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Student Number 91438001
Author Ju-feng Ko(柯如鳳)
Author's Email Address No Public.
Statistics This thesis had been viewed 1614 times. Download 957 times.
Department Executive Master of Finance Management
Year 2006
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title The Impacts of Permitting Short Sale under Last Trade Price of Taiwan 50 Index Constituents on Market Quality
Date of Defense 2007-07-03
Page Count 30
Keyword
  • market quality
  • short sale below the last closing price
  • Taiwan 50 Index
  • Abstract The authorities waived the restriction of short sale below the last closing price for the compositions of Taiwan 50 Index on May 16, 2007. We try to analyze the effects of waiving restriction by testing the characteristics of volatility, liquidity, and pricing error. After waiving, the volatilities are significantly becoming heavier for the whole samples and the sub-groups of financial sector or with larger market capital. The liquidities are becoming better for the whole samples and all sub-groups no matter what kind of grouping, in which the whole samples and sub-groups of IT sector or with larger market capital are with 99% significance levels. For pricing error, the market prices of the whole samples and the sub-groups classified by market capital had reflected public information enough. After waiving, the whole samples and the sub-groups of IT sector or with smaller market capital have significantly over reflected the public information.
    Table of Content 中文摘要         i
    英文摘要         ii
    圖目錄         iv
    表目錄         iv
    一、緒論         1
    1-1 研究背景與動機1
    1-2 研究目的     3
    1-3 放空交易制度之探討4
    1-3-1 臺灣     4
    1-3-2 美國     7
    1-3-3 日本     8
    1-4 研究架構    10
    二、文獻探討    11
    2-1 國內文獻    11
    2-2 國外文獻    12
    三、研究方法    15
    3-1 資料來源、處理及限制15
    3-2 研究設計     15
    3-2-1 波動性   16
    3-2-2 流動性    16
    3-2-3 訂價誤差   17
    3-2-4 符號等級檢定法17
    四、實證結果19
    4-1 基本統計資料19
    4-2  實證結果21
    4-2-1 波動性21
    4-2-2 流動性23
    4-2-3 訂價誤差25
    五、結論與建議27
    5-1 結論 27
    5-2 研究建議28
    參考文獻     29
    Reference (1)王林弘,「平盤以下不得放空政策對台灣股市報酬分配之影響」,臺灣大學財務金融學研究所碩士論文,2005年。
    (2)王儷容、鄭思因,「我國證券市場信用交易制度之檢討」,中華經濟研究院,2001年。
    (3)馬思慧,「開放臺灣50指數成分股平盤以下融券交易對股票市場報酬率、波動度與週轉率之影響」,銘傳大學財務金融學系碩士班論文,2006年。
    (4)張錦泓,「平盤以下不得融券政策對大型公司影響之研究-宣告效果與政策效果」,靜宜大學會計學系研究所碩士論文,2001年。
    (5)詹孟書,「開放資券相抵與平盤下限制融券對股市之影響」,金融研究所碩士論文,2001年。
    (6)潘硯雪,「台灣50指數ETF上市對市場品質影響之研究」,雲林科技大學財務金融系碩士班論文,2003年。
    (7)謝儀蓁,「單樣本問題之無母數方法」,中原大學應用數學研究所碩士論文,2002年。
    (8)詹場, 胡星陽,(綜論)「流動性衡量方法之綜合評論」,國立高雄第一科技大學財務管理系,國立臺灣大學財務金融學系,國家科學委員會研究季刊,人文及社會科學, 十一卷三期,205-221,2000年。
    (9)Alexander, Gordon J. and Mark A. Peterson, 1999, Short selling on the New York Stock Exchange and the effects of the uptick rule. Journal of Financial Intermediation 8, 90-116.
    (10)Alexander, Gordon J. and Mark A. Peterson, 2006, (How) Do Price Tests Affect Short Selling? Working paper, University of Minnesota.
    (11)Cochrane, J.H., 1988. How big is the random walk in GNP? Journal of Political Economics 96, 893–920.
    (12)Diether, Karl, Kuan Hui Lee, and Ingrid Werner, 2006, It’s SHO Time! Short-Sale Price-Tests and Market Quality. Working paper, Ohio State University.
    (13)Jones, Charles M., 2003, Shorting restrictions, liquidity and returns. Working paper, Columbia University.
    (14)Lee, Jie-Haun and Chou, Robin K.,2004, The intraday stock return characteristics surrounding price limit hits, Journal of Multinational Financial Management 14, 485-501.
    (15)Lo, A.W., MacKinlay, A.C., 1989. The size and power of the variance ratio test in finite samples: a Monte Carlo investigation. Journal of Econometrics 40, 203–238.
    (16)Martin, P., 1975. Analysis of the impact of competitive rates on the liquidity of NYSE stocks. Economic Staff Paper 75-3. Securities and Exchange Commission.
    (17)Securities and Exchange Commission, 2007, Economic Analysis of the Short Sale Price Restrictions Under the Regulation SHO Pilot .
    (18)Wu, J. Julie, 2006, Uptick rule, short selling and price efficiency, working paper, Texas A& M University.
    Advisor
  • Robin K Chou(周冠男)
  • Pin-Huang Chou(周賓凰)
  • Files
  • 91438001.pdf
  • approve immediately
    Date of Submission 2007-07-11

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