國內文獻
林丙輝、葉仕國，1998，台灣金融市場跳躍—擴散利率模型之實證研究，中國財務學刊, 6, pp.77-106。
吳壽山、周賓凰，1996，衡量漲跌幅限制對股票報酬與風險之影響，證券市場發展季刊 第八卷第一期
周賓凰、吳壽山，1998，漲跌幅限制之再探討，中國財務學刊, 6, pp.19-48。
胡星陽、梁敏芳，1995，漲跌幅限制與台灣股票市場波動，證券發展季刊, 7, pp.1-24。
馬黛，1995，異常交易監視制度與股價行為關係之實證研究, Journal of Financial Studies, July。
黃彥聖、姜清海，1999，漲跌幅限制下均衡價格的估計與過度反應假說之檢定，Journal of Financial Studies 7, 27-59.
葉仕國、林丙輝，1999，台灣股票價格非連續跳躍變動之研究，證券市場發展季刊,第十 一卷第一期，pp.61-92。
葉銀華、鄭文選，“監視制度對平均數復歸與報酬波動性影響之研究”，中國財務學刊, 6, 1998, pp.65-97。
國外文獻
Bacidore, J. Michael and Marc L. Lipson, 2001, The Effects of Opening and Closing Procedures on the NYSE and Nasdaq, FEN CapMkts-Micro WPS 4.
Ball, C.A. and W.N. Torous, 1983, A Simplified Jump Process for Common Stock Returns, Journal of Financial and Quantitative Analysis, 18, 53-63.
Brennan, Michael J., 1986, A theory of price limits in futures markets, Journal of Financial Economics 16, 213-233.
Brown, David P., and Robert H. Jennings, 1989, On technical analysis, Review of Financial Studies 2, 527-552.
Chan, Soon Huat, Kenneth A. Kim, S. Ghon Rhee, 2005, Price limit performance: evidence from transactions data and the limit order book, Journal of Empirical Finance 12, 269–
290
Chen, Y.M., 1993, Price limits and stock market volatility in Taiwan, Pacific Basin Finance Journal 1, 139-153.
Chiang, R. and K. C. Wei, 1993, Estimation of Volatility Under Price Limits, Working paper, University of Miami.
Cho, David D. - Russell, Jeffrey - Tiao, George C. - Tsay, Ruey, 2003, The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange, Journal of Empirical Finance , February, 133-168.
Chou, P.-H., 1997, A Gibbs Sampling Approach to the Estimation of Linear Regression Models under Daily Price Limits, Pacific-Basin Finance Journal, 5, 39-62.
Christie, William G., Shane A. Corwin and Jeffrey H. Harris, 2000, Et tu, Brute?: The Role and Impact of Trading Halts in the Nasdaq Stock Market, Working Paper, Vanderbilt University, University of Notre Dame, College of Business and University of Delaware Department of Finance.
Christie, William G., Shane A. Corwin, and Jeffrey H. Harris, 2002, Nasdaq trading halts: The impact of market mechanisms on prices, trading activity, and execution costs, Journal of Finance 57, 1443-1478.
Corwin, Shane A., and Marc L. Lipson, 2000, Order flow and liquidity around NYSE trading halts, Journal of Finance 55, 1771-1801.
Coursey, Don L., and Edward A. Dyl, 1990, Price limits, trading suspensions, and the adjustment of prices to new information, Review of Futures Markets 9, 343-360.
DRI Financial Information Group Study Series.
Drost, F. C. and B. J. M. Werker, 1996, Closing the GARCH Gap: Continuous Time GARCH Modeling, Journal of Econometrics, 74, 31-57.
Drost, F. C., T. E. Nijman and B. J. M. Werker, 1998, Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity, Journal of Business &
Economic Statistics, 16, 237-243.
Duque, J. and Ana Rita Fazenda , 2002, Evaluating Market Supervision Through an Overview of Trading-Halt in the Portuguese Stock Market, Working Paper, Technical University of Lisbon, Comissao do Mercado de Valores Mobiliarios.
Economides,N., Schwartz, R.A1993, Electronic call market trading, Working paper, Fama, Eugene F., 1989, Perspectives on October 1987, or What did we learn from the crash?,
in Robert W. Kamphuis, Jr., Roger C. Kormendi, and J. W. Henry Watson (Eds.), Black Monday and the future of the financial markets, Irwin, Homewood, Ill, 71-82.
Ferris, Stephen P., Raman Kumar, and Glenn A. Wolfe, 1992, The effect of SEC-ordered suspensions on returns, volatility, and trading volume, Financial Review 27, 1-34.
Foster and Viswanathan, 1993, The Effect of Public Information and Competition on Trading Volume and Price Volatility, Review of Financial Studies 6, No.1, 23-56
Goldman, M. Barry, and Howard B. Sosin, 1979, Information dissemination, market efficiency and the frequency of transactions, Journal of Financial Economics 7, 29-61.
Greenwald, Bruce C., and Jeremy C. Stein, 1988, The task force report: The reasoning behind the recommendations, Journal of Economic Perspectives 2, 3-23.
