漲跌停下選擇權所隱含的訊息:台灣股票之實證研究

Abstract

由於台灣股票市場有漲跌幅限制，導致漲跌停時無法觀察到真正的理論價格。本文將(Holder, Ma et al. 2002)的模型運用在股票市場上，計算出跌停時的理論收盤價，並將此價格視為隔日開盤價的不偏估計。經過檢定我們發現，當收盤為跌停且成交量越大的股票越不會拒絕不偏性的假說。

Due to the rule of price limit in Taiwan stock market, we can’t observe the theoretical true stock price while closing price is hitting price limit. This study used (Holder, Ma et al. 2002) the model in stock market in order to find the theoretical true stock price. We used the theoretical true stock price as an unbiased predictor of opening price of following trading day. The results of testing unbiasedness hypothesis show that the stock whose volume is bigger in event days, the theoretical price provides sufficient and unbiased information regarding the observed stocks price.