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11199252119918171996121610%STPT20%20%20%1200031(2001C009)22STVolatilitySpilloverDelayedPriceDiscoveryTradingInterferenceHarris(1998)Fama(1989)KuhnKurserkLocke(1991)Lehmann(1989)Fama(1989)LeeReadySeguin(1994)LauterbachBen-Zion(1993)Fama(1989)Lehmann(1989)LeeReadySeguin(1994)HuangFuKe(2001)LeeChung(1996)KimRhee(1997)1989-1992(2001)KimRhee(1997)1KimRhee(1997)(2001)333KimRhee(1997)SSt,j=round(1.10*SSt-1,j)4(1)SSt,jtjSSt-1,jt-1jSSt,j=round(0.90*SSt-1,j)(2)9%~10%9%10%8%~9%8%9%9%~10%8%~9%9%~10%8%~9%IIIIII534round(.)0.01=(1)0.0159%~10%8%~9%4IIIIIIIIIIIIII1996121620001229A(1)(2)(3)(ST)(PT)20001229ST2000ST23(4)1.b2109(7983-5874=2109)26.4%1576(5051-3475=1576)31.2%(5)1.a76064013253(7983+5270=13253)527040%10284(5051+5233=10284)523351%69%~10%8%~9%6321.a5233798332151.a52705051155521——010-10+10t()21,2~1∑=-=njjttrrns(3)ntr~jtr,jttSSt,j1-tSSt-1,jrt,j=ln(SSt,j/SSt-1,j)(4)I071010279836415505131978200005.0=aIIIIIIII10I135810IIIII(2001)IIIII7IIIIII7584275272(3320118109)814551996121656II18IIIIIIIIIIIIIII575Ar1ln(KS1/SS0)r2ln(SS1/SS0)(5)KS1SS0SS1r1r2IIIIII3r1r293r1r2IIIIII20%IIIII2%9IIIIII6774293280(4192194114)IIIIII6775293280(4195194114)77IIIIIIIIr1r2IIIIII9%IIIII20%3IIIIIIr1r2r2I0.8530.0930.0540.6310.3610.008HuangFuKe(2001)(2002)(2002)r3ln(SS5/SS0)(6)SS50.500.499%8%9%8%Lehmann(1989)8jtTOt,j=CJGSt,j/LTGSt,j(7)CJGSt,jLTGSt,j1045()11405.0=aIIIIIIIKimRhee(1997)II(2001)I2II05.0=a1345III4IIII151011IIIIII7760283276(3515122114)99IVIII5IVIIVIIIVIIVIIIVIIVIIIIIIVIIIIVIIIIVIIIIVIIII6IV7IVIII1IVIIIIVIIIIVIIIIVIIIIIIIVIIVIIVIA10A(ST)199842712000518199854199978ST20004102001110ST1111(2002)STIIIIIISTKimRhee(1997)(2001)110%2STSTST12.2001.——.1112-18..2002.——..Fama,E.F.(1989),‘PerspectiveonOctober1987,orWhatDidWeLearnformtheCrash?’,inKamphuisR.W,Jr.,KormendiR.C.andWatsonJ.W.H.(Eds.),BlackMondayandtheFutureoftheFinancialMarkets,Irwin,Homewood,III..Harris,L.(1998),‘CircuitBreakersandProgramTradingLimits:WhatHaveWeLearned?’,In:Litan,R.E.andSantomero,A.M.(Eds.),Brooking-WhartonPapersonFinancialServices,BrookingsInstitutionsPress,WashingtonDC,pp.17-63.Huang,Y,Fu,T.andKe,M.(2001),‘DailyPriceLimitsandStockPriceBehavior:EvidenceformtheTaiwanStockExchange’,InternationalReviewofEconomicsandFinance10:263-288.Kim,K.A.andRhee,S.G.(1997),‘PriceLimitPerformance:EvidencefromtheTokyoStockExchange’,JournalofFinance52:885-901.Kuhn,B.A.,Kurserk,G.J.andLocke,P.(1991),‘DoCircuitBreakersModerateVolatility?EvidenceformOctober1989’,TheReviewofFuturesMarkets10:136-175.Lauterbach,B.andBen-Zion,U.