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    题名: 台灣市場小型股與成交量之實證關係
    An empirical study of relations between small cap stock and volume in taiwanese stock market
    作者: 林大偉
    贡献者: 林建秀
    林大偉
    关键词: 量價關係
    技術分析
    小型股
    因果關係
    三因子模型
    縱橫迴歸模型
    relation between volume and price
    technical analysis
    small caps
    granger causlity test
    three-factor model
    panel data model
    日期: 2009
    上传时间: 2011-10-11 16:50:45 (UTC+8)
    摘要: 量價關係，一直以來皆為技術分析學派所廣泛運用，其主張運用過去的股價以及成交量來推測股票未來的走勢，而也有許多的研究以及投資策略皆是從量價關係所出。在國內，小型股也由於其股本小的特性，往往成為有心人士炒作之標的。此外，小型股亦較大型股具有不對稱資訊的性質，而由於成交量背後往往隱藏著許多的資訊，因此投資人利用量與價之間的關係，得到能夠有效預測小型股股價的方法以利其投資。

    而本文之研究，將量價關係運用在小型股上，想檢視彼此間有無任何關係存在。本文中我們使用了因果關係檢定，三因子模型，以及縱橫迴歸模型，用來分別檢視小型股與大型股的量價關係。驗證結果發現，在不同的檢驗方式下，都會得到小型股較大型股，有顯著量價影響的關係存在。
    The relation between volume and price is widely used in technical analysis. It predicts future stock price by using past stock price and volume. There are lots of investigations and investment strategies are stemmed from it. In Taiwan, small caps are preferred to be held by the people who would like to manipulate the price because of their small number of capitalization. In addition, compared with large caps, small caps are of asymmetric information to the investors. As there is lot of information hidden behind volume, investors are likely to use the relation between volume and price to get a useful way to predict small caps’ stock price.

    In this paper, I use granger causality test, three-factor model, and panel data model to test the relation between price/return and volume of small caps and big caps separately. The experiment shows that use different ways, we can verify there exist more obvious relations between volume and price in small caps than in large caps.
    參考文獻: 1.英文參考資料
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    描述: 碩士
    國立政治大學
    金融研究所
    97352021
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097352021
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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