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研究生:葉秀亭
研究生(外文):Hsiu-Ting Yeh
論文名稱:由現貨市場及選擇權市場看流動性、公司特有風險及市值的關係
論文名稱(外文):由現貨市場及選擇權市場看流動性、公司特有風險及市值的關係
指導教授:林君瀌林君瀌引用關係
指導教授(外文):Jun-Biao Lin
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融系碩士班理財組
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:2016
畢業學年度:104
語文別:中文
論文頁數:54
中文關鍵詞:公司規模公司特有風險股票報酬流動性
外文關鍵詞:Stock returnsFirm sizeIdiosyncratic riskLiquidity
相關次數:
  • 被引用被引用:0
  • 點閱點閱:141
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
過去文獻大多探討公司特有風險與股票報酬之關係,以及流動性與股票報酬之關係,較少提及公司特有風險及流動性之間的關係。由於選擇權市場具有高槓桿及低交易成本之特性,故本研究利用現貨市場與選擇權市場探討兩者間的關係,以及探討公司特有風險、流動性及市值,三者對股票報酬之影響。實證結果發現:一、公司特有風險與股票報酬呈現正相關。二、流動性風險以總未平倉口數或買權未平倉口數衡量時,與股票報酬呈現正相關;但以賣權未平倉口數衡量時,與股票報酬呈現負向影響。另外發現到買權未平倉口數除以賣權未平倉口數之比率與報酬呈現正相關,表示買權較賣權對個股報酬的影響是較顯著的。三、公司規模與股票報酬呈現負相關,表示呈現規模效果。
Literature have shown the relationship between stock returns and idiosyncratic risk, stock returns and liquidity risk. However, few have been discussing about idiosyncratic risk and liquidity. In this study, we try to figure the relationship between idiosyncratic risk and liquidity by using option and stock market data. The reason we use option market data is that it has the characteristic of high leverage and low trading cost which implies informed traders might trade their information in option markets. The empirical results show that first, there is a positive relation between idiosyncratic risk and stock returns; second, when using open interest as the liquidity proxy, we also have a positive relation between liquidity and returns. In addition, the size effect exists in our sample.
中文摘要 i
英文摘要 ii
致謝 iii
目錄 iv
表目錄 vi
圖目錄 vii
壹、緒論 1
一、研究背景與動機 1
二、研究目的 3
三、研究架構與流程 3
貳、文獻回顧 6
一、規模效果 6
二、公司特有風險 8
三、流動性 10
四、選擇權市場 13
參、資料與研究方法 16
一、資料描述 16
二、資料篩選 16
三、 研究方法 17
(一)公司特有風險 17
(二)流動性 17
(三)公司規模 18
(四)敘述統計量分析 19
肆、實證結果 20
一、探討公司特有風險、流動性及公司規模間的相關性 20
二、探討公司特有風險、流動性及公司規模對現貨市場股票報酬的解釋力 24
伍、結論 29
參考文獻 30
附錄 35
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