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研究生:柯純琥
研究生(外文):Chun-Hu Ke
論文名稱:台灣股市價量關係:分量迴歸分析之應用
論文名稱(外文):Price-Volume Relation in Taiwan Stock Market: An Application of Quantile Regressions
指導教授:陳美源陳美源引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融系所
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:2008
畢業學年度:96
語文別:中文
論文頁數:32
中文關鍵詞:“V”字型價量關係分量迴歸局部分量迴歸股票週轉率成交股數
外文關鍵詞:V-shaped patternQuantile regressionLocal quantile regressionPrice-volume relationTurnover rateTrading volume
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This thesis uses quantile regression to analyze price-volume relation in Taiwan Stock Market. Empirical data is collected from 2/27/1985 to 4/18/2008, totally 6296 daily observations. We use daily return of Taiwan Stock Market index as the price variable, and turnover rate and trading volume as the volume variables. When the linear quantile regression model is under investigated, we find that the relation between daily returns and turnover rates exhibit symmetric V-shaped across quantiles. This result indicates that a large return (in either sign) is usually accompanied with a large trading volume. A symmetric inverse V-shaped relation between daily returns and trading volumes is found by linear quantile regression.

To study the nonlinear relation between price and volume, the local quantile regression is considered in this thesis. The symmetric V-shaped relation between daily returns and turnover rates is re-confirmed. However, the relations between daily returns and trading volumes are not constant over the range of trading volumes. In details, three regimes of the nonlinear relation between daily returns and trading volumes are found. At the first regime when the trading volume is from 8 to 10, the daily return increases as the trading volume increases. For the second regime with trading volumes from 10 to 13, symmetric V-shaped relation is found. For the third regime with trading volumes from13 to 16, an inverse symmetric V-shaped relation is found for the relation between daily returns and trading volumes. These findings support the necessity of using local quantile regression for studying the price-volume relation.
目 錄
第一章 緒論…………………………………………………………… 1
第一節 研究動機………………………………………………….... 1
第二節 研究目的……………………………………………………… 1
第三節 研究架構……………………………………………………… 2
第二章 文獻探討…………………………………………………….. 3
第一節 價量關係之理論基礎…..……………………………….... 3
第二節 價量關係之實證研究……………………………………….. 3
第三節 分量迴歸在價量關係的應用……………………………….. 7
第四節 價量關係研究回顧小結………………………………….... 7
第三章 研究方法………………………………………………...... 8
第一節 分量迴歸方法之介紹…………………………………..…… 8
第二節 局部分量迴歸………………………………………………. 13
第四章 資料敘述與實證結果………………………………………. 18
第一節 資料基本統計量………………………………….………… 18
第二節 分量迴歸實證結果與分析…………………………………. 19
第五章 結論與建議…………………………………………………. 26
第一節 結論…………………………………………………………. 26
第二節 建議…………………………………………………………. 27
參考文獻……………………………………………………………… 28

表目錄
表1 台灣股市價量基本統計量………………..…………………… 18
表2 Augmented Dickey-Fuller單根檢定結果…..………………. 19
表3 Phillips-Perron單根檢定結果…..…………………………. 19
表4 台灣股市報酬率對週轉率之分量迴歸估計結果……………… 20
表5 台灣股市報酬率對成交量之分量迴歸估計結果.……………. 23
圖目錄
圖1台灣股市報酬率對週轉率分量迴歸結果………………………. 21
圖2台灣股市報酬率對週轉率局部分量迴歸結果…………………. 22
圖3台灣股市報酬率對成交量分量迴歸結果……………………... 24
圖4 台灣股市報酬率對成交量局部分量迴歸結果……………….. 25
一、中文部分
王甡,(民84),報酬衝擊對條件波動所造成之不對稱效果--台灣股票市場之實證分析,證券市場發展季刊,7,125-160。

許和鈞、劉永欽 (民85),台灣地區股票市場價量之線性與非線性Granger因果關係之研究,證券市場發展季刊,8(4),23-49。

許溪南、黃文芳 (民86),台灣股市價量線性與非線性關係之研究,管理學報,14,177-195。

郭修旻、李秀雯 (民88),股票市場波動性與總體經濟波動性及市場交易量之關係─台灣市場實証研究,中國工商學報,21,249-272。

郭維裕與董慧萍,(民91),台灣地區股市『價』、『量』間非線性關係之探討--變動切換馬可夫轉換機率模型下的實證結果,中山管理評論,461-495。

莊家彰、管中閔(民94),台灣與美國股市價量關係的分量迴歸分析,經濟論文,33(4),379-404。

陳仕偉、陳俊偉(民95),台灣股票及外匯市場價量非線性因果關係之探討,經濟與管理論叢,2(1),21-51。

楊踐為與許至榮,(民86),台灣股票集中與店頭市場價量因果關係之探討,證券金融季刊,54,19-32。

葉銀華,(民80),台灣股票市場成交量與股價關係之實證研究--轉換函數模式,台北市銀月刊,22(11),57-70。

劉映興與陳家彬,(民91),台灣股票市場交易值、交易量與發行量加權股價指數關係之實證研究--光譜分析之應用,農業經濟半年刊,72,65-87。

蕭幸金 (民82),股價與成交量相依程度之探討-台灣股市實証分析,政治大學會計研究所未出版之碩士論文。

聶建中與姚蕙芸,(民90),空頭走勢期間台灣股票市場成交量與股價之關聯性研究,2001會計理論與實務研討會論文集。

二、英文部分
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Episcopos, A., 1996, “Stock Return Volatility and Time-Varying Betas in the
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Epps, T. W., 1975, “Security Price Changes and Transaction Volumes: Theory
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Gallo, G. M. and B. Pacini, 2000, “The Effects of Trading Activity on Marke
Volatility,” European Journal of Finance 6, 163–175.

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Huang, R. D. and R. W. Masulis, 2003, “Trading Activity and Stock Price
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Finance 10, 249-269.

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Karpoff, J. M., 1986, “A Theory of Trading Volume,” Journal of Finance 41, 1069-1087.

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Yu, K. and M.C. Jones,1998 , “Local linear Quantile Regression,” Journal of the American Statistical Association 93, 228-237
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