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題名：2008年金融風暴臺股限制放空價格對市場穩定及從眾程度影響之研究
書刊名：臺灣企業績效學刊
作者：鄧瀛培／劉亞秋 引用關係／薛立言 引用關係
作者(外文)：Teng, Albert I.／Liu, Angela Y.／Hsueh, Paul L.
出版日期：2012
卷期：6:1
頁次：頁79-107
主題關鍵詞：放空限制；異常報酬；從眾效應；價格波動；Short sales；Abnormal return；Herding behavior；Volatility
原始連結：連回原系統網址new window
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  • 共同引用共同引用:55
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2008年的金融風暴突顯金融監理的疏失與規範的不足，會使得單一市場的流動性危機擴大成為全球性的災難，因此強化管理機制與適時推出有效的應急措施或許是維持市場穩定的必要之惡。而台股在此期間即曾恢復限價放空作為護盤措施之一，且達71個交易日之久，本研究冀望探討其學理基礎及政策成效。透過「事件研究法」計算異常報酬的變化，驗證其對穩定價格的效益。再從投資決策的行為構面，分析市場從眾程度的消長，探討其對恢復投資信心的成果。實證發現：恢復限制使得平均異常報酬從宣布恢復的前一日到後兩日都轉為正值，突顯市場良好的訊息傳播能力。而解除限制的前後期間，異常報酬都接近於零，並未造成太大的空頭賣壓。至於台股市場的急跌顯與從眾有關，並且存在齊漲略高於齊跌的現象。所以台股運用限價放空護盤，對於緩解從眾現象、抑制殺跌賣壓確實獲得成效。亦因此對於實務上無法遏止的投機及從眾行為，此項措施仍有存在的必要。
It is widely believed that appropriate management mechanisms and effective emergency measures may be a necessary evil to resume the market stability. Short-sale price limits were adopted to support the market stability in Taiwan stock market during 2008 financial storm. This study attempts to clarify the theoretical basis and the effectiveness of such measures. By calculating the changes of abnormal returns and measuring the market herding indicators, we find evidence that the imposition of price limits results in positive average abnormal returns during the 3-day event window of (-1 to +2). The limit lifting, on the other hand, does not seem to cause severe short selling pressure. We also show that the herding behavior is indeed prevalent and much more significant during the bull market than in the bear market. Fortunately, price limits can be an effective tool for the mitigation of such herding phenomenon.
期刊論文
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會議論文
1.黃健銘、蘇欣玫、張惠雅(2009)。漲跌幅制度差異對期貨市場效率性之影響。2009年金融創新與科技整合學術研討會。  延伸查詢new window
研究報告
1.謝明瑞(200604)。展望理論之探討。new window  延伸查詢new window
2.Cipriani, M.、Guarino, A.(2012)。Estimating a structural model of herd behavior in financial markets。International Monetary Fund。  new window
3.Lamont, O. A.(2004)。Short sale constraints and overpricing。  new window
4.劉憶如(2004)。外資在台灣證券交易市場角色之研究。  延伸查詢new window
學位論文
1.吳立渝(2009)。金融危機與跨國從眾行為(碩士論文)。國立政治大學。  延伸查詢new window
2.陳志宏(2007)。台灣股市從眾行為之分析(碩士論文)。國立中山大學。  延伸查詢new window
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5.魏如鋒(2009)。金融海嘯前後股票市場從眾行為的變化--以亞太六國為例(碩士論文)。嶺東科技大學。  延伸查詢new window
圖書
1.Keynes, John M.(1936)。The General Theory of Employment, Interest, and Money。London, UK：A Harbinger Book：Palgrave Macmillan。  new window
2.高鐵梅、王金明、梁雲芳、劉玉紅(2009)。計量經濟分析方法與建模：EViews應用及實例。北京：清華大學出版社。  延伸查詢new window
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其他
1.Chancellor, E.(20011102)。A short history of the bear。  new window
 
 
 
 
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