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研究生:李彌
研究生(外文):Mi Li
論文名稱:股票報酬與成交量、成交值、成交筆數之關係
論文名稱(外文):Relationships between Stock Returns and Trading Volume, Trading Value, and Transaction
指導教授:顧廣平顧廣平引用關係
指導教授(外文):Kuang-Ping Ku
口試委員:顧廣平黃明官王麗惠
口試日期:2023-06-26
學位類別:碩士
校院名稱:淡江大學
系所名稱:財務金融學系碩士班
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:2023
畢業學年度:111
語文別:中文
論文頁數:50
中文關鍵詞:成交量成交值成交筆數股票報酬
外文關鍵詞:Stock ReturnsTrading VolumeTrading ValueTransaction
DOI:10.6846/tku202300414
相關次數:
  • 被引用被引用:0
  • 點閱點閱:66
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  • 下載下載:21
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本研究以 2002 年 1 月至 2021 年 12 月之台灣證券交易所上市和中華民國證券櫃檯買賣中心上櫃之普通股股票為研究對象,透過成交量、成交值、成交筆數等變數建構投資組合,以探討台灣股票市場是否存在成交 量、成交值、成交筆數等效應。
結果顯示平均報酬與成交量、成交值或成交筆數間存在顯著負向關係,即台灣股市存在成交量、成交值、成交筆數等異常效應,此顯示成交量、成交值、成交筆數變化可反映股票價格未來的走勢,其有助於投資人以此判斷進場或出場的時機,獲取較佳的平均報酬。
This study takes the common stocks listed on the Taiwan Stock Exchange and the Taipei Exchange from January 2002 to December 2021 as the research objects. It constructs investment portfolios through variables such as trading volume, trading value, and transactions, to explore whether there are trading volume, trading value, and transaction effects in the Taiwan stock market.
The results show that there are significant negative relationships between the average return and the trading volume, trading value, or transactions, showing that there are abnormal effects in the Taiwan stock market. Meanwhile, the changes in trading volume, trading value, or transactions can reflect the future trend of stock prices, which helps investors to judge the timing of entering or exiting the market and obtain better average returns.
目錄
第一章 緒論 ......................................................................................................... 1
第一節 研究動機與背景..........................................................................................1
第二節 研究目的......................................................................................................3
第三節 研究架構與研究流程..................................................................................4
第二章 文獻探討.................................................................................................. 6
第一節 報酬與成交量之關係..................................................................................6
第二節 報酬與成交值之關係..................................................................................9
第三節 報酬與成交筆數之關係............................................................................10
第三章 研究方法................................................................................................ 13
第一節 研究樣本、研究期間與樣本來源............................................................13
第二節 投資策略....................................................................................................16
第三節 因子模式....................................................................................................19
第四節 橫斷面分析................................................................................................22
第四章 研究結果與分析 ............................................................................................ 23
第一節 報酬率分析................................................................................................23
第二節 因子模式分析............................................................................................32
第三節 橫斷面分析................................................................................................41
第五章 結論 ....................................................................................................... 44
參考文獻 ............................................................................................................. 46
中文文獻..................................................................................................................46
英文文獻..................................................................................................................47
圖目錄
圖 1-1 研究流程圖........................................................................................................5
表目錄
表 3-1 本研究樣本分年統計表..................................................................................15
表 3-2 各分類之研究變數平均值..............................................................................18
表 4-1 成交量、成交值、成交筆數各分類組合報酬之敘述統計..........................25
表 4-2 成交量、成交值、成交筆數各分類組合報酬之相關係數表......................26
表 4-3 成交量、成交值、成交筆數分類組合的平均報酬與檢定結果..................31
表 4-4 成交量、成交值、成交筆數分類組合的市場單因子模式之估計與檢定結果
..............................................................................................................................34
表 4-5 成交量、成交值、成交筆數分類組合的市場、規模、淨值市價比三因子模 式之估計與檢定結果..........................................................................................36
表 4-6 成交量、成交值、成交筆數分類組合的市場、規模、淨值市價比、獲利、 投資五因子模式之估計與檢定結果..................................................................39
表 4-7 Fama and Macbeth (1973)平均迴歸係數估計值及其檢定結果.................43
中文文獻
1. 王瑋瑄 (2016),「Google 搜尋指數與台灣股票報酬、成交量的關係研究」, 銘傳大學碩士論文。
2. 洪振虔 (2011),「交易量和報酬之關係與交易策略」,中山管理評論,第 19 卷,頁 305-342。
3. 高士軒 (2008),「價量關係:量是否為價格發現的先行指標」,逢甲大學 財務金融所碩士論文。
4. 陳俊宏 (2005),「台股指數成交筆數與委買委賣張數對指數報酬率影響之 實證研究」,朝陽科技大學財務金融學系碩士論文。
5. 劉應興和陳家彬 (2002),「台灣股票市場交易值、交易量與發行量加權股 價指數關係之實證研究-光譜分析之應用」,農業經濟半年刊,第 72 期,頁 65-87。
6. 劉邦杰 (2003),「台灣上市公司股票交易筆數與平均每筆交易量對股價波 動影響之實證研究」,國立高雄第一科技大學金融營運系碩士論文。
7. 羅玟甄 (2011),「股票成交量與報酬率關係之研究—從投資人情緒觀點」, 淡江大學管理科學所博士論文。
8. 羅偉桐 (2022),「日內交易資訊與報酬的可預測性」,國立中興大學高階 經理人碩士在職專班碩士論文。
英文文獻
1. Amihud, Y. (2002), “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects,” Journal of Financial Markets 5, 31–56.
