政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/99522

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/99522

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/99522

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/99522

Title:	台灣八大類股價量關係 Price-Volume Relation of Taiwan Industrial Indices
Authors:	杜芸菩 Tu, Yun Pu
Contributors:	林信助杜芸菩 Tu, Yun Pu
Keywords:	類股指數價量關係分量迴歸資訊不對稱 industrial indices price-volume relation quantile regression information asymmetry
Date:	2016
Issue Date:	2016-08-02 15:50:20 (UTC+8)
Abstract:	本文以臺灣八大類股指數結合分量迴歸模型進行價量關係研究。有別於過去文獻多使用大盤指數進行分析，本文將以產業類股指數作為研究目標。實證結果顯示 : 「價量背離」與「價量齊揚」的效果同時存在於臺灣股市各個類股的價量關係中，且後者的效果普遍高於前者；而在八個產業類股中，尤以金融業在兩側分量的效果大於其他產業。另外，在相同的交易機制下，並非所有產業的價量關係皆會受到漲跌幅限制的影響而改變。本文更進一步選用法人持股佔該類股市值比作為資訊不對稱之代理變數，結果發現資訊不對稱程度較高的產業，在價量齊揚時，法人持股比的係數為負，代表在市場出現正報酬時，會有抑制股價上揚的效果；反之，在負報酬時，會加深股價下挫的力道。 This research examines the relation between stock return and trading volume of Taiwan’s eight industries using quantile regression model. Our empirical results show that, for most industry indices, both large positive returns and large negative returns are usually accompanied by a large trading volume, with the effect of large positive returns being stronger. Among all industries, the financial industry has the most significant effect in either situation. But for some industries, the price-volume relations change when returns approach the price limits. In addition, we also emphasize the impact of information asymmetry, using ownership share of institutional investors as the proxy variable. The results show that, in the situation of positive returns with large trading volume, the institutional trading variable will restrain stock price from continually rising. In contrast, in the situation of negative returns with large trading volume, the institutional effect will make the stock price overreact.
Reference:	中文文獻莊家彰、管中閔，2005。台灣與美國股市價量關係的分量迴歸分析，經濟論文，第 34卷第 4 期，379 – 404 頁。盧陽正，2007，不同類型投資人委託資訊與成交揭示資訊之透明度與優勢資訊內涵─以台灣證券交易所掛牌交易公司逐筆資料解析，中華民國證卷商業同業公會委託專題研究。英文文獻 Ackert, L. F. and Athanassakos, G., “The Relationship between Short Interest and Stock Returns in the Canadian Market.” Journal of Banking and Finance, 29 (2005), 1729 – 1749. Bachelier, L., “Theory of Speculation.” Paris: Gauthier-Villars, 1900. Bagehot, W., “The only game in town.” Financial Analyst Journal, 27 (1971), 12 – 22. Barber, B. et al., “Just how much do individual investors lose by trading?” The review of Financial Studies, 22 (2009), 609 – 632 Beaver, W. H., “The Information Content of Annual Earnings Announcement.” Empirical Research in Accounting: Selected Studies, 6 (1968), 67 – 92. Canay, I. A., “A Simple Approach to Quantile Regression for Panel Data.” Econometrics Journal, 14 (2011), 368 – 386. Campbell, J.Y. et al., “Trading Volume and Serial Correlation in Stock Returns.” Quarterly Journal of Economics, (1993), in press. Clark, P. K., “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices.” Econometrica, 41 (Jan., 1973), 135 – 155. Gallant, A. R. et al., “Stock Prices and Volume.” Review of Financial Studies, 5 (1992), 199 – 242. Granger, C.W. and Morgenstern, O., “Spectral Analysis of New York stock Market Prices”, Kyklos, 16 (1963), 1 – 27. Hiemstra, C. and Jones, J. D., “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation.” The Journal of Finance, 49 (1994), 1639 – 1664. Jaffe, J. F., and Winkler, R. J., “Optimal speculation against an efficient market.” Journal of Finance, 31 (1976), 49 – 61. Karpoff, J. M., “The Relation Between Price Changes and Trading Volume: A Survey.” The Journal of Financial and Quantitative Analysis, 22 (Mar., 1987), 109 – 126. Koenker, R. and Bassett, G., “Regression Quantile.” Econometrica, 46 (1978), 33 – 50. Koenker, R. and Hallock, K.F., “Quantile Regression,” Journal of Economic Perspectives, 15 (2001), 143 – 156. Koenker, R., “Quantile regression for longitudinal data.” Journal of Multivariate Analysis, 91 (2004), 74 – 89. Lakonishok, J. et al., “The structure and performance of the money management industry.” Brookings papers on economic activity: microeconomics, (1992), 33 – 91. Llorente, G. et al., “Dynamic Volume-Return Relation of Individual Stocks.” The Review of Financial Studies, 15 (2002), 1005 – 1047. Lo, A. W. and Wang, J., “Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory.” The Review of Financial Studies, 13 (2000), 257 – 300. Mandelbrot, B., “The Variation of Certain Speculative Prices.” Journal of Business, 36 (1963), 394 – 419. Saatcioglu, K. and Starks, L.T., “The Stock Price–Volume Relationship in Emerging Stock Markets: the Case of Latin America. ” International Journal of Forecasting, 14 (1998), 215 – 225. Smirlock, M. and Starks, L.T., “An empirical analysis of the stock price-volume relationship.” Journal of Banking Finance, 12 (1988), 31 – 41. Ying, C. C., “Stock Market Prices and Volumes of Sales.” Econometrica, 34 (Jul., 1966), 676 — 685.
Description:	碩士國立政治大學國際經營與貿易學系 103351035
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0103351035
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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