臺灣博碩士論文加值系統

本文應用Koenker and Bassett (1978)提出的分量迴歸(Quantile Regression, QR)對先進與新興國家在2004年至2012年間，各國主要指數報酬率與成交量的關係進行評估，實證發現一般線性迴歸估出的相關係數與分量迴歸的結果的確存在差異。除此之外，透過分量迴歸大致可將各國牛市與熊市的價量關係分成三種型態: 一、價量齊揚大於價量背離、二、 價量齊揚大於價跌量縮、三、價量背離大於價量齊揚。一、三種型態的價量關係皆隨著漲跌幅越大，其報酬率與成交量的關係越顯著，而第二種型態價量齊揚大於價跌量縮關係出現在受政府限制條件較嚴謹的中國、泰國與台灣國家，呈現扭曲變數之間的關係。在發生次貸危機的期間，不管是先進或新興國家，其報酬率的波動幅度皆顯著增加，此預期了發生次貸危機會使各國股市明顯變化。透過分量迴歸驗證次貸危機前後股市的變化，結果如同報酬率標準差的預期，此次的次貸危機帶來的衝擊散佈於全球股市，主要造成世界連動影響原因歸為兩部分: 一、美國股市佔全球股市之交易額較高比例。二、美國主要以進口為導向。而發生次貸對於大部分國家的價量關係更為顯著，尤其漲跌幅越大其相關性越強烈、波動度越高，這些結果可供理論研究或實務應用當作參考。

This article adopt Koenker and Bassett''s Quantile Regression for advanced and emerging countries in 2004-2012. We estimate price and volume relationship in every country''s main index. Through study find OLS indeed difference from Qunantile Regression. Besides, we divided bull and bear market price-volume relationship into three types: One, price and volume go high relationship stronger than price and volume go departure. Two, price and volume go high relationship stronger than price and volume both go down. Three, price and volume go down relationship stronger than price and volume both go high. When the stock rise and down gap become bigger, the return and volume relationship become more significant. When first and third types’ stock rise and down gaps become bigger, the return and volume relationship become more significant. While the second type appear to the countries which have more restrictions by government. The countries like China、Tailand and Taiwan, presenting distorted relationship. During the sub-prime, whether advanced or emerging countries, the volatility of returns increase significant. It is anticipated all countries changes significant when occurred sub-prime. Through Quantile Regression verified after the subprime mortgage crisis stock changes. The result is the same with the standard deviation of expected returns. This crisis spread in the impact of the global stock market. The main reason causing the world contagion effect divided into two parts: First, the U.S. shares of global stock markets occupied higher percentage of the transaction amount. Second, the U.S. mainly looks imports as the guide. The sub-prime let the price and volume relationship more significant for most countries, especially, the stock up and down relevance more stronger and the volatility higher. These results could provide theoretical research or practical application as a reference.

目錄
摘要 I
ABSTRACT II
致謝 IV
目錄 V
表目錄 VI
圖目錄 VII
第壹章 前言 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構 5
第貳章 文獻回顧 6
第一節 價量理論模型 6
第二節 價量關係實證研究 7
第參章 研究方法 11
第一節 分量迴歸法 11
第二節 分量迴歸模型設定 12
第三節 分量迴歸的應用 14
第肆章 實證結果 15
第一節 資料來源與變數定義 15
第二節 單根檢定 16
第三節 敘述性統計 18
第四節 實證設計與結果分析 21
第伍章 結論 43
參考文獻 45

參考文獻
中文文獻
吳清豐（2006），「東亞各國家地區股市價量之研究」，雲林科技大學管理研究所博士論文。
李沃牆和許維哲（2011），「分量回歸模型於台指期貨報酬率與成交量、未平倉量關係之再驗證」，輔仁管理評論，第18卷，第2期，第75-102頁。
李萍和任應 （2011），「中國股市價量關係的分量迴歸分析」，數理統計與管理，第30卷，第6期。
林我彥（1998），「美股對台股影響之分量回歸分析」，中央大學財務金融所碩士論文。
張怡文、江穎慧和張金鶚（2009），「分量迴歸在大量估價模型之應用-非典型住宅估價之改進」，都市與計畫，第36卷，第3期，第281-304頁。
莊家彰和管中閔（2005），「台灣與美國股市價量關係的分量迴歸分析」，經濟論文，第33卷，第4期，第379-404頁。
鄭婉秀、邱哲修、陳玉瓏和洪偉哲（1994），「亞洲股市價量關係之不對稱效果 」，華岡經濟論叢，第4卷，第1期， 第27-48頁。
豐珂（2010），「上海股市價量關係的實證研究」，經濟師，第5期，第84-85頁。
魏石勇（2011），「金融海嘯前後波動的動態條件相關下台股價量關係與規模傳遞效應之影響。」，雲林科技大學管理研究所博士論文。

