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    Title: 台股認購權證交易次數對標的股價波動度影響之探討
    The impact of warrants` number of transactions on stock price volatility
    Authors: 朱佳茹
    Chu, Chia-ju
    Contributors: 姜堯民
    Chiang, Yao-ming
    朱佳茹
    Chu, Chia-ju
    Keywords: 認購權證
    交易次數
    股價波動度
    GARCH模型
    warrants
    number of transaction
    volatility
    Date: 2003
    Issue Date: 2009-09-17 19:13:24 (UTC+8)
    Abstract: 股價波動度在財務金融領域一直受到高度的關切，雖然過去學者研究結論皆一致認同交易量與股價波動度具有顯著正向關係，交易量的變化可以視為相關訊息的傳遞，然而交易量能夠進一步分解為交易次數與平均交易規模，Jones, Kaul and Lipson（1994）等多位國內外學者也發現，交易次數較平均交易規模更具資訊內涵，指出交易次數才是造成股價波動的主要原因。然而有關交易次數方面之研究僅限於單一市場，隨著國內權證市場的興起，引發本研究進一步探討台股認購權證交易次數對標的股價波動度之影響，樣本選取2002年國內上市之所有個股型權證作為研究對象，以觀察是否交易次數較平均交易規模更具資訊內涵，並且代表市場臨時資訊的未預期交易次數較預期交易次數，對股價波動度更具顯著解釋能力。
    實證結果發現，認購權證交易量確實能有效解釋標的股價波動的特性。然而認購權證交易次數較平均交易規模對股價波動度更具資訊內涵，並且權證交易次數對股價波動度的顯著正向關係，並不受到平均交易規模的影響，因此可以推論權證交易量所隱含的資訊內涵，其實是源於交易次數本身所造成，而非規模，此結論大致上支持策略型模型之說法。
    若將交易活動變數進一步區分，更可發現權證交易次數不論預期與未預期，皆對股價波動度有正向顯著影響，並且權證未預期交易次數所蘊含之資訊內涵較預期交易次數為多，顯示股價波動度較易受到市場臨時資訊的影響，而透過交易行為傳遞到市場中，因此導致認購權證未預期交易次數對股價波動度具有高度正向的解釋能力。
    Reference: 一、中文部分
    1.王毓敏，「台股認購權證交易對於標的股票波動性的影響」，台灣金融財務季刊，第4輯第2期，2003年，65-79。
    2.李騰正，「考慮交易量時高頻率股市報酬率波動性之研究」，國立交通大學經營管理研究所碩士論文，2001年。
    3.李嘉真，「股價變動與交易次數和規模之關係」，國立中正大學財務金融研究所碩士論文，2002年。
    4.林華德、王甡，「台灣股市成交量對股價波動的影響1986-1994－GARCH 修正模型之應用」，企銀季刊，第19卷，1995年，40-58。
    5.林祺傑，「期貨價格波動與交易量之研究」，國立台灣科技大學管理技術研究所碩士論文，1995年。
    6.林武郎、趙宗宏，「臺灣股票市場波動與認購權證市場之探討--各波動度模型之比較研究」，臺灣銀行季刊，第54卷第3期，2003年，89-112。
    7.孟祥鈞，「波動性與交易規模關係之再解析－NASDAQ 與NYSE之比較」，淡江大學財務金融研究所碩士論文，2001年。
    8.徐合成，「台灣股市股票報酬率與交易量關係之實證研究--GARCH模型之應用」，國立台灣大學財務金融研究所碩士論文，1994年。
    9.陳逸謙，「股價指數期貨的交易量、價格波動與到期期間之關係」，國立台灣科技大學管理研究所資訊管理學程碩士論文，1999年。
    10.楊坤豪，「台灣認購權證市場交易活動變數對標的股票報酬條件波動度影響之研究」，國立政治大學財務管理學系碩士論文，1999年。
    11.劉亞秋，「台灣與香港股市成交量對股票報酬及其波動性關係之研究」，管理科學學報，第13卷第2期，1996年，331-352。
    12.劉思辰，「期貨交易對現貨股價指數波動之關聯性研究」，國立臺北大學合作經濟學系國際企業組碩士論文，2002年。
    13.劉邦杰，「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，2003年。
    14.鍾惠民、吳壽山、周賓凰、范懷文，「財金計量」，台北：雙葉書廊，2002年。
    15.羅主誠，「台灣股票市場交易量與報酬率波動性關係之研究」，國立成功大學會計研究所碩士論文，1998年。
    二、英文部分
    1.Admati, A. R. and P. Pfleiderer, 1988, “A theory of intraday patterns: Volume and price variability,” Review of Financial Studies, 1, 3-40.
    2.Black, F., 1976, “Studies of stock price volatility changes, Proceedings of the American Statistical Association,” Business and Economics and Statistics Section, 177-181.
    3.Bollerslev, T., 1986, “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, 31, 307-327.
