政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/65568

政大典藏 > College of Commerce > Department of Business Administation > Periodical Articles > Item 140.119/65568

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/65568

Title:	股價行為與規模效應：臺灣股票市場實證研究
Authors:	李春旺;劉維琪;高孔廉
Contributors:	企管所
Keywords:	股價行為;規模效應;風險－報酬抵換;反向規模效應;季節性行為 Stock prices behavior;Size effect;Risk-return tradeoff;Reverse size effect;Seasonality
Date:	1989.07
Issue Date:	2014-04-22 18:05:57 (UTC+8)
Abstract:	本研究的主要目的在於試圖了解台灣股票市場的「股價行為」與「規模效應」之間的關係，特別是「季節性現象」及「週末效應」等與「規模效應」的關係；並試圖用變異數分析、廻歸分析來探討報酬與風險的關係。研究結果發現，「系統性風險是風險唯一攸關的衡量」、「台灣股票市場股票在一週中各日的期望報酬相等」、「台灣股票市場期望報酬有公司規模效應存在」及「台灣股票市場股票季節性行為公司規模有關」四項假設得到證實。而將風險區分成系統性風險和非系統性風險時，實證結果顯示非系統性風險在計算證券報酬時沒有作用；而且，系統性風險與報酬之間形成一種負向抵換的關係，這可能是由於台灣股票市場的市場成熟度低所造成。當以公司規模代替風險時顯示股票報酬有公司規模效應存在，規模似乎比風險更能解釋股票報酬的差異。此外實證結果也發現季節性，現象有橫斷面差異存在，週末效應則否。最後，本研究也發現台灣股票市場中確實有與國外市場不同的地區性存在，根據國外學者的理論所作的實證，不能完全解釋這種差異。本論文的結果與結論在理論與投資實務上都有涵義，特別是對效率資本市場及運用CAPM所作的研究，亦有進一步斟酌的必要；而對產業別公司別的比較研究，跨國別的比較研究，利用不同研究方法進行檢定，可以作為進一步之建議。 In the effort to bring to light the nature of the Taiwan Stock Market, the author developed several hypothesis with regard to the reationships between stock prices behavior, including seasonality and weekend effect, and size effect, one of the puzzles challenges the validity of CAPM. The results confirmed that systematic risk is the only relevant risk measurement. However, the risk-return trade off is negative, contrast to most findings. One of the posible explanations is low market maturity. When risk is replaced by size, the market displayed an unique plenomenon, that a pattern of "reverse size effect" appeared, the largers a company was, the higher returns the market expected. No weekend effect was found, though Monday returns are almost always negative. The seasonality on monthly basis can nnot be rejected, however, no fix pattern existed. In general, the smaller a company was, the more can be said about its seasonality. These and other irregularities taught us that we can not apply the results obtained from other markets without some qualifation.
Relation:	管理評論, 8, 99-121
Data Type:	article
Appears in Collections:	[Department of Business Administation] Periodical Articles

Files in This Item:

File	Description	Size	Format
99121.pdf		1419Kb	Adobe PDF2	705	View/Open

社群 sharing

Loading...