政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130490
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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/130490

    Title: 融券餘額對個股超額報酬率之影響
    The impact of margin balance on excess return on individual shares
    Authors: 彭明彥
    Peng, Ming-Yen
    Contributors: 謝淑貞
    Peng, Ming-Yen
    Keywords: 融券餘額
    Date: 2020
    Issue Date: 2020-07-01 13:31:12 (UTC+8)
    Abstract: 本研究以元大台灣五十的主要成分股為例去探討,並從中研究何種類型及哪種股票是易被軋空及不易被軋空的。而從我們利用OLS的回歸方法跑出的結果中可以得知下列,我們實證的結果中可以發現傳統產業(台塑及台化)的融券賣出數量對超額報酬的係數是較大的,也代表被軋空的機會及幅度是較大的,相反的,電子產業(台積電及鴻海)的融券賣出數量對超額報酬的係數是較小的,也代表相對而言被軋空的機會及幅度是較小的。
    This study takes the example of the 50 main constituent stocks of Yuanda Taiwan as an example, and studies from which what type and which stocks are easy to roll and not easily rolled out. And from our use of OLS regression method to run out of the results can be seen the following, our empirical results can be found that the traditional industry (Taiwan plastic and Taiwanization) of the amount of securities sold on the excess compensation coefficient is larger, but also represents the opportunity and range of rolling out is larger. On the contrary, the number of securities sold by the electronics industry (TSMC and Hon Hai) has a smaller factor on excess compensation, and also represents a relatively small chance and range of rolling out.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107351011
    Data Type: thesis
    DOI: 10.6814/NCCU202000516
    Appears in Collections:[Department of International Business ] Theses

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