    4.Bollerslev, T. and J. M. Wooldridge, 1992, “Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances,” Econometric Reviews, 11, 143-172.
    5.Bessembinder, H. and P. J. Seguin, 1992, “Futures-trading activity and stock return volatility,” Journal of Finance, 47, 2015-2034.
    6.Bessembinder, H. and P. J. Seguin, 1993, “Price volatility, trading volume, and market depth: Evidence from futures markets,” Journal of Financial and Quantitative Analysis, 28, 21-39.
    7.Clark, P. K., 1973, “A subordinated stochastic process model with finite variance for speculative price,” Econometrica, 41, 135-155.
    8.Copeland, T. E., 1976, “A model of asset trading under the assumption of sequential information arrival,” Journal of Financial, 31, 1149-1168.
    9.Campbell, J. Y. and L. Hentschel, 1992, “No news is good news: An asymmetric model of changing volatility in stock returns,” Journal of Financial Economics, 31, 281-318.
    10.Chiang, Y. M., V. W. Tai, and R. K. Chou, 2003, “Number of transactions and price volatility: Evidence from the Taiwan OTC market,” Working paper, National Chengchi University.
    11.Dickey, D. D. and W. A. Fuller, 1979, “Distribution of the estimators for autoregressive time series with a unit root,” Journal of the American Statistical Association, 74, 427-431.
    12.Engle, R. F., 1982, “Autoregressive condition heteroscedasticity with estimates of the variance of United Kingdom inflation,” Econometrica, 50, 987-1007.
    13.Easley, D. and M. O`Hara, 1990, “The process of price adjustment in securities markets,” Working paper, Cornell University.
    14.Engle, R.F., and V. Ng, 1993, “Measuring and testing the impact of news on volatility,” Journal of Finance, 45, 1749-1777.
    15.Enders, W., 2004, “Applied econometric time series,” John Wily & Sons, Inc, second edition.
    16.Fama, E. F., 1965, “The behavior stock market prices,” Journal of Business, 38, 34-105.
    17.Foster﹐F. D. and S. Vishwanathan﹐1990, “A theory of the intraday variations in volume﹐variance﹐and trading costs in securities markets﹐” Review of Financial Studies, 3, 593-624.
    18.Granger, C. and P. Newbold, 1974, “Spurious regressions in econometrics,” Journal of Econometrics, 2, 111-120.
    19.Glosten, L., R. Jagannathan, and D. Runkle, 1993, “On the relation between the expected value and the volatility on the nominal excess returns on stocks,” Journal of Finance, 48, 1779-1801.
    20.Gopinath, S.and C. Krishnamurti, 2001, “Number of transactions and volatility: An empirical study using high-frequency data from Nasdaq stocks,” Journal of Financial Research, 24, 205-218.
    21.Holthausen﹐R. W.and R. E Verrecchia﹐1990, “ The effect of informedness and consensus on price and volume behavior,” Accounting Review, 65﹐191- 208.
    22.Harris, M. and A. Raviv, 1993, “Differences in opinion make a horse race, Review of Financial Studies, 6, 473-506.
    23.Jones, C. M., G. Kaul, and M. L. Lipson, 1994, “Transactions, volume and volatility,” Review of Financial Studies, 7, 631-651.
    24.Kyle, A. S., 1985, “Continuous autions and insider trading,” Econometrica, 53, 1315-1336.
    25.Karpoff, J. M., 1987, “The relation between price changes and trading volume: A survey,” Journal of Financial and Quantitative Analysis, 22, 109-126.
    26.Kim, O. and R. E. Verrecchia, 1991, “Market reactions to anticipated announcements,” Journal of Financial Economics, 30, 273-309.
    27.Ljung, G. M. and G. E. P. Box, 1978, “On a measure of lack of fit in time series models,” Biometrika, 65, 297-303.
    28.Lamoureux, C. and W. Lastrapes, 1990, “Heteroskedasticity in stock return data: Volume versus GARCH effects,” Journal of Finance, 45, 221-230.
    29.Mandelbrot, B., 1963, “The variation of certain speculative prices,” Journal of Business, 36, 303-315.
    30.Nelson, D. B., 1991, “Conditional heteroskedasticity in asset returns：A new approach,” Econometrica, 59, 347-370.
    31.O’Hara, M., 1995, “Market microstucture theory,” Basil Blackwell Ltd.
    32.Pfleiderer, P., 1984, “The volume of trade and variability of prices: A framework for analysis in noisy rational expectations equilibria,” Working paper, Stanford University.
    33.Pindyck, R. S., and D. L. Rubinfeld, 1997, “Econometric models and economic forecasts,” McGraw-Hell, fourth edition.
    34.Park, T. H., L. N. Switzer, and R. Bedrossian, 1999, “The interactions between trading volume and volatility: evidence from the equity options markets,” Applied Financial Economics, 9, 627-637.
    Description: 碩士
    國立政治大學
    財務管理研究所
    91357008
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091357008
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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