题名

政府政策與制度的改變對台灣股市波動性之影響…ARJI-Trend模型之應用

并列篇名

The Impact of Government's Policies and Systems on the Volatilities of Stock Market Return in Taiwan

作者

林惠娜(Hui-Na Lin)；姜淑美(Shu-Mei Chiang)；陳坤宏(Kun-Hong Chen)

关键词

ARJI-Trend模型 ； 漲跌幅限制 ； 法人交易比例 ； 信用交易制度 ； 股市交易時間 ； ARJI-Trend model ； Price limits ； Organization's trading proportion ； Margin regulation ； Trading Time

期刊名称

企業管理學報

卷期/出版年月

68期（2006 / 03 / 01）

页次

133 - 158

内容语文

繁體中文
中文摘要

本研究結合Engle and Lee (1993)的要素模型及Chan and Maheu (2002)的ARJI模型發展出所謂的ARJI-Trend模式，運用此模式估計條件變異數的恆常與移轉部份及跳躍機率與跳躍頻率是否能正確地捕捉政府的股市政策與制度對股市波動性的影響，並評論政府政策與制度的有效性。實證結論發現：在極短期內，漲跌幅的限制應有降低波動性的效果；長期而言，漲跌幅的限制是無效的。擴大法人交易比例有助於改變投資的觀念，但無助於降低股市的波動性。調整信用交易制度之效果有限，無法達到預期的效果。延長交易時間將使股市波動性增加並使投資人的交易行為產生變化。
英文摘要

The study employs ARJI-Trend model inferred from the component model of Engle and Lee (1993) coupling with ARJI model of Chan and Maheu (2002) to estimate the permanent and transitory components of conditional variance as well as jump frequency and jump probability. The estimations are applied to capture the effects of government's policies and systems on the volatilities of stock return in Taiwan; further, the comments are opposed to judge the effectiveness of the government's policies. The results indicate that the price limits can decrease the volatilities of the stock return in the short-run; however, it is ineffective in the long term. Augmenting the organization's trading proportion will facilitate the change of investor's ideas and decrease the volatility of the stock return and turnover rate of the market. The effectiveness of adjusting the margin regulation is limit, and the expected effect is unable to reach. The policy of extending the trading time will increase the volatility of stock return and change investor's trading behaviors.
主题分类 社會科學 > 經濟學
社會科學 > 管理學
参考文献
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被引用次数
  1. 葉瓊芬(2016)。放寬漲跌幅對台股波動率之影響。淡江大學財務金融學系碩士在職專班學位論文。2016。1-90。 
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