開放信用交易對價格波動性與成交量之影響。商管科技季刊，7(3)，531-549。new window  延伸查詢new window
24.Huang, R. D.、Stoll, H. R.(1996)。Dealer Versus Auction Markets: a Paired Comparison of Execution on NASDAQ and the NYSE。Journal of Financial Economics，41(3)，313-357。  new window
25.Chang, Eric C.、Cheng, Joseph W.、Yu, Yinghui(2007)。Short-sales Constraints and Price Discovery: Evidence from the Hong Kong market。Journal of Finance，62(5)，2097-2121。  new window
26.Miller, E. M.(1977)。Risk, Uncertainty, and Divergence of Opinion。Journal of Finance，32(4)，1151-1168。  new window
27.McInish, T. H.、Wood, R. A.(1992)。An Analysis of Intraday Patterns in Bid-Ask Spreads for NYSE Stocks。The Journal of Finance，47(2)，753-764。  new window
28.莊家彰、管中閔(20051200)。臺灣與美國股市價量關係的分量迴歸分析。經濟論文，33(4)，379-404。new window  延伸查詢new window
29.Chordia, Tarun、Roll, Richard、Subrahmanyam, Avanidhar(2001)。Market Liquidity and Trading Activity。Journal of Finance，56(2)，501-530。  new window
30.Ahn, Hee-Joon、Bae, Kee-Hong、Chan, Kalok(2001)。Limit Orders, Depth and Volatility: Evidence from the Stock Exchange of Hong Kong。Journal of Finance，56(2)，767-788。  new window
31.Petersen, Mitchell A.(2009)。Estimating standard errors in finance panel data sets: Comparing approaches。The Review of Financial Studies，22(1)，435-480。  new window
32.陳達新、陳君達、賴智民(20070100)。開放信用交易對臺股股票報酬、波動性與週轉率之影響。經濟與管理論叢，3(1)，97-124。new window  延伸查詢new window
33.Lee, Charles M. C.、Ready, Mark J.(1991)。Inferring Trade Direction from Intraday Data。Journal of Finance，46(2)，733-746。  new window
34.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。  new window
35.Woolridge, J. R.、Dickinson, A.(1994)。Short Selling and Common Stock Prices。Financial Analysts Journal，50，20-28。  new window
36.Ho, K. W.(1996)。Short-Sales Restrictions and Volatility: The Case of the Stock Exchange of Singapore。Pacific-Basin Finance Journal，4，377-391。  new window
研究報告
1.Curtis, A.、Fargher, N. L.(2008)。Does Short-Selling Amplify Price Declines or Align Stocks with Their Fundamental Values?。University of Utah。  new window
2.SEC(2007)。Economic Analysis of the Short Sale Price Restrictions Under the Regulation SHO Pilot。Securities and Exchange Commission。  new window
3.Wu, J. J.(2006)。Uptick Rule, Short Selling and Price Efficiency。Texas A&M University。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：762（臺灣：748，外國：14） ／ 本年度總使用人次：1855660 ／ 訪客人次（自102年09月）：67668425
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上