| 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 | en |
| 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 | TWN |
| 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 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95257 ) |
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