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| Title: | 個股的動態價量關係 - 以台灣股票市場為例 |
| Authors: | 李苓碩 |
| Contributors: | 謝淑貞
李苓碩 |
| Keywords: | 價量關係
Volume-Return |
| Date: | 2006 |
| Issue Date: | 2009-09-11 17:07:46 (UTC+8) |
| Abstract: | We utilize the model of Llorente, Michaely, Saar and Wang (2002) to exam the dynamic volume-return relation of individual stocks in Taiwan stock market. In the LMSW (2002) model, investors trade to share risk and speculate on private information, and the show that hedging trades generate negatively autocorrelation returns, whereas speculative trades generate positively autocorrelation returns. We use daily volume and return data of stocks listed on TSEC to test the prediction of the model. Our results, which are consistent with LMSW (2002), show the cross-sectional variation in the relation between volume and return autocorrelation is related to the degree of information asymmetry. When we use some difference proxies of information asymmetry to test, the dynamic volume-return relation in Taiwan still consists with the theoretical prediction of LMSW (2002). |
| Reference: | 1. 林鎧文(1999)，「強制性財務預測負向更新與信用交易關係之研究」，國立政治大學會計研究所碩士論文。
2. 孫佩儀（2002），「台灣股市成交量與報酬序列相關之研究-資訊不對稱」，碩士論文，銘傳大學金融研究所。
3. 陳建宏(2002)，「臺灣上市公司內部人交易之實證研究」，台灣大學財務金融研究所碩士論文。
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6. 范秋足(2005)，「證券市場中私有資訊交易之探討—以更新財測為例」，國立東華大學企業管理研究所博士論文。
7. 王薇茵(2005)，「公司資訊環境對內部人交易獲利之影響」，國立彰化師範大學會計研究所碩士論文。
8. 王昭平(2005)，「公司治理資訊揭露透明度實證研究」，國立雲林科技大學財務金融研究所碩士論文。
9. Antoniewicz, R.L., 1993, “Relative Volume and Subsequent Stock Price Movements,” working paper, Board of Governors of the Federal Reserve System.
10. Blume, L., D. Easley, and M. O’Hara, 1994, “Market Statistics and Technical Analysis：The Role of Volume,” Journal of Finance, 49, 153-181.
11. Campbell, J. Y., S.J. Grossman, and J. Wang, 1993, “Trading Volume and Serial Correlation in Stock Returns,” Quarterly Journal of Economics, 108, 905-939.
12. Chiang, R., and Venkatesh, P., 1988, “Insider Holdings and Perceptions of Information Asymmetry: A Note,” The Journal of Finance, Vol. 43, No.4, pp. 1041-1048.
13. Duffee, G., 1992, “Trading Volume and Return Reversals,” Finance and Economics Discussion Paper Series no. 192, Board of Governors of the Federal Reserve System.
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19. Lebaron, B., 1992, “Persistence of the Dow Jones Index on Rising Volume,” working paper, University of Wisconsin.
20. Llorente, G., Michaely, R., Sarr, G. and J. Wang, 2002, “Dynamic Volume- Return Relation of Individual Stocks.” Review of Financial Studies, 15, 1005-1047.
21. Morse, D., 1980, “Asymmetric Information in Securities Markets and Trading Volume,” Journal of Financial and Quantitative Analysis, 15, 1129-1148.
22. Wang, J., 1994, “A Model of Competitive Stock Trading Volume,” Journal of Political Economy, 102, 127-168.
23. Ying, C.C., 1966, “Stock Market Prices and Volumes of Scales”, Econometrica 34, 676-686 |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
94351025
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0094351025 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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