2. Amihud, Y. and Mendelson, H. (1986), “Asset Pricing and the Bid-Ask Spread,” Journal of Financial Economics 17, 223-249.
3. Asness, C .S., Frazzini, A., and Pedersen, L. H. (2019), “Quality Minus Junk,” Review of Accounting Studies 24, 34-112.
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5. Carhart, M.M. (1997), “On Persistence in Mutual Fund Performance,” Journal of Finance 52, 57-82.
6. Chang, Y. YT. Faff, R., and Hwang C.-Y. (2010), “Liquidity and Stock Returns in Japan: New Evidence,” Pacific-Basin Finance Journal 18, 90-115.
7. Chen, G.-M., Firth, M. and Rui, O. M. (2001), “The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility,” Financial Review 36, 153-174.
8. Chordia, T and Swaminathan, B. (2000), “Trading Volume and Cross-Autocorrelations in Stock Returns,” Journal of Finance 55, 913-935.
9. Daniel, K., Grinblatt, M., Titman, S. and Wermers, R. (1997), “Measuring Mutual Fund Performance with Characteristic-Based Benchmarks,” Journal of Finance 52, 1035-1508.
10. Eleswarapu, V. R. (1997), “Cost of Transacting and Expected Returns in the
Nasdaq Market,” Journal of Finance 52, 2113-2127.
11. Fama, E. F. and French, K. R. (1993), “Common Risk Factors in the Returns on
Bonds and Stocks,” Journal of Financial Economics 33, 3-56.
12. Fama, E. F. and French, K. R. (2015), “A Five-Factor Asset Pricing Model,”
Journal of Financial Economics 116, 1-22.
13. Fama, E. F. and MacBeth, J. (1973), “Risk, Return, and Equilibrium: Empirical
Tests,” Journal of Political Economy 81, 607-636.
14. Frazzini, A. and Pedersen, L. H. (2014), “Betting Against Beta,” Journal of
Financial Economics 111, 1-25.
15. Gallant, R. A., Rossi, P. E. and Tauchen, G. (1992), “Stock Prices and Volume,”
Review of Financial Studies 5, 199-242.
16. Gündüz, L. and Hatemi-J, A. (2005), “Stock Price and Volume Relation in
Emerging Markets,” Emerging Markets Finance and Trade 41, 29-44.
17. Gopinath, S. and Krishnamurti, C. (2014), “Number of Transactions and Volatility: An Empirical Study Using High-Frequency Data From Nasdaq Stocks,” Journal of Financial Research 24, 205-218.
18. James, C. and Edmister, R. O. (1983), “The Relation Between Common Stock Returns Trading Activity and Market Value,” Journal of Finance 38, 1075-1086.
19. Jennings, R. H., and Barry, C. (1983), “Information Dissemination and Portfolio Choice,” Journal of Financial and Quantitative Analysis 18, 1-19.
20. Jennings, R.H., Starks, L., and Fellingham, J. (1981), “An Equilibrium Model of Asset Trading with Sequential Information Arrival,” Journal of Finance 36, 143-161.
21. Karpoff, J. (1987), “The Relation between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis 22, 109-126.
22. Li, X. and Luo, D. (2019), “Financial Constraints, Stock Liquidity, and Stock Returns,” Journal of International Financial Markets, Institutions & Money 63, 101139.
23. Llorente, G., Michaely, R., Saar, G., and Wang, J. (2002), “Dynamic Volume-Return Relation of Individual Stocks,” Review of Financial Studies 15, 1005-1047.
24. Luo, D. (2022), ”ESG, Liquidity, and Stock Returns,” Journal of International Financial Markets, Institutions & Money 78, 11526.
25. Moosa, I. A and Al-Loughan, N. E. (1995), “Testing the Price-Volume Relation in Emerging Asian Stock Markets,” Journal of Asian Economics 6, 407-422.
26. Osborne, M. F. M. (1959), ”Brownian Motion in the Stock Market,” Operations Research 7, 145-173.
27. Toda, H.Y., and Yamamoto, T. (1995), “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes,” Journal of Econometrics 66, 225-250.
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