過去以價格限制作為主題所做的研究，在無法同時取得有價格限制與沒有價格限制下的商品價格的情況下來討論。本文是採用Holder, Ma and Mallett（2002）的模型，以模擬的選擇權來複製出股票市場漲跌停限制的情況，先推估出股票在沒有價格限制市場中的價格；再以事件研究法的方式來探討漲跌停限制對台灣股票市場價格波動的影響。結果發現無論是用歷史波動性或是隱含波動性所模擬出的理論價格都顯示台灣的股票市場有過度反應的情形存在，而證交所所設定的7％漲跌停上下限能加快股票價格收斂的速度，讓股價更快達到均衡，降低股市波動的幅度。 The researches concerned with price limit were restricted within it is not possible to observe the price under and without under price limit simultaneously in the past. This researches import the model used by Holder, Ma and Mallett (2002). The procedure is developed to unbundled the unobservable option values imbedded in the actual stock price and impute a theoretical true stock price. Then we confer the influence of price limit upon the stock trade in Taiwan Security Exchange by event study. We conclude that there is overreaction in the Taiwan market. The 7 percent price limit regulated by Taiwan security Exchange will improve the convergence of price, and reduce the volatility of Taiwan stock market.
