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| 题名: | 台灣股市波動與成交量關係的分量迴歸分析
Quantile regression analysis of volatility-volume relation of Taiwan stock index |
| 作者: | 陳威愷
Chen, Wei-Kai |
| 贡献者: | 張興華
Chang, Hsing-Hua
陳威愷
Chen, Wei-Kai |
| 关键词: | 價量關係
分量迴歸
當沖交易
Price-Volume relation
Quantile regression
Day trading |
| 日期: | 2017 |
| 上传时间: | 2017-07-24 12:02:53 (UTC+8) |
| 摘要: | 本文採用1989年10月2日至2017年4月12日的台灣股市加權指數日資料，並分為漲跌幅限制為7%的區間一，以及放寬為10%的區間二。接著使用〔(最高價-最低價)/昨日收盤價〕以及〔(收盤價-開盤價)/昨日收盤價〕兩個不同變數來衡量台灣股市單日的波動與報酬，然後也運用了週轉率、成交金額、5日均值比三種方法來估算股市成交量。藉此探討台灣股市波動與成交量的關係。使用的方法是分量迴歸模型，更細部的研究股市上漲或下跌時，每個分量之下不同的價量關係。
實證結果顯示，台灣股市普遍存在「價漲量增」與「價跌量增」的現象，且在波動越大的時候也就是分量尾端的部分，其關係更加的明顯。另外，使用三種變數來衡量成交量，在區間二大致得出相同的結論，但是區間一因為週轉率與成交金額的歷史走勢具有差異，所以結果也不盡相同。但是使用週轉率在歷史樣本中更具有相同的比較基礎，因此得出的結論也較一致，所以認為台灣股市仍是以「價漲量增」與「價跌量增」為普遍現象。
This paper used the Taiwan stock market index daily data from October 2, 1989 to April 12, 2017, which divided into a range of 7% of the price limit, and a range of 10%. There are two different variables to measure the volatility and return: [(the highest price - the lowest price) / yesterday`s closing price] and [(closing price - opening price) / yesterday`s closing price], and three different variables: turnover, dealing amount, 5-day average ratio to estimate the stock market volume. The method used is quantile regression model, and that allows us to observe different relationship between volatility and volume under every single quantile.
Empirical results show that there are two phenomena exist in the stock market of Taiwan: "rising values increase in volume" and "falling values increase in volume." In addition, the use of three variables to measure the volume, in the interval 2 roughly come to the same conclusion, but in the interval 1 because the historical trend of turnover rate and dealing amount are different, so the results are not the same. But the use of turnover in the history sample has the same comparison basis, so the conclusions are more consistent, so that the Taiwan stock market is still the " rising values increase in volume " falling values increase in volume" as a common phenomenon. |
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| 描述: | 碩士
國立政治大學
金融學系
104352003 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0104352003 |
| 数据类型: | thesis |
| 显示于类别: | [金融學系] 學位論文
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