Greenwald, Bruce C., and Jeremy C. Stein, 1991, Transactional risk, market crashes, and the role of circuit breakers, Journal of Business 64, 443-462.
Grundy, Bruce, and Maureen McNichols, 1989, Trade and revelation of information through
Holden, C., and A. Subrahmanyam, 1992, Long-lived private information and imperfect competition, Journal of Finance 47, 247-270
Hopewell, M.H, and A. L. Schwartz, Jr., 1978, Temporary trading suspensions in individual NYSE securities, Journal of Finance 33, 1355-l 373
Howe, J.S.and G.G. Schlarbaum, 1986, SEC trading suspensions: Empirical evidence, Journal of Financial and Quantitative Analysis 21, 323-333.
Hui, B., Heubel, B., 1984, Comparative Liquidity Advantage among Major US Stock Market, Jarrow, R.A. and E.R. Rosenfeld, 1984, Jump Risks and the Intertemporal Capital Asset
Pricing Model, Journal of Business, 26, 337-351.
Jorion, P. (1988), “On Jump Processes in the Foreign Exchange and Stock Markets”, Review of Financial Studies, Vol. 1, No. 4, pp. 427-445.
Kadlec, G. B. and M. P. Douglas, 1999, A Transactions Data Analysis of Nonsynchronous Trading, The Review of Financial Studies, 12, 609-630.
Kalay, Avner , Li Wei and Avi Wohl , 2002, Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange, The Journal of Finance, Vol. 57, 523-54.
Kim K. A. and Limpaphayom P., 2000, Characteristics of Stocks that Frequently Hit Price Limits: Empirical Evidence from Taiwan and Thailand, Journal of Financial Markets 3.
Kim Kenneth A., and Ghon Rhee, 1997, Price limit performance: Evidence from the Tokyo Stock Exchange, Journal of Finance 52, 885-901.
Kim, Y. H., Jos Yag Guirao and Jrming Jimmy Yang, 2003, The Relative Performance Between Trading Halts and Price Limits: Spanish Evidence, working paper, University of Cincinnati, University of Murcia
Kodres, L. E., 1993, Tests of Unbiasedness in Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity, Journal of Business, 66, 463-490.
Kodres, Laura E., and Daniel P. O’Brien, 1994, The existence of Pareto superior price limits, American Economic Review 84, 919-932.
Kryzanowski, Lawrence, 1979, The efficacy of trading suspensions: A regulatory action designed to prevent the exploitation of monopoly information, Journal of Finance 34, 1187-1200.
Kryzanowski, Lawrence, and Howard Nemiroff, 1998, Price discovery around trading halts on the Montreal Exchange using trade-by-trade data, Financial Review 33, 195-212.
Kuhn, Betsy A., Gregory J. Kurserk, and Peter Locke, 1991, Do circuit breakers moderate volatility? Evidence from October 1989, The Review of Futures Markets 10, 136-175.
Kydland, F. E., and Prescott, E. C., 1977, Rules rather than discretion: The inconsistency of optimal plans, Journal of Political Economy 85, 473-491
Kyle, Albert S., 1985, Continuous auctions and insider trading, Econometrica 53,1315-1335.
Kyle, Albert S., 1988. Trading halts and price limits, The Review of Futures Markets 7, 426–434.
Kyle, Albert S., 1989, Informed Speculation with Imperfect Competition, The Review of Economic Studies 56, No. 3, 317-355
Lang, Larry H.P.; Lee, Yi Tsung, 1999, Performance of various transaction frequencies under call markets: The case of Taiwan, Pacific-Basin Finance Journal 7, 23-39.
Lauterbach, Beni and Ungar, 1997, Switching to Continuous Trading and Its Impact on Return Behavior and Volume of Trade, Journal of Financial Services Research, 12, 1, , 39-50.
Lauterbach, Beni, and Uri Ben-Zion, 1993, Stock market crashes and the performance of circuit breakers: Empirical evidence, Journal of Finance 48, 1909-1925.
Lee, Charles M.C., Mark J. Ready, and Paul J. Seguin, 1994, Volume, volatility, and New York Stock Exchange trading halts, Journal of Finance 49, 183-214.
Lee, Sang-Bin, and Kwang-Jung Kim, 1995, The effect of price limits on stock price volatility:
Empirical evidence from Korea, Journal of Business Finance & Accounting 22, 257-267.
Lehmann, Bruce N., 1989, Commentary: Volatility, price resolution, and the effectiveness of price limits, Journal of Financial Services Research 3, 205– 209.
Lockwood, Larry J. and Scott C. Linn, 1990 An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989, The Journal of Finance 45, 591-601.
Ma, Christopher K., Ramesh P. Rao, and R. Stephen Sears, 1989a, Volatility, price resolution and the effectiveness of price limits, Journal of Financial Services Research 3, 165-199.
Ma, Christopher K., Ramesh P. Rao, and R. Stephen Sears, 1989b, Limit moves and price resolution: The case of the Treasury Bond futures market, Journal of Futures Markets 9, 321-335.
