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研究生:林妤軒
研究生(外文):LIN,YU-SYUAN
論文名稱:以分量迴歸探討台灣產業類股指數價量關係之研究
論文名稱(外文):Price-Volume Relation of Taiwan Industrial Index : Quantile Regression Analysis
指導教授:林育志林育志引用關係
指導教授(外文):LIN,LUKE
口試委員:王立勳周建新
口試委員(外文):WANG, LI-HSUNCHOU, JIAN-HSIN
口試日期:2018-12-25
學位類別:碩士
校院名稱:國立高雄科技大學
系所名稱:財務管理系
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:2019
畢業學年度:107
語文別:中文
論文頁數:60
中文關鍵詞:分量迴歸價量關係五因子模型
外文關鍵詞:Quantile RegressionPrice-Volume RelationFive-Factor Model
相關次數:
  • 被引用被引用:1
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  • 下載下載:75
  • 收藏至我的研究室書目清單書目收藏:0
本文使用Koenker and Bassett (1978)提出的分量迴歸方法,以及利用Fama and French(2015)五因子模型之五個因子當作控制變數,來探討台灣八大類股的價量關係,以捕捉成交量與報酬率係數更準確的邊際效應。

  全文藉由「五因子模型是目前最能解釋預期報酬的模型」之想法作為研究出發點。莊家彰與管中閔(2005)文章之實證結果得出了美國股市的報酬率和成交股數有「價量齊揚」和「價量背離」現象,並在θ=0.5分量反轉有「對稱V字型」關係,但台灣並無此對稱現象。經由我們加入單因子、三因子、五因子當控制變數之後,台灣產業的價量迴歸係數(β)反轉的分量(θ)會隨著加入控制因子的多寡來增加或減少。本文發現台灣股市佔比最多的電子產業之β值在不加任何因子的價量關係模型下,在θ=0.86由低分量的正相關反轉為高分量的負相關,接著加入控制變數的模型下,單因子在θ=0.47反轉、三因子在θ=0.49反轉,而加入五因子的結果,是在θ=0.5反轉,有「對稱倒V型反轉」現象。

The study combined quantile regression method and five-factor model, which referred to Koenker and Bassett (1978) and Fama and French (2015), respectively, to examine the relationship on the stock price and volume of the largest eight industries in Taiwan. The quantile regression method can grab the more detail and accurate marginal effect on return-volume relationship.

  As five-factor model is one of the best model to explain the anticipated return, the study used the point to utilize on quantile regression method. Chuang and Kuan (2005) found the evidence that the large return or loss is usually accompanied by a large volume in the US stock market, and there was a symmetric V-shaped pattern on the quantile 0.5. However, the phenomenon did not exist in Taiwan stock market. We separately added the one, three and five factors for our control variable, and got the empirical result that the V-shaped pattern moved to the different quantile when we used different factor model. For the example on the Taiwan electronics index, which is the highest weight in Taiwan stock market, the correlation coefficient reverse from positive to negative on quantile 0.86 when we use one factor model, as well as on quantile 0.47, 0.49 and 0.5 when we add in one, three, respectively. Additionally, there was a symmetric reverse V-shaped pattern stood on quantile 0.5.

目錄
中文摘要 I
Abstract II
誌謝 III
目錄 IV
表目錄 VI
圖目錄 VIII
壹、緒論 1
貳、文獻探討 6
一、價量關係 6
二、因子模型發展及引用 7
三、分量迴歸 10
參、研究樣本與研究方法 12
一、研究樣本 12
二、研究方法 12
肆、實證結果 15
一、敘述性統計 15
二、台灣加權股價指數的價量關係 15
三、八大類股的價量關係(無控制變數) 16
(一)機電類股 16
(二)金融保險類股 17
(三)其他 18
四、八大類股的價量關係(有控制變數) 18
(一)電子類股 18
(二)金融保險類股 19
(三)其他 19
伍、結論 21
陸、參考文獻 22
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