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研究生:林智仁
研究生(外文):kevin Lin
論文名稱:價量關係與效率市場之研究
論文名稱(外文):Price-volume Relationship and Effecient Market
指導教授:許溪南許溪南引用關係陳俊郎陳俊郎引用關係
學位類別:碩士
校院名稱:國立成功大學
系所名稱:企業管理學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:1999
畢業學年度:87
語文別:中文
論文頁數:152
中文關鍵詞:價量關係效率市場價量敏感區價量鈍化區均線反轉過度反應
相關次數:
  • 被引用被引用:28
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自從Fama (1970)提出效率資本市場的假說以來,剛開始學術界幾乎全盤接受效率資本市場假設,而後發現資本市場存在有一些異常現象是效率市場假設所無法解釋,因而挑戰效率資本市場假設。
本研究以加權股價指數及摩根台灣指數期貨所列入的77支權值股為研究標的。實證期間為自民國82年到87年共六年之日資料,此期間台灣股市歷經了台海飛彈危機,也歷經了10000點的榮景,以及亞洲金融風暴,兼具牛市與熊市。
本研究成功地從價量關係中證實效率市場假設與異常現象並存,無論是股價指數或是個別股票,絕大部分之股價均位於價量敏感區,符合「量大上漲量縮下跌」的效率市場假說原則;但仍有少部分的股價位於價量鈍化區,違反「量大上漲量縮下跌」的效率市場假說原則,因而造成資本市場的一些異常現象。
此結論的最大意義在於,基本上效率市場假說的原則不變,但是從價量關係中,分佈於價量鈍化區的股價,可以找到一些造成資本市場的一些異常現象的痕跡。也許造成每一種異常現象的理由都不盡相同,但可以從價量的變化找到一些跡象,此種跡象將可能使投資人得到超額報酬。
簡言之,本研究的主要發現包括以下幾點:
1. 藉由六日移動平均線進行的資料分區,成功地劃分出某部分股價位於價量敏感區,及另一部份股價位於價量鈍化區。
2. 因為未經六日移動平均線處理前的價量關係之無母數檢定值極為顯著,支持價量關係成正相關,且大部分股價位於價量敏感區,符合「量大上漲量縮下跌」的效率市場假說原則。
3. 少部分的股價位於價量鈍化區,且股價有均線反轉及過度反應的現象。藉由在超跌區買進碰觸六日移動平均線賣出,及在超漲區放空碰觸六日移動平均線回補的操作策略,可因而得到超額報酬。
4. 因為在價量敏感區及價量鈍化區均有股價分佈,而在價量敏感區的股價,符合效率市場假設;而在價量鈍化區的股價,會造成資本市場的異常現象,所以效率市場假設與一些異常現象會並存。
第一章 緒論
第二章 文獻探討
第三章 研究方法
第四章 實證研究與結果
第五章 結論與建議
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