Option-based Implicit Information in Price Limit Moves:Evidence from Taiwan Stock Markets
| Autor: | Lai, Yen-Ju, 賴嬿如 |
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| Rok vydání: | 2013 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 101 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. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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