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研究生:蘇玄啟
研究生(外文):Xuan-Qi Su
論文名稱:交易量之長期持續性
論文名稱(外文):The Long-Run Persistence of Trading Volume
指導教授:陳聖賢陳聖賢引用關係
指導教授(外文):Sheng-Syan Chen
學位類別:博士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
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:2010
畢業學年度:98
語文別:英文
論文頁數:61
中文關鍵詞:交易初始交易周轉率演化持續性固定效果
外文關鍵詞:Trading VolumeInitial TurnoverEvolutionLong-Run PersistenceFixed Effect
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本文主要研究美國個別公司股票交易量的長期發展。其中最重要發現即是美國個別股票交易量具有長期持續性,而此重要發現也提供全新觀點在於個別公司股票長期交易活動之研究。具體言之,本文發現高(低)交易量股票在未來20 年傾向維持是高(低)交易量股票,而此長期持續性的現象,一方面隱含了股票初始交易量對於未來交易量的重要影響;另一方面也引伸出個別股票間交易量的差異是由一個或多個觀察不到且不隨著時間改變的公司特有因子所支承。再者,以1975 年至2007 年的初次公開上市公司為研究樣本,本文發現個別公司股票傾向長久性的維持在掛牌上市之際的股票交易周轉率水準,此結果隱含了個別公司股票交易活動的差異性在公司股票發行之前或是發行之際便已決定。最後,不論是對於不同的交易量衡量指標;考量市場交易量之影響;僅使用資歷超過20 年的公司為研究樣本;或是將研究期間追朔至1946 年間,本文整體研究結果皆深具穩健性。

This paper studies long-run persistence of trading volume by investigating the evolution of share turnover in the cross-section of stocks listed in NYSE/AMEX and NASDAQ. Using quartiles based on turnover in portfolio formation year, this paper documents new evidence that a self-perpetuating manner exists in trading volume and provides new insight into behavior of cross-sectional trading activities in a long horizon. Particularly, we find that, even being similar along many characteristics such as visibility, the mass of informed traders, systematic risk, and shares held by institutional investors, stocks with relatively heavy (light) initial turnover tend to maintain relatively heavy (light) turnover for over 20 years. This permanent pattern implies that initial turnover bears an important relation with future turnover and that cross-sectional variation in trading volume is driven by unobserved and time-invariant security-specific factors. Additionally, in a sample of IPO stocks during 1975-2007, we find that stocks tend to remain their IPO rankings of turnover over quite some time and hence imply that the differences in stock’s trading activities are somewhat determined prior to or at the time that their issuances. Our overall findings are robust to sample design and to sample period, either employing alternative measure of trading volume, removing market-wide volume, using a subsample of time-honoured firms, or expanding sample horizon.

目錄
口試委員會審定書……………………………………………………………………………………... i
誌謝…………………………………………………………………………………………………………… ii
中文摘要…………………………………………………………………………………………………… iii
英文摘要…………………………………………………………………………………………………… iv
1. Introduction……………………………………………………………………………………………. 1
2. Data, Sample and Variables Selection……………………………………………………… 6
2.1. Trading Volume Measure…………………………………………………………………. 7
2.2. Turnover Determinants Identified by Prior Literatures………………………... 9
3. Understanding the Evolution of Cross-Sectional Trading Volume……………… 19
4. What Implications of Long-Run Persistence in Trading Volume………..………. 23
4.1. The Impact of Initial Turnover…………………………………………………………... 24
4.2. Controlling for Long-Run Effects of Turnover Determinant………………... 27
4.3. Decomposing the Variation in Turnover…………………………………………….. 29
5. Does Cross-Sectional Difference in Turnover Sustain Back in Time? ………... 31
6. Robustness Analysis………………………………………………………………………………... 34
6.1. Alternative Measures of Trading Volume…………………………………………… 34
6.2. Removing Market Turnover………………………………………………………………. 35
6.3. Considering Only Time-Honoured Stocks………………………………………….. 36
6.4. Expanding Sample Horizons……………………………………………………………… 37
7. Conclusion……....……………………………………………………………………………………… 37

Reference…………………………………………………………………………………………………… 40
Appendix 1………………………………………………………………………………………………… 46
Appendix 2………………………………………………………………………………………………… 48

圖目錄
Figure 1 Evolution of Turnover across Turnover Portfolios in Event Time…..… 56
Figure 2 Evolution of Detrended Turnover for IPO Stocks in Event Time……… 57
Figure 3 Evolution of Detrended Share/Dollar Volume in Event Time…..……..… 58
Figure 4 Evolution of Market-adjusted Turnover in Event Time…………..………… 59
Figure 5 Evolution of Turnover for Time-Honoured Stocks in Event Time…..… 60
Figure 6 Evolution of Turnover in Event Time from 1946 to 2007………………… 61

表目錄
Table 1 Descriptive Statistics of Share Turnover…………..………………………………. 49
Table 2 Descriptive Characteristics of Turnover Determinants….…………………… 50
Table 3 Correlations among the Turnover Determinants…..……………………………. 51
Table 4 Fama-MacBeth Style Regressions on Initial Turnover…………..…………... 52
Table 5 Controlling for Long-Run Effect of Turnover Determinantse…………..… 53
Table 6 Decomposing the Variation in Trading Volume………………………………... 54





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