英文文獻
Anand, A., P. Irvine, A. Puckett and K. Venkataraman (2012), “Institutional trading and stock resiliency: Evidence from the 2007-2009 financial crisis,” Journal of Financial Economics, 108(3), 773-797.
Calomiris, C. W., I. Love and M. S. Martinez Peria (2012), “Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets,” Journal of International Money and Finance , 31(4), 673-906.
Chen, G. M., O. Michael Firth and M. Rui (2001), “The dynamic relation between stock returns, trading volume and volatility,” The Financial Review, 36, 153-174.
Chen, S. S. (2012), “Revisiting the empirical linkages between stock returns and trading volume,” Journal of Banking and Finance, 36(6), 1781-1788.
Chen, Z., J. Du, D. Li and R. Ouyang (2013), “Does foreign institutional ownership increase return volatility? Evidence from China,” Journal of Banking and Finance, 37, 660-669.
Chin, W. C. and Z. Isa (2009), “Structural break unit-root tests: An empirical study of Malaysian equity markets,” Sains Malaysiana , 38(5), 699-705.
Choi, K. H., Z. H. Jiang, S. H. Kang and S. M. Yoon (2012),” Relationship between trading volume and asymmetric volatility in the Korean stock market. Modern Economy, 3, 584-589.
Chuang, C. C., C. M. Kuan and H. Y. Lin (2009), “Causality in quantiles and dynamic stock return–volume relations,” Journal of Banking and Finance, 33, 1351-1360.
Darwish, M. (2012), “Testing the contemporaneous and causal relationship between trading volume and return in the Palestine exchange,” International Journal of Economics and Finance, 4(4), 182-192.
Gagnon, L. and G. A. Karolyi (2009), “Information, trading volume, and international stock return comovements: Evidence from cross-listed stocks,” Journal of Financial and Quantitative Analysis, 44, (4), 953-986.
Gagnon, L., G. A. Karoly and K. H. Lee (2006), “The dynamic volume-return relation of individual stocks: the international evidence,” AFA 2008 New Orleans Meetings Paper.
Girard, E. and M. Omran (2009), “On the relationship between trading volume and stock price volatility in CASE,” International Journal of Managerial Finance, 5(1), 110-134.
Godfrey, M. D., C. W. J. Granger and O. Morgenstern (1964), “The random walk hypothesis of stock market behavior,” Kyklos, 17, 1-30.
Karpoff, J. M. (1987), “The relation between price changes and trading volume: A survey,” Journal of Financial and Quantitative Analysis, 22, 109-126.
Kiymaz, H. and E. Girard (2009), “Stock market volatility and trading volume: an emerging market experience,” The Icfai Journal of Applied Finance, 6(15), 5-32 .
Leonidas Sandoval Junior and Italo De Paula Franca (2012), “Correlation of financial markets in times of crisis,” Physica A, 391(1), 187-208.
Lin, H. Y. (2012), “Dynamic stock return-volume relation: evidence from emerging Asian markets,” Bulletin of Economic Research, 65(2), 178-193.
Martinez, V., Y. Tse and J. Kittiakarasakun (2013), “Volatility, trade size, and order imbalance in China and Japan exchange traded funds,” Journal of Economics and Finance, 37(2), 293-307.
Meero, A. (2013), “The Relationship between liquidity and stock returns in emerging financial markets: An empirical study within Damascus Securities Exchange,” European Journal of Economics, Finance and Administrative Sciences, 56,120-129.
Mubarik, F. and A. Y. Javid (2009), “Relationship between stock return, trading volume and volatility: Evidence from Pakistani stock market,” Asia Pacific Journal of Finance and Banking Research, 3(3), 1-17.
Newey, W. K. and J. L. Powell (1987), “Asymmetric least squares estimation and testing, Econometrica, 55, 819-847.
Saatcioglu, K. and L. T. Starks (1998), “The stock price-volume relationship in emerging stock markets: The case of Latin America,” International Journal of Forecasting, 14(2), 215-225.
Sabri, N. R. (2008),” The impact of trading volume on stock price volatility in the Arab economy,” Journal of Derivatives & Hedge Funds, 14, 285-298.
Srinivasan et al. (2010), “Price changes, trading volume and time-varying conditional volatility : Evidence from Asia Pacific Stock Market,” International Review of Applied Financial Issues and Economics, 2(2), 379-390.
Sun, M. Y. (2013), “High-volume return premium and volume-liqidity premium,” Journal of Business and Economics Research, 11(1), 35-46.
Wonseok Choi, Hoyem Kenton and J. W. Kim (2009), “Analyst forecast dispersion, trading volume and stock return,” Seoul Journal of Economics, 22(2), 263-288.
Zhou, Z. G. (2010), “The high-volume return premium: Evidence from the Chinese stock market,” Review Quantitative Finance Accounting, 35, 295-313.