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    Title: 台股指數報酬波動性與異常交易量的關係
    Authors: 陳榮逢
    Contributors: 饒秀華
    陳榮逢
    Keywords: 報酬波動
    混合分配假說
    異常交易量
    價量關係
    Date: 2007
    Issue Date: 2009-09-18 19:58:47 (UTC+8)
    Abstract: 價量關係一直是投資人觀察股市最直接的工具之一,但如何選擇適當的交易量變數卻是另一個難題。混合分配假說(Mixture of Distribution Hypothesis, MDH)認為交易量足以成為替代市場訊息流入的變數,但普通交易量的資訊成分過於複雜,並不能完全反應重大私有訊息的流入市場,在解釋價量關係上便稍顯不足。因此本文利用異常交易量(surprise volume)取代普通交易量,做為新的交易量變數,再加上GARCH-M的時序模型架構,試著解釋台灣股票市場的報酬波動。
    但本文從台灣市場的實證中發現,只有未經過自我相關、季節性調整的異常交易量變數,才能與報酬率波動呈現顯著的正相關,但此交易量變數並無法大幅的降低波動程度的持續性。另外,不對稱的報酬波動效果(槓桿效果)在台灣市場上相當顯著,說明了負面衝擊的效應對於報酬波動的影響會來的較大,但股票加權指數報酬並不具有風險溢酬的特性。
    Reference: 一、國內部分
    1. 王英明(2007),「台股報酬波動與訊息到達之關係研究」,國立政治大學國際經營與貿易研究所碩士論文。
    2. 王毓敏(2002),「交易量及波動性之關聯性-台股認購權證與標的股票之探討」,管理評論,第二十一卷第一期,頁115-136。
    3. 包曉天(2000),「高頻率股市報酬波動性之ANN-GARCH Model」,國立交通大學經營管理研究所碩士論文。
    4. 林華德、王甡(1995),「台灣股市成交量對股價波動的影響1986-1994
    -GARCH修正模型之應用」,企銀季刊,第十九卷,頁40-58。
    5. 吳東安(2001),「股價波動與交易量之關係」,暨南國際大學經濟研究所碩
    士論文。
    6. 徐合成(1994),「台灣股市股票報酬率與交易量關係之實證研究--GARCH 模
    型之應用」,國立台灣大學財務金融研究所碩士論文。
    7. 陳東明(1991),「台灣股票市場價量關係之實證研究」,國立台灣大學商學研究所碩士論文。
    8. 陳立國(1992),「台灣股市價量關係之研究」,國立台灣大學財務金融研究所碩士論文。
    9. 許溪南、黃文芳 (1997),「台灣股市價量線性與非線性關係之研究」,管理
    學報 ,第十四卷第二期,頁177-195。
    10. 許家豪(1998),「股票市場交易量與報酬波動因果關係實證分析」,國立中正大學企業管理學系碩士論文。
    11. 郭先城(2002),「檢視影響股價報酬因素:以美國、日本及台灣為例」,淡江大學財務與金融研究所碩士論文。
    12. 廖家群(1995),「台灣股市個別交易價量關係之實證研究」,國立台灣大學財務金融研究所碩士論文。
    13. 劉邦杰(2002),「台灣上市公司股票交易筆數與平均每筆交易量對股價波
    動影響之實證研究」,高雄第一科技大學金融營運所碩士論文。
    二、國外部分
    1. Anderson, T. G. (1996), “Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility,” Journal of Finance, Vol.51, pp.169-204.
    2. Bohl, M.T. and H. Henke (2003), “Trading Volume and Stock Market Volatility: The Polish Case,” International Review of Financial Analysis, Vol.12, pp.513-525.
    3. Bollerslev, T. (1986), “Generalized autogressive conditional
    heteroskedasticity.” Journal of Econometrics, Vol.31, 307-327.
    4. Clark, Peter K. (1973), “A Subordinated Stochastic Process Model with Finite Variance for Speculative Price,” Econometrica, Vol.41, No.1, pp.135-155.
    5. Copeland, T. E.(1976), “A model of asset trading under the assumption of sequential information arrival.” Journal of Finance, Vol.31, pp.1149-68.
    6. Epps, T. W., & Epps, M. L.(1976), “The stochastic dependence of
    security price changes and transaction volume: Implications for the
    mixture-of-distributions hypothesis. ” Econometrica, Vol.44, pp.305-321.
    7. Engle, R. F., Lilien, D. M., Robins, R. P. (1987), “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model,” Econometrica, Vol.55, pp.391-407.
    8. Foster, F. D., & Viswanathan, S.(1995). “Can speculative trading
    explain the volume-volatility return? ” Journal of Business and
    Economic Statistics, 13, 379-396.
    9. Gallant, A.R., P. E. Rossi and G. Tauchen (1992), “Stock Prices and Volume,” The Review of Financial Studies, Vol.5, No.2, pp.199-242
    10. Golsten, L. R., Jagannathan, R., Runkle, D. E. (1993), “On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,” Journal of Finance, Vol.48, pp.1779-1801
    11. Gallo, G.M. and B. Pacini (2000), “The Effects of Trading Activity on Market Volatility,” European Journal of Finance, Vol.6, pp.163-175.
    12. Hiemstra, C. and J. D. Jones(1994), “Testing for linear and nonlinear granger causality in the stock price-volume relation,” Journal of Finance, Vol.49, No.5, pp.1639-1664.
    13. Hodrick, R. J., Prescott, E. C. (1997), “Postwar U.S. Business Cycles: An Empirical Investigation, ” Journal of Money, Credit, and Banking, Vol.29, pp.1-16.
    14. Huang, B. N. and C. W. Yang (2001), “An Empirical Investigation of Trading Volume and Return Volatility of The Taiwan Stock Market,” Global Finance Journal, Vol.12, pp.55-77.
    15. Karpoff, J. M.(1987), “A relation between price changes and trading
    volume: a survey.” Journal of Financial Quantitative Analysis, Vol.22, pp.109-26.
    16. Lamoureux, C. G., and Lastrapes, W. D.(1990), “Heteroskedasticity in stock return data: Volume versus GARCH effects.” Journal of Finance, Vol.45, pp.221-230.
    17. Lamoureux, C. G., and Lastrapes, W. D.(1994).“Endogenous trading
    volume and momentum in stock-return volatility.” Journal of Business
    and Economic Statistics , 12, 253-260.
    18. Osborne, M. F. M. (1959), “Brownian Motion in The Stock Market,” Operation Research, Vol.7, pp.145-173.
    19. Tauchen, G. E. and Pitts, M.(1983), “The price variability-volume
    relationship on speculative markets .” Econometrica, Vol.51, pp.485-505.
    20. Wagner, N., and T. A. Marsh (2003), “Return-Volume Dependence and Extremes in International Equity Markets,” EFA 2003 Annual Conference Paper No. 284; Research Program in Finance RPF No. 293
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    95351014
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095351014
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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