1. NCCU Academic Hub
  2. 社會科學學院
  3. 應用經濟與社會發展英語碩士學位學程 (IMES)
  4. 學位論文
Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/125105
DC FieldValueLanguage
dc.contributor.advisor王信實zh_TW
dc.contributor.advisorWang, Shinn-Shyren_US
dc.contributor.author薛惠寧zh_TW
dc.contributor.authorHsueh, Hui-Ningen_US
dc.creator薛惠寧zh_TW
dc.creatorHsueh, Hui-Ningen_US
dc.date2019en_US
dc.date.accessioned2019-08-07T09:20:23Z-
dc.date.available2019-08-07T09:20:23Z-
dc.date.issued2019-08-07T09:20:23Z-
dc.identifierG0106926002en_US
dc.identifier.urihttp://nccur.lib.nccu.edu.tw/handle/140.119/125105-
dc.description碩士zh_TW
dc.description國立政治大學zh_TW
dc.description應用經濟與社會發展英語碩士學位學程(IMES)zh_TW
dc.description106926002zh_TW
dc.description.abstract無zh_TW
dc.description.abstractThe circuit breaker mechanism is primarily used as a financial monitoring tool to prevent extreme price volatility. This study explores whether after implementing the circuit breaker mechanism, the relevant policy will become more effective or will generate market panic and thus affect liquidity. Econometric analyses are used to verify the long-term and short-term impacts of a circuit breaker. The empirical results show that the liquidity has indeed decreased, but it did not exacerbate the investor`s selling behavior due to the policy implementation. Furthermore, the price drop is more severe in the short-term, while the trade volume decrease is more significant in the long-term.en_US
dc.description.tableofcontentsCHAPTER 1 INTRODUCTION 1\n1.1 Research Background 1\n1.2 Innovations and deficiencies 3\nCHAPTER 2 Literature Review 5\n2.1 The influence of the price limit mechanism 6\n2.1.1 Results of the price limits mechanism for different markets 6\n2.2 The research of the circuit breaker mechanism 8\n2.2.1 The literature from Europe and America 9\n2.2.2 The literature from China 10\n2.2.3 Review of research methods 11\nCHAPTER 3 Circuit Breaker and CSI300 13\n3.1 The mechanism and its impact on market transaction 13\n3.1.1 Cross-Market Conjunction 15\n3.1.2 Two-way fuse mechanism 15\n3.2 Background to implement the fuse mechanism 16\n3.2.1 In China 16\n3.2.2 In America 17\n3.3 CSI300 18\nCHAPTER 4 Data & Methodology 20\n4.1 Data 20\n4.2 Methodology 25\nCHAPTER 5 Regression analysis 27\n5.1 Long-term analysis 27\n5.2 Short-term analysis 32\nCHAPTER 6 Conclusion 37\n6.1 Core defect in the Chinese circuit breaker 38\n6.1.1 Two mechanisms are implemented together 38\n6.1.2 Chinese internal stock market structure 39\n6.1.3 Problems of the Chinese version of the circuit breaker 40\n6.2 Suggestions for the Future Development 43\nREFERENCES 45zh_TW
dc.format.extent1514755 bytes-
dc.format.mimetypeapplication/pdf-
dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#G0106926002en_US
dc.subject熔斷機制zh_TW
dc.subject中國股市zh_TW
dc.subjectCircuit Breakeren_US
dc.subjectChina stock marketen_US
dc.subjectMarket efficiencyen_US
dc.subjectCSI300 Indexen_US
dc.subjecttrade volumeen_US
dc.title中國股市熔斷機制對CSI300成份股的影響效果分析zh_TW
dc.titleOn the impact of China’s Circuit Breaker Mechanism on the CSI300 constituent stocksen_US
dc.typethesisen_US
dc.relation.referenceREFERENCES\n[1] Berkman, H., & Lee, J. B. T. (2002). The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange. Pacific-Basin finance journal, 10(5), 517-530.\n[2] Bollerslev,T.Generalized (1986) Autoregressive Conditional Heteroskedastic [J]. Journal of Econometrics, 31:307-327.\n[3] Boss M, Elsinger H, Summer M, et al. Network topology of the interbank market[J]. Quantitative Finance, 2004, 4 (6): 677-684.\n[4] Bindseil, U. (2013). Central Bank Collateral, Asset Fire Sales, Regulation, and Liquidity. European Central Bank Working Paper Series No.1610.\n[5] Cho, Russell, Tiao, et al. (2003)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange[J], 10(2): 133-168\n[6] Cynthia G. McDonald,David Michayluk. (2013) Suspicious trading halts[J]. Journal of Multinational Financial Management,13(3).