1. NCCU Academic Hub
  2. Publications
  3. College of Social Science
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

Title臺灣股票市場漲跌幅度限制對股價穩定效果之研究--失衡模型之應用
The Research of Taiwan Stock Market Price Control Stablizing Effect--The Application of Disequilibrium Model
Creator唐正杰
Tang, Cheng Chieh
Contributor林祖嘉
Lin, Chu Chia Steven
唐正杰
Tang, Cheng Chieh
Key Words漲跌幅
股價
失衡
Tobit
Rational
Expectation
Date1993
Date Issued29-Apr-2016 16:30:24 (UTC+8)
Summary本文主要是探討在股票單日漲跌幅限制下市場非恆久性失衡體系的一些經
參考文獻 [1]財團法人中華民國證券發展基金會(民國七十七年十一月)，”股價漲跌幅限制對股市市場機能影響之研究。
     [2]吳學基(民國七十五年六月)，”限制漲跌幅度影響後續股價之實證研究，國立政治大學企業管理研究所碩士論文。
     [3]李又剛(民國七十八年)，”股價長跌幅措施下的我國股市與美、日、港三國股市之比較”，臺北市銀月刊，第二十卷，第一期。
     [4]丁誌(民國七十八年五月)，”股價漲跌限幅緊縮對我國股市的影響”，私立淡江大學管理科學研究所經濟組碩士論文。
     [5]王慕軍(民國七十八年六月)，”漲跌幅限製調整對穩定股價之評估”，國立臺灣大學商學研究所碩士論文。
     [6]鄧鎧(民國八十年二月)，“張跌幅設限對股價變動率影響之研究”，私立轉仁大學管理學研究所碩士論文。
     
     
     
     
     
     
     [1] Chanda A.K. and G.S .Maddala ` "Methods of estimation for models
     of markets with bounded price variation under rational expections
     " `Economics Letters` 1983 ` 47 ` 181-184.
     [2] Stephten G.Donalod and G.S.Maddala ` "A note on the estimation
     of limited dependent variable models under rational expectations"
     , Economics Letters` 1992 ` , 17-23.
     [3] R.C.Fair and D.M.Jaffee ` "Methods of estimation for markets in
     disequilibrium" , Econometrica` 1972 ` 40 ` 497-514.
     [4] R.C.Fair and J .B.Taylor ` "Solution and maximum likelihood estimation
     of dynamic non-linear rational expectations models" , Econometrica
     ` 1983 ` 53 ` 1169-1185.
     [5] M. T .Holt ` "Bounded price variation models with rational expectations
     and price risk" , Economics Leiters` 1989 ` 31 ` 313-317.
     [6] M.T.Holt and S.R.Johnson ` "Bounded price variation and rat.ional
     expections in an endogenous switching model of the U.S. corn market
     " , Review of Economics and Statistics` 1989 ` 71 ` 605-613.
     [7] G.S.Maddala` "Methods of estimation for models of markets with
     bounded price variation" , International Economic Review` 1983 ` 2
     , 361-378.
     [8] G.S.Maddala` "Limited dependent variables in econometrics" ,
     Cambridge University , Pl`ess ` Cambridge ` 1983.
     [9] G.S.Maddala and F.D.Nelson ` "Maximum likelihood methods for
     models of markets in a disequilibrium" , Econometrica , 1976 ` 42 `
     1013-1030.
     [10] M.Hashem Pesaran and Hossein Samiei ` "Estimating limiteddependent
     rational expectations models with an application to exchange
     rate determination in a target zone" , Journal of Econometrics ` 1992
     , 53 ` 141-163.
     [11] R.N.Rosett and F.D.Nelson ` "Estimation of the two-limit probit
     regression model" , Econometrica` 1975 ` , 141-146.
     [12J J.S.Shonkwiler and R.D.Emerson ` "Imports and supply of winter
     tomatoes : An application of rational expectations" , American
     Journal of Agriculture Economics, 1982 ` 64 ` 634-641.
     [13J J .S.Shonkwiler and G.S.Maddala ` "Modelling expectation of
     bounded prices : An application to the market for corn" , Review of
     Economics and Statistics` 1985 ` 67 ` 634-641.
     [14J J.Tobin ` "Estimation of relationship for limited dependent variables"
     , Econometrica ` 1958 ` 26 ` 24-36.
     [15] Kenneth F.Wallis ` "Econometrics implications of the rational expectations
     hypothesis" , Econometrica` 1980 ` 48 ` 49-74.
Description碩士
國立政治大學
經濟學系
G80258011
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004222
Typethesis
dc.contributor.advisor 林祖嘉zh_TW
dc.contributor.advisor Lin, Chu Chia Stevenen_US
dc.contributor.author (Authors) 唐正杰zh_TW
dc.contributor.author (Authors) Tang, Cheng Chiehen_US
dc.creator (作者) 唐正杰zh_TW
dc.creator (作者) Tang, Cheng Chiehen_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:30:24 (UTC+8)-
dc.date.available 29-Apr-2016 16:30:24 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:30:24 (UTC+8)-
dc.identifier (Other Identifiers) B2002004222en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88688-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) G80258011zh_TW
dc.description.abstract (摘要) 本文主要是探討在股票單日漲跌幅限制下市場非恆久性失衡體系的一些經zh_TW
dc.description.tableofcontents 第一章 緒論 2
      第一節 研究背景‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 2
      第二節 研究動機與目的‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 3
      第三節 論文結構‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 4
     第二章 文獻回顧 5
      第一節 國內相關文獻‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 5
      第二節 國外相關文獻‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 7
     第三章 理性預期基礎下之價格管制理論模型 9
      第一節 理論模型架構‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 9
      第二節 比較靜態分析‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧17
      第三節 實證模型與估計方法‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧20
     第四章 理性預期基礎下價格管制模型之實證分析 23
      第一節 資料來源‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 23
      第二節 估計參數分析‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 23
      第三節 估計值變動差分析‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 26
     第五章 結論 28
      第一節 經濟含義及政策性建議‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 28
      第二節 本文之限制、缺失及未來研究方向‧‧‧‧‧‧‧‧‧‧‧‧ 29
      附表‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 31
      附圖‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 59		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004222en_US
dc.subject (關鍵詞) 漲跌幅zh_TW
dc.subject (關鍵詞) 股價zh_TW
dc.subject (關鍵詞) 失衡zh_TW
dc.subject (關鍵詞) Tobiten_US
dc.subject (關鍵詞) Rationalen_US
dc.subject (關鍵詞) Expectationen_US
dc.title (題名) 臺灣股票市場漲跌幅度限制對股價穩定效果之研究--失衡模型之應用zh_TW
dc.title (題名) The Research of Taiwan Stock Market Price Control Stablizing Effect--The Application of Disequilibrium Modelen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [1]財團法人中華民國證券發展基金會(民國七十七年十一月)，”股價漲跌幅限制對股市市場機能影響之研究。
     [2]吳學基(民國七十五年六月)，”限制漲跌幅度影響後續股價之實證研究，國立政治大學企業管理研究所碩士論文。
     [3]李又剛(民國七十八年)，”股價長跌幅措施下的我國股市與美、日、港三國股市之比較”，臺北市銀月刊，第二十卷，第一期。
     [4]丁誌(民國七十八年五月)，”股價漲跌限幅緊縮對我國股市的影響”，私立淡江大學管理科學研究所經濟組碩士論文。
     [5]王慕軍(民國七十八年六月)，”漲跌幅限製調整對穩定股價之評估”，國立臺灣大學商學研究所碩士論文。
     [6]鄧鎧(民國八十年二月)，“張跌幅設限對股價變動率影響之研究”，私立轉仁大學管理學研究所碩士論文。
     
