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研究生:黃建豪
研究生(外文):Chien-Hao Huang
論文名稱:高成交量溢酬是否存在於台灣證券交易所?
論文名稱(外文):Is there high premium in the Taiwan Stock Exchange?
指導教授:闕河士闕河士引用關係
指導教授(外文):Horace Chueh
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:69
中文關鍵詞:成交量報酬率變動
外文關鍵詞:volumereturn
相關次數:
  • 被引用被引用:6
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  • 下載下載:115
  • 收藏至我的研究室書目清單書目收藏:1
中文摘要

過去研究大都探討成交量與價格波動性的研究,Gervais et al.(2001)則研究高成交量與未來價格變動方向的關係,發現美國股市成交量具有高成交量溢酬的現象,本論文參考Gervais et al.(2001)的研究方法,針對經濟新報編撰的台灣100指數的100支成份股,探討成交量能否預測價格未來變動的方向。研究方法為把研究期間從民國83年1月1日至90年11月21日,區分為70個沒有重疊的區間,每一區間中有30天,包含前29天的觀察期與最後一天的形成期,再用兩種投資組合:零投資組合與參考報酬率投資組合策略,去檢視由形成期當天所區分出高、低成交量股票的1、5、10、15、20、25與30天後的報酬。研究結果發現:低成交量會伴隨著高報酬與高成交量會伴隨著低報酬,換言之,本論文發現低成交量溢酬,此結果雖然與Gervais et al.(2001)研究結果相反,但Chen et al.(2001)發現不同國家的市場,對高、低成交量與報酬的關係會不相同,因此可能是台股與美股的市場結構不同所導致。本文結果也發現成交量溢酬並不會受成交量與報酬同期的自我相關、報酬的自我迴歸、公司其他資訊的宣告效果、流動性風險、系統性風險和自然人投資比率影響。
ABSTRACT
Past researches usually investigate relation between trading volume and price volatility. Gervais et al.(2001)have examined the power of trading volume in predicting the direction of future price movements. We follow Gervais et al.(2001)to investigate trading volume in predicting the directing of future price movements. The samples contains all component stocks in the Taiwan 100 index calculated by TEJ(Taiwan Economic Journal). We construct the daily sample by splitting the time interval between January 1, 1994 and November 21, 2001 into 70 non-intersecting trading intervals of 30 trading days. Each trading interval is spilt into a reference period and a formation period, which respectively consist of the first 29 days and the last day of the interval. The reference period is used to measure how unusually high or low trading volume is in the formation period. Then we use two portfolio approaches: zero investment portfolio and reference return portfolio to find large or small trading volume return , which has 1, 5, 10, 15, 20, 25 and 30 days test period. The results indicate that stock experiencing unusually low volume tend to appreciate over the following days, stock experiencing unusually high volume tend to depreciate over the following days. On the other hand, trading volume can predict the directing of future price movements. Our result is seem to contrast Gervais et al.(2001). However, Chen et al.(2001)found that is different relations between trading volume and return in the different country. Therefore, the inconsistent results may attribute different market structure between Taiwan equity market and NYSE. In addition, return autocorrelation, firm announcement, market risk, liquidity, individual ownership do not seem to explain our results.
目錄

中文摘要------------------------------------------------------------------------------------------i 英文摘要-----------------------------------------------------------------------------------------ii
誌謝----------------------------------------------------------------------------------------------iii
目錄----------------------------------------------------------------------------------------------iv
表目錄--------------------------------------------------------------------------------------------v
圖目錄-------------------------------------------------------------------------------------------vi
第壹章 緒論-----------------------------------------------------------------------------------1
第一節 研究動機-----------------------------------------------------------------------1
第二節 研究目的及問題--------------------------------------------------------------3
第三節 研究內容-----------------------------------------------------------------------4  
第貳章 文獻探討-----------------------------------------------------------------------------5
第一節 成交量與價格波動性相關文獻--------------------------------------------5
第二節 交易活動與未來價格變化相關文獻-------------------------------------13
第三節 文獻評論----------------------------------------------------------------------19
第參章 研究方法----------------------------------------------------------------------------20
第一節 研究假設----------------------------------------------------------------------20
第二節 選樣設計----------------------------------------------------------------------21
第肆章 實證結果----------------------------------------------------------------------------30
第一節 成交量對未來價格的的影響----------------------------------------------32
第二節 成交量與報酬同期的自我相關-------------------------------------------35
第三節 報酬的自我迴歸-------------------------------------------------------------38
第四節 剔除公司其他資訊的宣告效果-------------------------------------------41
第五節 流動性高低-------------------------------------------------------------------44
第六節系統性風險-------------------------------------------------------------------47
第七節區分自然人投資比率高低的影響----------------------------------------49
第伍章 結論與建議-------------------------------------------------------------------------51
第一節 結論----------------------------------------------------------------------------51
第二節 建議----------------------------------------------------------------------------55
參考文獻-------------------------------------------------------------------------------------------56
附錄一 投資組合策略範例說明--------------------------------------------------------------61
附錄二 台灣100指數權值股明細-----------------------------------------------------------62
附錄三 剔除每一區間中其形成期間當天、前一天與後一天有宣佈股利、盈餘
與現金增資的股票明細-------------------------------------------------------------67
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