漲跌停機制與股價預測

Abstract

台股市場的漲跌停機制，使得當漲跌停發生時，無法觀察其真實價格，本文將Holder, et al. 2002及Egelkraut, et al.2007中的模型，運用至股票選擇權市場，來預測真實股票理論價格，進而比較這兩個預測模型的預測能力及準確度。最後，Holder延伸出來的股票複製法較推薦使用，其預測誤差較小且解釋力較高。

There is the rule of price limit in Taiwan stock market. When the stock price hits the limit, we can’t observe the equilibrium stock price. This study examines the models from Holder, et al. (2002) and Egelkraut, et al. (2007) in the stock option market for predicting the equilibrium stock price. Finally, the method of synthetic option is suggested, because it’s error is smaller than the method of SEA and it has higher explanatory ability relative to SEA.