Ma, Tai, 1998, Trading Frequencies and Stock Market Performance: The case of
Madhavan, Ananth, 1992, Trading Mechanisms in Securities Markets, The Journal of Finance..
Madrigal, Vicente, 1996, Non-fundamental Speculation, The Journal of Finance 51, 553-578 Maheu, J. M. and T. H. McCurdy, 2003, News Arrival, Jump Dynamics and Volatility
Components for Individual Stock Returns, Journal of Finance, forthcoming.
Mann, R., and Sofianos, G., 1990, “Circuit breakers” for equity markets, In Market Volatility and Investor Confidence, New York Sock Exchange
Merton, R.C, 1976, Option Pricing when Underlying Returns are Discontinuous, Journal of Financial Economics, 3, 125-144.
Michael J. Aitken , Carole Comerton-Forde and Alex Frino , 2003, ” Closing Call Auctions and Market Liquidity, Working Paper, University of New South Wales, University of Sydney, University of Sydney.
Miller, Merton H., 1989. Commentary: Volatility, price resolution, and the effectiveness of price limits, Journal of Financial Services Research 3, 201-203.
New York University.
Pagano,Macro, and Ailsa Roell,1996, Transparency and liquidity:A comparison of auction and dealer markets with informed trading, Journal of Finance 51,579-611.
Roll, Richard, 1989, Price volatility, international market links, and their implications for regulatory policies, Journal of Financial Services Research 3, 211– 246.
Schnitzlein, Charles R., 1996, Call and Continuous Trading Mechanisms under Asymmetric Information: An Experimental Investigation, The Journal of Finance, Vol.LI, No.2, June, pp.613-636.
Schwartz, Arthur L. Jr., 1982, The adjustment of individual stock prices during periods of unusual disequilibria, Financial Review 17, 228-239.
Shen, C. H. and L. R. Wang, 1998, Daily Serial Correlation, Trading Volume and Price Limits:
Evidence from the Taiwan Stock Market, Pacific-Basin Finance Journal, 6, 251-273.
Slezak, S. L. 1994, A theory of the dynamics of security returns around market closures, Journal of Finance 49, 1163-1211.
Spiegel, Matthew and AvanidharSubrahmanyam, 1992, Informed Speculation and Hedging in a Noncompetitive Securities Market, Review of Financial Studies 5, 307-329
Stein, Jeremy, 1987, Informational externalities and welfare-reducing speculation, Journal of Political Economy 95, 1123-1145.
Subrahmanyam, Avanidhar, 1994, Circuit Breakers and Market Volatility: A Theoretical Perspective, The Journal of Finance 49, No. 1, 237-254
Subrahmanyam, Avanidhar, 1995, On Rules Versus Discretion in Procedures to Halt Trade, Journal of Economics and Business 47, 1-16
Taiwan, Asia Pacific Journal of Finance 1, 1-25.
Telser, L. G., 1981, Margins and futures contracts, Journal of Futures Markets 1, 225-253 Wei, K.C. and Raymond Chiang, 2004, A GMM Approach for Estimation of Volatility and
Regression Models when Daily Prices are Subject to Price Limits, Pacific-Basin Finance Journal.
Wu, Lifan, 1998, Market reactions to the Hong-Kong trading suspensions: Mandatory versus voluntary, Journal of Business, Finance and Accounting 25, 419-437.
Yang, S. and B. W. Brorsen, 1995, Price Limits as an Explanation of Thin-tailedness in Pork Bellies Futures Price, Journal of Futures Markets, 15, 45-59.
附錄一 證明 2.1 節中的 Proposition 1
Case 1: if the market is open
Step1
There are k informed traders know the realization of
δ
1. They trade for maximizing their individual profit. We assume that each informed trader i conjectures that other informed traders will also submit an orderβ δ
1 and every uninformed trader will submit an orderrw
j ,j=1,....,n
. Each informed trader i maximizes his expectedThere are n risk-averse uninformed traders trading for hedging reasons. Uninformed trader j submits order
y
0,j and conjectures that other uninformed traders will submitj
By assuming that uninformed traders have negative exponential utility and constant risk aversion coefficient A, we can maximize the mean-variance function
[
j] A [ Var [ w
j] ]
(A.3)
Step3
The Risk-neutral market maker set the price equal to his best estimation.
[
1 2 0]
0 0Substituting for informed trader’s demand strategy
(
1)
01
Substituting for
β
of equation (A.1) and negativer of equation (A.6) into equation
0 (A.3), we can solve the equilibriumλ
0. Then substitutingλ
0 into equation (A.6) and equation (A.1),r and
0β
can be solved.Case 2: if the market is closed
Step1
Uninformed traders who want to hedge his position at time 0are forced to hedge at time 1, while informed traders don’t enter the market. We assume that
δ
1 has been revealed before the trading at time 1. Uninformed trader j submits ordery
1,j and conjectures that other uninformed traders will submitr
1w
p ,p=1,....,n,p≠ j. Trader j[ ]
The Risk-neutral market maker set the price equal to his best estimation.
[ ]
Uninformed traders’ terminal wealth is
(
1 2)
( 0, ) 0, 0 (MarketWT , we can have