臺灣博碩士論文加值系統

本論文採用美國的那斯達克指數期貨、道瓊工業指數期貨、臺股期貨及以台灣股市為投資標的之摩根臺股指數期貨進行比較分析。樣本期間的開盤價、收盤價、報酬率及交易量等資料的分佈皆符合常態分配。
因果檢定結果中發現四個指數的前一期收盤價與當日開盤價皆為顯著正向關係，代表前一期收盤價變動越大，當日開盤價變動也顯著變大，因此在台灣與美國四個期貨指數皆觀察到，前一期收盤價對於投資人在擬定未來投資策略時是非常重要的資訊。在價量關係檢定結果中發現，臺股期貨市場和美國期貨市場分別有顯著價量關係，亦即臺股期貨和摩根台股指數期貨報酬越高，臺股期貨交易量顯著上升，那斯達克指數期貨交易量則顯著下降，而那斯達克指數期貨、道瓊工業指數期貨工業指數期貨和臺股期貨報酬上漲時，道瓊工業指數期貨交易量顯著縮小，可觀察到臺股期貨報酬越高，其交易量越大，同日美國期貨交易量則萎縮，當美國期貨報酬越高，反而其交易量縮小，同日的臺股期貨交易量則變大。本研究以變異數統計檢定星期效應，結果並沒有發現週五報酬較高或週一報酬較低的現象出現，亦即沒有發生顯著的星期效應，另外指數變異數分析(ANOVA)結果觀察到，不同的星期之間的平均報酬沒有顯著差異。本研究結果期望提供主管當局訂定相關法律時之參考。

This study involved conducting a comparative analysis by using data on NASDAQ index futures, Dow Jones Industrial Average futures, Taiwan Stock Exchange Capitalization Weighted Stock index, and SGX MSCI Taiwan index futures invested in the Taiwanese stock market. Data on the opening price, closing price, return on investment (ROI), and trading volume during the sampled period were normally distributed.
Causality test results revealed that, of the four indices, the closing prices of the previous periods were significantly positively correlated with the opening prices of the present periods, suggesting that the greater the closing price of the previous period fluctuates, the greater the opening price of the present period fluctuates. Thus, the four futures indices from Taiwan and the United States indicated that the closing price of the previous period provides investors with crucial information on future investment portfolios. The results of price-volume relationship tests indicated that a significant correlation exists between price and volume in the Taiwan Stock Exchange Capitalization Weighted Stock index market and the U.S. futures market. In other words, the higher the ROI of SGX MSCI Taiwan index futures and Taiwan Stock Exchange Capitalization Weighted Stock index is, the higher the trading volume of Taiwan Stock Exchange Capitalization Weighted Stock index and the lower the trading volume of NASDAQ index futures. When the ROI of Dow Jones Industrial index futures and Taiwan Stock Exchange Capitalization Weighted Stock index rises, the trading volume of Dow Jones Industrial index futures drops significantly. Thus, the higher the ROI of Taiwan Stock Exchange Capitalization Weighted Stock index is, the greater the trading volume in the Taiwan Stock Exchange Capitalization Weighted Stock index market is. The trading volume in the U.S. futures market decreases on the same day. By contrast, when the ROI in the U.S. futures market rises, the trading volume of U.S. futures decreases, whereas the trading volume of Taiwan Stock Exchange Capitalization Weighted Stock index increases on the same day. In this study, an analysis of variance (ANOVA) was performed to test the weekday effect. The results indicated neither a higher ROI on Friday nor a lower ROI on Monday, suggesting that no significant weekday effect existed. In addition, the ANOVA results revealed no significant difference in the mean average ROI between weeks. The research results may be used as a reference for legislative purposes.

目錄
中文摘要 I
英文摘要 II
目錄 IV
表目錄 VI
圖目錄 VI
第一章 緒論 1
第一節 研究目的與動機 1
第二節 研究架構流程圖 2
第二章 文獻回顧 4
第一節 漲跌幅限制相關文獻 4
第二節 價量關係 9
第三節 星期效應 11
第三章 研究方法 21
第一節 模型建立 21
第四章 實證結果與分析 23
第一節 資料來源 23
第二節 敘述統計分析 23
第三節 開盤價與收盤價的因果關係檢定 27
第四節 價量關係檢定 30
第五節 星期效應檢定 35
第五章 結論 38
參考文獻 40
附錄 48
表目錄
表2-1 漲跌幅限制相關文獻 13
表2-2 價格遞延假說相關文獻 14
表2-3 交易干擾假說相關文獻 15
表2-4 波動性外溢假說相關文獻 16
表2-5 磁吸效用相關文獻 17
表2-6 價量關係相關文獻 18
表2-7 星期效應相關文獻 20
表4-1 指數的開盤價敘述統計量 24
表4-2 指數的收盤價敘述統計量 25
表4-3 指數的報酬率敘述統計量 26
表4-4 指數的交易量敘述統計量 27
表4-5 指數的開盤價與收盤價迴歸分析 28
表4-6 開盤價與收盤價的White Test檢定 28
表4-7 開盤價與收盤價自我相關檢定 29
表4-8 指數的價量迴歸分析 31
表4-9 價量關係White Test檢定 32
表4-10 價量關係自我相關檢定 33
表4-11 臺股期貨各星期報酬敘述統計表 35
表4-12 那斯達克指數各星期報酬敘述統計表 36
表4-13 道瓊工業指數期貨各星期報酬敘述統計表 36
表4-14 摩根臺股指數期貨各星期報酬敘述統計表 37
表4-15 指數報酬的變異數統計分析結果 37
圖目錄
圖1- 1 研究架構流程圖 3

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