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題名：市場資訊交易者與護盤者行為之分析：以921地震期間之臺股為例
書刊名：商管科技季刊
作者：洪榮耀 引用關係／馬黛 引用關係
作者(外文)：Hung, Jung-yao／Ma, Tai
出版日期：2011
卷期：12:4
頁次：頁343-374
主題關鍵詞：護盤基金；套利交易機率；日內型態；Stabilization fund；Probability of arbitrage trading；Intraday patterns
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 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:1
  • 共同引用共同引用:18
  • 點閱點閱:63
本研究以市場交易者面臨到的可能交易狀況建立交易樹，建構委託單驅動市場之套利交易機率模型分析資訊交易者及穩定基金績效及其行為。實證部分是以台灣1999年9月21日發生地震時，護盤基金進場事件進行研究。關於套利者及穩定基金的績效和行為，有四個主要發現(1)樣本公司均有顯著的套利交易。其中，護盤樣本公司之套利交易規模並未高於未護盤公司；(2)相較於一般時期，護盤樣本績效僅有流動性較為顯著。同時，護盤樣本與未護盤樣本之績效無顯著差異；(3)護盤期間樣本公司日內套利交易主要集中於開盤期間；(4)相對於未護盤樣本公司，護盤基金樣本公司之套利交易與市場漲跌關係較為密切，反而對各股漲跌反應較不靈敏。
Based on possible situations encountered by market traders, this study constructed a tree of trading process and a probability model of arbitrage trading in order-driven market, and analyzed the behavior and performance of the information trader and stabilization fund through this model. In the empirical study, we analyzed the stabilization fund event during the period of the 921 earthquake. Our four main findings are: (1) there is arbitrage trading in all of the sample companies, in which the arbitrage trading scale of the stabilization fund sample companies is not higher than that of the others. (2) Regarding the performance of the stabilization fund sample companies, only the liquidity is significantly different compared to ordinary period. And there is no significant difference between the performance of the stabilization fund sample companies and that of non-stabilization samples. (3) The arbitrage trading concentrates in the opening during the stabilization period. (4) In contrast to the non-stabilization samples, the arbitrage trading of the stabilization fund sample companies has a remarkable relationship with the performance of the market, but not with that of individual stocks.
期刊論文
1.Cheng, M. T.(2010)。Does the National Financial Stabilization Fund Mitigate Systemic Risk in the Taiwan Securities Market?。International Research Journal of Finance and Economics，35，130-142。  new window
2.Keim, D. B.、Madhavan, A.(1995)。Anatomy of the trading process empirical evidence on the behavior of institutional traders。Journal of Financial Economics，37(3)，371-398。  new window
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12.Rhee, S. Ghon、Chang, Rosita P.(1993)。The Microstructure of Asian Equity Markets。Journal of Financial Services Research，6(4)，437-454。  new window
13.Easley, David、Hvidkjaer, Soeren、O'Hara, Maureen(2002)。Is Information Risk a Determinant of Asset Returns?。The Journal of Finance，57(5)，2185-2221。  new window
14.馬黛、詹傑仲、胡德中(20021200)。政府干預股市的理論與實證分析：臺灣股市的護盤實例。財務金融學刊，10(3)，107-145。new window  延伸查詢new window
15.Arak, M.、Cook, R. E.(1997)。Do Daily Price Limits Act as Magnets? The case of Treasury Bond Futures。Journal of Financial Services Research，12(1)，5-20。  new window
16.Holden, Craig W.、Subrahmanyam, Avanidhar(1992)。Long-lived Private Information and Imperfect Competition。The Journal of Finance，47(1)，247-270。  new window
17.Back, Kerry、Cao, C. Henry、Willard, Gregory A.(2000)。Imperfect Competition Among Informed Traders。Journal of Finance，55(5)，2117-2155。  new window
18.Easley, David、O'Hara, Maureen(1987)。Price, trade size and information in securities markets。Journal of Financial Economics，19(1)，69-90。  new window
19.Foster, Douglas、Viswanathan, Sathish(1996)。Strategic Trading When Agents Forecast the Forecasts of Others。Journal of Finance，51(4)，1437-1478。  new window
20.Box, G. E. P.、Tiao, G. C.(1975)。Intervention analysis with applications to economic and environmental problems。Journal of the American Statistical Association，70(349)，70-79。  new window
21.Hasbrouck, Joel(1991)。Measuring the Information Content of Stock Trades。Journal of Finance，46(1)，179-207。  new window
22.Chang, Eric C.、Cheng, Joseph W.、Khorana, Ajay(2000)。An examination of herd behavior in equity markets: An international perspective。Journal of Banking and Finance，24(10)，1651-1679。  new window
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24.姚欣欣(2000)。股市穩定基金對加權股價指數日內報酬率之影響。貨幣市場，4(4)，35-41。  延伸查詢new window
25.黃仁甫、劉玉珍(1995)。台灣股市交易資訊不對稱之實證研究--VAR模型之應用。中國財務學刊，3(1)，95-117。new window  延伸查詢new window
26.Berkman, H.、Steenbeek, O. W.(1998)。The Influence of Daily Price Limits on Trading in Nikkei Futures。The Journal of Futures Markets，18(3)，265-279。  new window
27.Easley, D.、Kiefer, N.M.、O'Hara, M.(1997)。The Information Content of the Trading Process。Journal of Empirical Finance，4(2/3)，159-186。  new window
28.Fischhoff, B.(1975)。Hindsight≠Foresight: The Effect of Outcome Knowledge on Judgment under Uncertainty。Journal of Experimental Psychology: Human Perception and Performance，1，288-299。  new window
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32.Jung, S. C.、Lee, Y. G.、Thornton Jr., J. H.(2005)。An Empirical Comparison between Operations of Stabilization Funds and Stock Repurchases in Korea。Pacific-Basin Finance Journal，13(3)，319-341。  new window
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研究報告
1.劉維琪、李怡宗(1996)。穩定基金操作可行性方案之研究。  延伸查詢new window
學位論文
1.詹傑仲(2006)。國家金融安定基金的價值及其對市場的影響：界限選擇權的應用(博士論文)。國立中山大學。new window  延伸查詢new window
 
 
 
 
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