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研究生:吳珈賢
研究生(外文):WU, CHIA-HSIEN
論文名稱:社群網站討論股票熱度對證券市場品質的影響
論文名稱(外文):The impact on quality of the securities market by internet forum
指導教授:王明昌王明昌引用關係
指導教授(外文):WANG,MING-CHANG
口試委員:張志向江明憲
口試委員(外文):CHANG,CHIH-HSIANGCHIANG,MIN-HSIANG
口試日期:2018-06-08
學位類別:碩士
校院名稱:國立中正大學
系所名稱:企業管理學系碩士在職專班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2018
畢業學年度:106
語文別:中文
論文頁數:35
中文關鍵詞:社群网站討論區買賣價差市場深度波動性市場品質
外文關鍵詞:Social communityInternet forumMarket qualitySpreadDepth of MarketVolatility
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由於網路科技的快速發展,網路社群媒體以極為快速的擴散速度與廣度成為
人們獲取訊息及公眾意見的重要來源之一,然而目前對於社群媒體與股票市場的
研究中,少有觀察社群媒體討論區上所發佈的主題或事件與證券市場品質之研究。
因此本研究欲找出這些社群網站討論區中所發佈的事件,觀察各事件與股票市場
的關聯性,並觀察討論區中所發佈的事件是否會對證券市場品質產生影響。並試圖
檢定社群網站討論股票熱度對證券市場交易品質的影響。以買賣價差、市場深度、
波動性等三項指標,做為衡量證券市場交易品質變化的代理變數,以e-Stock 發財
網股票討論區內容及105 年至106 年台灣證券市場所有上市公司的交易資料為研
究樣本進行實證檢測,主要目的在於瞭解網路討論區討論股票熱度對證券市場,流
動性及波動性的影響。實證結果顯示隨著社群網站股票討論熱度有顯著影響證券
市場品質的情形,匿名發文及回應的自由討論,有顯著影響市場資訊透明度,造成
資訊不對稱之情形導致影響證券市場品質。
Due to the rapid development of Internet technology, online social media has become
an important source of people's access to information and public opinions with extremely
rapid proliferation and breadth. However, few studies have been conducted on social
media and stock market research. The study of topics or events and the quality of
securities markets published on social media forums. Therefore, this study aims to find
out the events published in the internet forums of these community websites, observe the
relevance of each event and the stock market, and observe whether the events announced
in the internet forum will have an impact on the quality of the securities market. It also
tried to verify the impact of stock market hotspots on the quality of securities market
transactions. Three indicators, such as bid-ask spread, market depth, and volatility, were
used as proxy variables to measure the changes in the transaction quality of the securities
market. The content of the e-Stock fortune-sharing forum and the transactions of all listed
companies in the Taiwan stock market from 105 to 106 years were traded. Data The
empirical test for the sample of the study is to understand the impact of the discussion of
the stock market on the stock market, liquidity, and volatility. The empirical results show
that the free discussion of anonymous postings and responses has a significant impact on
the transparency of market information and the resulting information asymmetry, which
affects the quality of the securities market.
壹、緒論 ....................................................................................................... 1
一、研究背景與動機 ............................................................................... 1
二、研究步驟與流程 ............................................................................... 3
貳、文獻探討 ............................................................................................... 4
一、社群網站討論區的影響 ................................................................... 4
二、市場微結構與市場品質 ................................................................... 6
參、資料蒐集與研究方法 ......................................................................... 11
一、資料蒐集 ......................................................................................... 11
二、研究假說 ......................................................................................... 11
三、研究方法 ......................................................................................... 12
肆、研究結果 ............................................................................................. 16
伍、結論與研究限制 ................................................................................. 22
一、結論.................................................................................................. 22
二、研究限制 ......................................................................................... 23
陸、參考文獻 ............................................................................................. 25
表目錄
表 1 對證券市場品質的影響敘述性統計 .............................................. 31
表 2 對證券市場品質的影響Pearson 相關係數分析 ......................... 32
表 3 對證券市場品質的影響買賣價差(Spread)實證結果 ................... 33
表 4 對證券市場品質的影響市場深度(Depth)實證結果 .................... 34
表 5 對證券市場品質的影響波動性(Volatility)實證結果 ............... 35
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