臺灣博碩士論文加值系統

摘要

交易成本對投資人的投資決策有重大的影響，而買賣價差則是交易成本的要素之一。Amihud and Mendelson(1986)建立模式並推導二個命題，分別為：買賣價差越大的資產其被持有的期間越長和買賣價差越大的資產其預期報酬率越大。本論文的目的即是對Amihud and Mendelson(1986)的二個命題進行驗證。本研究以台灣證券交易所及證券櫃檯買賣中心的股票為研究對象，研究期間是從1996年2001年，研究結果發現，買賣價差與投資人持有期間存在正向關係，即買賣價差越小的股票其週轉率越高，此證據與Amihud and Mendelson (1986)的命題一的預期一致。然而，實證結果指出買賣價差與報酬率之間並未存在著穩定的關係，這顯示Amihud and Mendelson (1986)命題二的主張未獲得支持。

ABSTRACT

Transaction costs substantially affect investors'' investment decisions, and the bid-ask spread is
an important element of investors'' transaction costs. Amuid and Mendelson (1986) (hereafter A&M) propose a theoretical basis for the propositions that assets with larger spreads are held for longer holding periods, and assets with larger spreads yield a higher average return. The purpose of this study is to provide another empirical evidence for A&M''s propositions from Taiwan equity markets. The sample is selected from the TSEC-listed (Taiwan Stock Exchange Corporation) and GTSM-listed (Over- The-Counter Securities Exchange, also named as GreTai Securities Market) stocks. The sample period is from 1996 through 2001. The results show that there is a positive relationship between bid-ask spreads and holding periods, i.e. stocks with small spreads appear high turnover. This evidence coincides with A&M''s propositionⅠ. However, this study does not support the liquidity premium predicted by the A&M''s proposition II.

目錄
頁次
中文摘要 ………………………………………………………………………..Ⅰ
英文摘要 ………………………………………………………………………..Ⅱ
誌謝 ……………………………………………………………………………..Ⅲ
目錄 ……………………………………………………………………………..Ⅳ
表目錄 …………………………………………………………………………..Ⅵ
圖目錄 …………………………………………………………………………..Ⅶ
第壹章緒論 ……………………………………………………………………1
第一節研究動機 …………………………………………………………....1
第二節研究目的 …………………………………………………………....4
第三節研究限制 …………………………………………………………....4
第四節研究流程與論文結構 …………………………………………......5
第貳章文獻探討 ……………………………………………………………..9
第一節買賣價差相關理論研究 ……………………………………….....10
第二節買賣價差與持有期間之關係相關實證研究 ……………….......12
第三節買賣價差與預期報酬率之關係相關實證研究 …………….......15
第四節文獻評論 ……………………………………………………….....18
第參章 研究設計 ………………………………………………….…………..21
第一節研究架構 ……………………………………………………….....21
第二節研究假說 ……………………………………………………….....23
第三節研究變數操作性定義與衡量 ...………………………………....24
第四節樣本與資料來源 ...……………………………………………....27
第五節實證模式設定與分析方法 …………………………………….....30
第四章 實證結果分析 …………………………………………………….....35
第一節實證流程 ……………………………………………………….....35
第二節實證資料的基本分析 ………………………………………….....37
第三節假說一之實證結果分析 ……………………………………….....41
第四節假說二之實證結果分析 ……………………………………….....48
第伍章 結論與建議 …………………………………………………………...55
第一節結論 …………………………………………………………….....55
第二節研究貢獻 ……………………………………………………….....59
第三節建議 ……………………………………………………………....59
參考文獻 ………………………………………………………………………..61

表目錄
頁次
表3-1樣本篩選過程 ……………………………………………………………29
表4-1基本統計分析 ……………………………………………………………39
表4-2基本統計分析 ……………………………………………………………40
表4-3買賣價差與持有期間迴歸係數估計 …………………………………..46
表4-4買賣價差迴歸式係數估計 ………………………….………………….47
表4-5-1買賣價差與預期報酬率迴歸係數估計 ……………………………..52
表4-5-2買賣價差與預期報酬率迴歸係數估計 ……………………………..53
表4-5-3買賣價差與預期報酬率迴歸係數估計 ……………………………..54
表4-6研究假說的實證結果 …………………………………………………..58


圖目錄
頁次
圖1-1研究流程 …………………………………………………………………7
圖3-1研究假構 ………………………………………………………………..22
圖4-1實證流程圖 ……………………………………………………………..36

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