教師資料查詢 | 類別: 會議論文 | 教師: 鍾惠民 HUIMIN CHUNG (瀏覽個人網頁)

標題:New Evidence on Price Limit Performance from Options Market
學年89
學期2
發表日期2001/06/01
作品名稱New Evidence on Price Limit Performance from Options Market
作品名稱(其他語言)
著者Chung, Hui-Min
作品所屬單位淡江大學財務金融學系
出版者
會議名稱2001年財務金融學術暨實務研討會=Annual Research Conference in Finance and Financial Market in the 21st Century
會議地點臺北縣, 臺灣
摘要Previous studies on the effectiveness of price limits suffer from theproblem of being unable to observe the true asset price in the absenceof price limit. This paper employs a new approach to investigate theeffectiveness of the price limit regulation rules by using data of theTaiwan derivatives warrants, which are more flexible to reflectunderlying asset's "true" value when the underlying asset price hitsthe limits. We examine whether options provide price discoveryfunction for the opening price of the next trading day after alimit-lock day. Our empirical results show that option market providesuseful price discovery information for the cases that underlying assetprices hit the upper limits. The results are especially significantfor warrants issued by high credit rating financial institutes. Pricelimit regulation rules help to stabilize the market during periods ofextreme downward market movements.
關鍵字選擇權市場;漲跌幅;價格發現;市場績效;台灣;Option Market;Price Limit;Price Discovery;Market Performance;Taiwan
語言英文
收錄於
會議性質國內
校內研討會地點淡水校園
研討會時間20010601~20010602
通訊作者
國別中華民國
公開徵稿Y
出版型式電子
出處2001年財務金融學術暨實務研討會論文集=Proceedings of the Annual Research Conference in Finance and Financial Market in the 21st Century
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!