     
     
     
     
     
     [1] Chanda A.K. and G.S .Maddala ` "Methods of estimation for models
     of markets with bounded price variation under rational expections
     " `Economics Letters` 1983 ` 47 ` 181-184.
     [2] Stephten G.Donalod and G.S.Maddala ` "A note on the estimation
     of limited dependent variable models under rational expectations"
     , Economics Letters` 1992 ` , 17-23.
     [3] R.C.Fair and D.M.Jaffee ` "Methods of estimation for markets in
     disequilibrium" , Econometrica` 1972 ` 40 ` 497-514.
     [4] R.C.Fair and J .B.Taylor ` "Solution and maximum likelihood estimation
     of dynamic non-linear rational expectations models" , Econometrica
     ` 1983 ` 53 ` 1169-1185.
     [5] M. T .Holt ` "Bounded price variation models with rational expectations
     and price risk" , Economics Leiters` 1989 ` 31 ` 313-317.
     [6] M.T.Holt and S.R.Johnson ` "Bounded price variation and rat.ional
     expections in an endogenous switching model of the U.S. corn market
     " , Review of Economics and Statistics` 1989 ` 71 ` 605-613.
     [7] G.S.Maddala` "Methods of estimation for models of markets with
     bounded price variation" , International Economic Review` 1983 ` 2
     , 361-378.
     [8] G.S.Maddala` "Limited dependent variables in econometrics" ,
     Cambridge University , Pl`ess ` Cambridge ` 1983.
     [9] G.S.Maddala and F.D.Nelson ` "Maximum likelihood methods for
     models of markets in a disequilibrium" , Econometrica , 1976 ` 42 `
     1013-1030.
     [10] M.Hashem Pesaran and Hossein Samiei ` "Estimating limiteddependent
     rational expectations models with an application to exchange
     rate determination in a target zone" , Journal of Econometrics ` 1992
     , 53 ` 141-163.
     [11] R.N.Rosett and F.D.Nelson ` "Estimation of the two-limit probit
     regression model" , Econometrica` 1975 ` , 141-146.
     [12J J.S.Shonkwiler and R.D.Emerson ` "Imports and supply of winter
     tomatoes : An application of rational expectations" , American
     Journal of Agriculture Economics, 1982 ` 64 ` 634-641.
     [13J J .S.Shonkwiler and G.S.Maddala ` "Modelling expectation of
     bounded prices : An application to the market for corn" , Review of
     Economics and Statistics` 1985 ` 67 ` 634-641.
     [14J J.Tobin ` "Estimation of relationship for limited dependent variables"
     , Econometrica ` 1958 ` 26 ` 24-36.
     [15] Kenneth F.Wallis ` "Econometrics implications of the rational expectations
     hypothesis" , Econometrica` 1980 ` 48 ` 49-74.		zh_TW