政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/130490
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 94586/125118 (76%)
造访人次 : 30546671      在线人数 : 348
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻


    请使用永久网址来引用或连结此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/130490


    题名: 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
    作者: 彭明彥
    Peng, Ming-Yen
    贡献者: 謝淑貞
    彭明彥
    Peng, Ming-Yen
    关键词: 融券餘額
    超額報酬率
    日期: 2020
    上传时间: 2020-07-01 13:31:12 (UTC+8)
    摘要: 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.
    參考文獻: Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang(2010),“WHAT DO SHORT SELLERS KNOW?”

    Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang(2012),“WHAT DO SHORT SELLERS KNOW?”

    Ekkehart Boehmer, Truong X. Duong. R. Huszar(2016), “Short covering trades”

    Ying, C. C.(1966), “Stock market prices and Volumes of sales”, Econometrica ,PP.34,676-685.

    Smirlock, M., & L. Starks(1988), “An empirical analysis of the stock price volume relationship”, Journal of Banking and Finance ,PP.12,PP.31-41.

    Lakonishok, J. and S. Smidt,(1989), “Past Price Changes and Current Trading Volume”, The Journal of Portfolio Management, 15, PP.18-24.

    JR Woolridge, A Dickinson - Financial Analysts Journal, 1994 - Taylor & Francis

    Aitken, Michael J., Alex Frino, Michael S. McCorry, and Peter L. Swan, 1998. Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange, Journal of Finance 53, 2205-2223.

    Dechow, P., A. Hutton, L. Meulbroek, and R. Sloan, 2001, Short-sellers, fundamental analysis and stock returns, Journal of Financial Economics 61, 77-106.

    Asquith, P., Pathak, A., Ritter, J., 2005. Short interest, institutional ownership, and stock returns. Journal of Financial Economics 78, 243–276.

    Boehmer, Rodney D., Bartley R. Danielsen, and Sorin M. Sorescu, 2006. Short sale constraints, differences of opinion, and overvaluation, Journal of Financial and Quantitative Analysis, Jun2006, Vol. 41 Issue 2, p455-487

    Boehmer, Ekkehart, Jones, Charles M., Zhang, Xiaoyan, 2008. Which shorts are informed? Journal of Finance 63, 491-527.

    Boehmer, Ekkehart and Julie Wu, 2010, Short selling and the price discovery process, University of Oregon working paper.
    Chakrabarty, Bidisha , Pamela C. Moulton, and Andriy Shkilko,2011. Short Sales, Long Sales, and the Lee-Ready Trade Classification Algothrithm Revisited. Journal of Financial Markets, Vol. 15, page 467-491.

    Engelberg ,Joseph E., Adam V. Reed, Matthew C. Ringgenberg, 2012. How are shorts informed? Short sellers, news, and information processing , Journal of Financial Economics 105, 260-278.

    王端鎂(1995年),檢定融資融券比率對股票報酬率之影響,國立政治大學碩士論文

    張哲章(1998),「融資融券餘額、成交量與股價指數之關聯性研究」,證券金融季刊,第56期,67-94。

    郭建明(2002),台灣股市中融資餘額、融券餘額與股價指數之關係大盤與各類股之實證分析

    陳俊男(2004),信用交易指標、投資策略與股價超額報酬之關係

    張馨方(2005),臺灣股票市場加權股價指數報酬率與融資、融券餘額之相關性研究

    丁誌魰、曾富敏(2005),以向量自我迴歸模式探討臺灣股價、成交量、融資融券與法人進出之關聯性

    廖芳松(2006),融資餘額,融券餘額與大盤加權股價指數關聯性之研究
    詹思儒、林靖中、郭玟琇(2008),平盤以下可融券賣出對股票價格型為之影響

    吳惠萍(2008年),融資、融券餘額、外資買賣超對台灣股價影響-分量迴歸之應用,國立台灣大學碩士論文

    阮浩耘(2008年),放空限制及股市價格發現功能-以台灣中型100指數為例,國立台灣大學碩士論文

    陳建宏(2011年),借券交易對股價變化影響研究,國立台灣大學碩士論文

    朱民武(2015),融資融券對股價的影響_基於滬市A股的研究經驗
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    107351011
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0107351011
    数据类型: thesis
    DOI: 10.6814/NCCU202000516
    显示于类别:[國際經營與貿易學系 ] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    101101.pdf998KbAdobe PDF47检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