| DC 欄位 |
值 |
語言 |
| DC.contributor | 財務金融學系 | zh_TW |
| DC.creator | 邱正偉 | zh_TW |
| DC.creator | Aspirin Chiu | en_US |
| dc.date.accessioned | 2002-7-11T07:39:07Z | |
| dc.date.available | 2002-7-11T07:39:07Z | |
| dc.date.issued | 2002 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=89425021 | |
| dc.contributor.department | 財務金融學系 | zh_TW |
| DC.description | 國立中央大學 | zh_TW |
| DC.description | National Central University | en_US |
| dc.description.abstract | 本論文研究在價格限制下，是否能夠有效地控制過度反應所帶來的影響，以及驗證價格限制所形成的三個假說，波動性外溢假說、延遲價格發現假說及阻礙交易假說，本研究利用DHS的過度反應模型加上價格限制之後，導出一個在價格限制之下過度反應的新模型，並以模擬分析來探討在各種情況下，過度反應的情形以及價格限制的功效。
本研究認為，價格限制只能降低期初的波動性，若要降低整體的波動性，則需要犧牲市場交易上的流動性才行，所以整體來說，價格限制的必要性還是值得商確，價格限制並不是一項完美的工具，若想要市場恢復效率性及減少整個市場的波動性，則需要有完善及健全的經濟體系，才能使投資人循正當途徑來進行投資，使市場達到供需正常的狀態，恢復市場上的效率性及減低市場的波動性。 | zh_TW |
| dc.description.abstract | Empirical securities markets research in the last three decades has presented a body of evidence with systematic patterns that are not easy to explain with rational asset pricing models. Some studies conclude that the market underreacts to information, and others find evidence of overreaction. Daniel, Hirshleifer, and Subrahmanyam (1998) develop a theory based on investor overreaction and on changes in confidence resulting from biased self-attribution of investment outcomes.
This paper uses the same model of overreaction but we take the model under price limits. We use simulation with different levels of overconfidence and price limit to see the changes of volatility and the efficiency of price limits. We show that price limits will increase the total volatility of stock return and reduce the trading liquidity of stock market. So we suggest that price limits may be useless. | en_US |
| DC.subject | 過度反應 | zh_TW |
| DC.subject | 價格限制 | zh_TW |
| DC.subject | 模擬分析 | zh_TW |
| DC.subject | 波動性 | zh_TW |
| DC.subject | Overreaction | en_US |
| DC.subject | Price limits | en_US |
| DC.subject | Simulation | en_US |
| DC.subject | Volatili | en_US |
| DC.title | 過度自信下漲跌幅限制之效果 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.title | Effectiveness of price limits in the presence of overconfident investors | en_US |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |