题名

影響台灣股市日內股價變動因素之探討

并列篇名

Investigating the Underlying Factors Affecting Intradaily Price Change Behavior on the Taiwan Stock Exchange

DOI

10.6160/2004.03.06

作者

江明憲(Min-Hsien Chiang)；鄭淯隆(Yu-Lung Cheng)

关键词
期刊名称

中山管理評論

卷期/出版年月

12卷1期（2004 / 03 / 01）

页次

173 - 193

内容语文

繁體中文
中文摘要

本研究主要探討台灣股票市場中影響日內股價變動之因素。研究顯示交易時距的確是一非常重要的資訊因子。另外，成交次數愈多，會降低交易成本，導致價格變動情形會變小。當股價呈現下降時，若買單出現時，短期問投資者心理會受到影響，而發生短期交易反轉的現象，使得負向資訊的反應變得較為長久。在相對較大的交易量時，價格變動會變小。
英文摘要

This paper investigates factors affecting intradaily price change path on the Taiwan Stock Exchange. Empirical evidence shows that the time between trades represents a crucial role regarding the information contents implicit in the trades. In addition, the larger the number of trades between two different prices, the lower the price change. Meanwhile, the seller-initiated order causes stock price to take much longer time to react to underlying information during the downward trend. Also, the price change decreases when a relatively large order size arrives.
主题分类 社會科學 > 管理學
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被引用次数
  1. 蔡侑達、陳瑞璽、洪碧霞(2015)。公開資訊觀測站訊息如何影響股票報酬?臺灣股票市場日內及日間資料分析。證券市場發展季刊，27(2)，125-184。
  2. 闕河士、菅瑞昌、王健聰(2009)。交易持續時間與交易價格衝擊之關係。管理與系統，16(4)，533-554。
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