台灣過去的競價制度與行情揭示受到兩檔限制的規範，導致撮合效率與交易公平性受到質疑，而部分未成交的最佳資訊也可能受到隱藏，導致真實資訊無法及時揭露，誤導投資人錯誤解讀資訊，反而有助長殺跌的疑慮。 近年來全球追求資訊透明化的趨勢使得我國的兩檔限制備受爭議，也引發一股改革的風潮。因此，台灣證券交易所於民國91年7月進行交易制度的調整，取消自民國74年來沿用的兩檔限制，而以瞬間價格穩定機制當作穩定股市的措施，並進一步增加未成交價量資訊的揭示，提升整體市場資訊揭示的質與量。 本文以上述的交易制度調整為研究主題，探討市場在面臨穩定機制改變與市場透明度增加的情況下，其價格行為之變化。藉此評估此次交易制度的施行成效，並分別選取市值最高與最低的30支個股為衡量績效指標值的對象，以瞭解新的交易制度對於所有股票皆有相同影響。 結果發現，就第一階段的取消兩檔、輔以瞬間價格穩定措施與揭露一檔的政策而言，整體樣本的波動性為顯著增加，而高低市值的股票則有截然不同的反應。低市值群組在交易制度調整訊息宣告時享有正的顯著報酬，且在市場績效的驗證上發現Hei & Heubel模型衡量的流動性獲得改善，支持流動性改善有助於提升證券價值的說法，顯示取消兩檔限制輔以瞬間價格穩定措施，並提升市場透明度的作法對低市值群組是較有利的。相對的，高市值群組則發現較不利的證據，衡量宣告日的證券異常報酬為不顯著，流動性與波動性指標則明顯轉差。此外，第二階段的揭露五檔將普遍提升市場整體的效率性，其中以低市值群組最為明顯，此外在波動性與流動性方面，發現高低市值有很明顯的對比與抵換關係，高市值為流動性轉差但價格波動減少，低市值則相反，綜合為整體樣本的變化則不明顯。 推論上述實證結果，可能原因在於高低市值群組本身特性不同，導致相同的交易制度變革有不同的影響。高市值本身屬於企業規模大、股價較高，資訊透明度與交易較熱絡的一個族群，而低市值股票為傳統產業股居多，為股市中較不受投資人關愛、流動性較低，資訊不對稱程度也較高的股票。因而，過去在兩檔限制下，揭示代理價格、隱藏真實資訊，導致投資人錯誤解讀資訊者，應屬低市值股票較為嚴重，預期在取消兩檔限制後，資訊不對稱提升的程度相對來的高。此外，從第二階段揭露五檔的效果看來，高低市值的效率性皆改善，但在流動性與波動性方面卻呈現對比的抵換關係，顯示增加市場透明度對於市場績效無絕對的好壞。

This paper presents a model of the probability of price response to the previous periods inventory absolute and relative level for U.S. paper and paperboard industry. The initial part of the paper contains a theoretical analysis of the phenomenon. The proposed framework indicates that the inventory level plays an important leading role in the price adjustment. The model is then estimated with monthly data extending from 1980 to 1999. The LPM and Probit models are used to estimate the effect of absolute and relative inventory level on the probability of price variations. The estimated results are in agreement with the oligopolistic market condition of U.S. paper and paperboard industry, showing the price upward adjustment is sticker and rigid than the price downward adjustment while the output level is indifferent to the previous months inventory fluctuation.

Investors are continuously looking to increase the return on their investments. In an ideal world investors want to increase there return and outperform the market. Theory states that it is impossible to do so without increasing your risk. Arbitrage is a concept where investors are able to generate risk-free returns exceeding the market. Dividend is a common tool for publicly listed firms when rewarding their shareholders. On ex- dividend day, the day after the dividend payout, the stock price should according to theory decrease in order for the valuation of the stock to be held constant. In our research we investigate if there are arbitrage opportunities in connection to the dividend payouts, namely the ex-dividend effect. We want to generalize our results across experimental settings, thus across different stock markets. As a basis for our research we picked the OMXS. We base our research on three theoretical areas: the dividend irrelevancy theory, the efficient market hypothesis and the anchoring theory. The dividend irrelevancy relates to how the stock price ought to behave on ex-dividend day whereas the efficient market hypotheses states that prices on a market fully reflects all available information. Both theories concur that no arbitrage opportunities should be available on the financial market. The anchoring theory highlights the fact that investors formulate an anchor price for financial assets, for example stocks. In our research we aim to formulate a practical method on how to make abnormal returns on the ex dividend effect, based on the anchoring theory. Our census sample consists of dividend-paying firms publicly registered on the OMXS, and consists of 694 observations taken from 2009 to 2012. The sample was picked on the basis of characteristics, for example that the firm has been registered for at least four years and paid dividend one time during the four years of investigation. In order to tests for arbitrage opportunities on ex-dividend day, we used a simple mathematical model measuring the deviation between the price drop cum-dividend day to ex-dividend day, and the dividend amount. We conclude that the price drop differs from the dividend amount, only accounting for a price drop of 0.73 of the dividend amount. Thus, the price drop for each dividend unit is 0.73, in relation to a perfectly efficient market where there should be no difference; hence the price drop would be equal to the dividend amount, 1. Research on the ex-dividend effect is a thoroughly investigated area, where the first research was presented in 1955. Previous research all attempts to explain why there are market anomalies, but none examine how one can capitalize on the findings. In our research we examine if it is possible to make abnormal returns based on a segmenting of stocks, depending on their price volatility. This research is thereby first in examining how to capitalize on found arbitrage opportunities.