(1993),‘StockMarketCrashesandthePerformanceofCircuitBreakers:EmpiricalEvidence’,JournalofFinance48:1909-1925.Lee,C.M.C.,Ready,M.J.andSeguin,P.J.(1994),‘Volume,Volatility,andNewYorkStockExchangeTradingHalts’,JournalofFinance49:183-214.Lee,SangBin.,andChung,JeeSeok(1996),‘PriceLimitsandStockMarketEfficiency’,JournalofBusinessFinanceandAccounting23:585-601.Lehmann,B.N.(1989),‘Commentary:Volatility,PriceResolution,andtheEffectivenessofPriceLimits’,JournalofFinancialServicesResearch3:205-209.1313IIIIII+10%-10%+9%-9%+8%-8%199660353311622227685664911997153199155216287462875011212342199818523411105524531341294799419991973582228791821495281405820200021881427624587311561917315867606407983505129619428011452705233123456758747171233617757983347565713531105051934913741368918851303414tIIIIIIIIIIII-101.4601.3361.4141.9401.4371.627-91.4991.3741.3161.6321.4691.356-81.4131.5321.2031.8611.2811.861-71.5331.5941.9171.5401.3001.608-61.4061.6151.1732.1470.9941.757-51.6381.6021.4372.0201.6961.395-41.5701.4261.3773.4541.6671.344-31.5701.4181.4862.6511.6871.625-21.8951.9401.6182.3251.1741.661-11.7592.0431.7902.2551.4141.70108.9588.1646.41411.24210.2317.83412.6612.0961.6512.3703.5473.05022.4212.0792.1002.3482.7812.42332.3671.7431.7251.9981.7831.45841.9721.7071.1682.0321.7201.60352.0621.6051.4311.1391.0841.13361.6971.5221.2401.2841.0651.48271.7531.5831.4761.4711.1001.03781.7271.2521.1221.2200.9200.83291.5251.1801.3781.1691.0611.336101.6951.3331.2171.4131.0951.62664152732723197118109120-10101010t()21,2~1∑=-=njjttrrnsntr~rt,jjttSSt,jt-1SSt-1,jrt,j=ln(SSt,j/SSt-1,j)s2t*1000Wilcoxon1%5%210101.a1515IIIIIII-IIII-IIIa0.8530.5220.5140.3310.0080.0930.3560.343-0.2630.0130.0540.1220.143-0.068-0.021b0.6310.3970.3750.2340.0220.3610.5830.600-0.222-0.0170.0080.0200.025-0.012-0.0057978295280a0.7320.6810.4910.0510.1890.2130.2470.439-0.035-0.1910.0550.0720.070-0.0170.002b0.5130.5880.360-0.0750.2280.4810.3910.6400.090-0.2490.0060.0210.000-0.0150.02150431941141IIIIII9%~10%8%~9%IIIIII9%~10%8%~9%2ab3IIIIIIII411.a16tIIIIIIIIIIII-41.779-5.910-2.10720.216-1.6230.960-35.1581.2931.952-11.3966.7861.299-212.1698.2455.044-5.137-6.610-0.183-116.3589.6097.060-1.639-1.214-1.464072.80264.46755.0692.81415.6604.340114.9502.8246.436-3.849-8.621-7.5592-53.060-35.113-23.363-15.3296.226-2.8303-13.465-5.667-8.754-2.814-0.597-4.8264-14.082-16.028-13.847-5.205-3.945-11.1115-8.869-5.956-8.834-4.825-14.170-15.2276580281276334412211414TOt,j=[ln(TOt,j)-ln(TOt-1,j)]*100TOt,jCJGSt,j/LTGSt,jCJGSt,jLTGSt,jWilcoxon1%5%2551.a1717tIIVIIIIVII-