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研究生:陳貞妤
研究生(外文):Chen,Chen-Yu
論文名稱:比較國家特徵在COVID-19前後對交易量和波動率的影響
論文名稱(外文):Comparing the Influences of Country Characteristics in Trading Volume and Volatility Surrounding COVID-19
指導教授:魏培煌魏培煌引用關係
指導教授(外文):Wei,Pei-Hwang
口試委員:王凱立陳昌志
口試委員(外文):Wang,Kai-LiChen, Chang-Chih
口試日期:2021-06-12
學位類別:碩士
校院名稱:靜宜大學
系所名稱:財務金融學系
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:2021
畢業學年度:109
語文別:中文
論文頁數:42
中文關鍵詞:交易量價格波動率國家特徵疫情
外文關鍵詞:Trading volumePrice volatilityCountry characteristicsCOVID-19
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新冠疫情的爆發對金融市場造成了衝擊,疫情勢必影響到投資者的行為。本文採用可能會影響到投資者行為的國家特徵去研究,提供對不同國家投資者行為的進一步見解。為了比較23個國家的國家特徵在COVID-19前後對市場交易量、價格波動率、和兩者之間關係的影響,本研究以縱橫資料迴歸(panel data regression)方法並採用月數據分析比較2019年(疫情前)和2020年(疫情期間)。
本文研究的主要結果如下:交易量在疫情前與個人主義、男性化、政治風險指數呈顯著正相關,而與權利距離指數、分析師人數呈顯著負相關,但是在疫情間交易量只有跟資訊披露程度呈顯著負相關,其它因素沒有顯著相關,所以這間接顯示疫情對交易量有重大影響;波動率在疫情前與政治風險指數、市場發展程度是顯著正相關,但是在疫情期間只有跟疫情病例確證增長率有顯著正相關,這顯示疫情對波動率有重大影響。至於交易量和波動率之間的關係,不論在疫情之前還是疫情期間只有跟平均年齡是顯著負相關,這顯示疫情對兩者之間的關係並沒有顯著的改變。總結而言,證據間接顯示,疫情對投資者的行為有重大的影響,而且結果跟本文部分的假說符合。

Since the outbreak of the COVID-19 has had an impact on the financial market, investor behavior has been affected by the epidemic. In this paper, the country characteristics that may affect investor behavior are adopted to study and provide further insights into the behavior of investors in different countries. In order to compare the influences of country characteristics of 23 countries with regard to trading volume, price volatility and volume-volatility relation, this study uses panel data regression and monthly data analysis to compare 2019 (pre-COVID-19) and 2020 (COVID-19-period).
The main results of this study are as follows. Before the COVID-19, trading volume was significantly positively correlated with individualism, masculinity, and political risk index, while it was significantly negatively correlated with the power distance index and the number of analysts. During COVID-19 period, the trading volume is only negatively correlated with the degree of information disclosure, and other factors are not significantly correlated, so this indirectly shows that the COVID-19 has a major impact on trading volume. Volatility was significantly positively correlated with political risk index and the degree of market development before COVID-19, but during the COVID-19 period, it is only significantly positively correlated with the growth rate of confirmed cases, which shows that the COVID-19 has a significant impact on volatility. As for the relationship between trading volume and volatility, whether it is before the COVID-19 or during the COVID-19 period, only average age is significantly negatively correlated with volume-volatility relation, which indicates that the epidemic has not significantly changed the relationship between the two. Overall, the evidence indirectly shows that the COVID-19 has a major impact on investor behavior, and the results are in line with some hypotheses in this research.

謝誌 I
摘要 II
ABSTRACT III
目錄 IV
表目錄 VI
圖目錄 VII
第一章 緒論 1
第一節 研究背景與動機 1
第二章 文獻探討 4
第一節 交易量和波動率之關係 4
第二節 影響交易量、波動率、和兩者關係的國家特徵 5
壹、文化特徵 5
貳、年齡分佈 6
叁、政治風險 6
肆、金融市場發展程度 7
伍、資訊透明度 7
陸、疫情與市場狀況 7
第三章 研究假說與方法 8
第一節 研究假說 8
壹、文化因素與交易量、波動率之關係 8
貳、人口平均年齡與交易量、波動率之關係 9
叁、政治風險與交易量、波動率之關係 10
肆、市場發展程度與交易量、波動率之關係 10
伍、資訊透明度與交易量、波動率之關係 11
陸、疫情確診病例與交易量、波動率之關係 11
第二節 變數定義 13
壹、應變數 13
貳、解釋變數 13
叁、控制變數 16
第三節 研究樣本選取標準與資料來源 17
第四節 模型建構 19
壹、評估國家特徵對交易量的影響 19
貳、評估國家特徵對價格波動率的影響 19
叁、評估交易量和價格波動率之間的關係 20
肆、評估國家特徵對交易量和價格波動率之間的關係之影響 22
第四章 實證結果 24
第一節 國家特徵對交易量的影響之迴歸分析 24
第二節 國家特徵對波動率的影響之迴歸分析 28
第三節 交易量和價格波動率的關係之自迴歸分析 30
第四節 國家特徵對交易量和波動率的關係影響之迴歸分析 33
第五章 結論 36
參考文獻 38
附錄 42
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