\n[7] Du, Y., Liu, Q., & Rhee, S. G. (2006). An anatomy of the magnet effect: Evidence from the Korea Stock Exchange high-frequency data.\n[8] Engle R. (1982) Antoregressizve conditional heteroscedasticity with estimates of the Variance of UK inflation[J]. Econometrica, 50: 987-1008.\n[9] French, K. R., & Roll, R. (1986). Stock return variances: The arrival of information and the reaction of traders. Journal of financial economics, 17(1), 5-26.\n[10] Freixas, X., B. Pargi and J. C. Rochet (2000). Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank[J]. Journal of Money, Credit and Banking, 32 (3): 611-638.\n[11] Jeff Chung, Li Gan, (2005) Estimating the effect of price limits on limit-hitting days, Econometrics Journal, volume 8, 79-96\n[12] Gerety, M. S., & Mulherin, J. H. (1992). Trading halts and market activity: An analysis of volume at the open and the close. The Journal of Finance, 47(5), 1765-1784.\n[13] Greewald BC, Stein J C. (1991) Transactional Risk, Market Crash-es, and the Role of Circuit Brealers [J] .Journal of Busi-ness, 64(4): 443-462.\n[14] Goldstein, M. A., & Kavajecz, K. A. (2001). Liquidity provision during circuit breakers and extreme market movements.\n[15] Humphrey D B. (1986). Payments finality and risk of settlement failure[J]. Technology and the Regulation of Financial Markets: Securities, Futures, and Banking (Heath, Lexington), 31(3): 97-120.\n[16] Huang, Y. S., Fu, T. W., & Ke, M. C. (2001). Daily price limits and stock price behavior: evidence from the Taiwan stock exchange. International Review of Economics & Finance, 10(3), 263-288.\n\n[17] Kim Y H, Yang J J.(2004). What makes circuit breakers attractive to financial markets? A survey. Financial Markets, Institutions & Instruments, 13(3): 109-146\n[18] Lauterbach, B., & Ben‐Zion, U. (1993). Stock market crashes and the performance of circuit breakers: Empirical evidence. The Journal of Finance, 48(5), 1909-1925.\n[19] Lee, C. M., Ready, M. J., & Seguin, P. J. (1994). Volume, volatility, and New York stock exchange trading halts. The Journal of Finance, 49(1), 183-214.\n[20] Lucy F. Ackert, Bryan K. Church, Narayanan Jayaraman,( 2001). “An Experimental Study of Circuit Breakers: The Effect of Mandated Market Closures and Temporary Halts on Market Behavior,” Journal of Financial Markets, Vol. 4, No. 2, pp.185-208\n[21] Minoiu C, Reyes J A. (2013). A network analysis of global banking: 1987-2010[J]. Journal of Financial Stability, 9(2): 168-184.\n[22] Santoni, G. J., & Liu, T. (1993). Circuit breakers and stock market volatility. The Journal of Futures Markets (1986-1998), 13(3), 261.\n[23] Shane A. Corwin, Marc L. Lipson ( 2000). “Order Flow and Liquidity around NYSE Trading Halts,” The Journal of Finance, pp.1771-1805.\n[24] Souma W, Fujiwara Y, Aoyama H. (2003). Complex networks and economics[J]. Physica A: Statistical Mechanics and its Applications, 324(1): 396-401.\n[25] Wang, C. F., Yao, N., Fang, Z. M., & Li, Y. (2008). An empirical research on jump behavior of realized volatility in Chinese stock markets. Systems Engineering, 2, 1-6.\n[26] Xiaobo, S., & Fen, Z. (2014). The International Experience and System Reconstruction of Cross-market Supervision on Stock Index Futures Market and Stock Spot Market——Reflection based on the Event of Dramatic Spike in Stock Indexes on 16th August Leaded by Everbright Securities [J]. Shanghai Finance, 3.\n[27] Yeh C H, Yang C Y (2013). Do price limits hurt the market? Journal of Economic Interaction and Coordination, 1-2zh_TW
dc.identifier.doi10.6814/NCCU201900491en_US
item.fulltextWith Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_46ec-
item.cerifentitytypePublications-
item.grantfulltextopen-
item.openairetypethesis-
Appears in Collections:學位論文
Files in This Item:
File SizeFormat
600201.pdf1.48 MBAdobe PDF2View/Open
Show simple item record

Google ScholarTM

Check

Altmetric

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.