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    题名: 過度反應或反應不足？台股之濾嘴法則實證研究
    Overreaction or Underreaction? : Empirical Study on the Application of Filter Rule to Taiwan Stock Market
    作者: 嚴浩祖
    贡献者: 郭炳伸
    嚴浩祖
    关键词: 成交量
    價量關係
    過度反應
    volume
    return
    overreaction
    日期: 2012
    上传时间: 2014-02-10 14:46:55 (UTC+8)
    摘要: 本論文以濾嘴法則應用在台灣股票市場，試圖揭露報酬率與成交量之間的關係。雖然在短期內可藉由過度反應獲取報酬，然而，報酬率與成交量的關係仍舊模糊不清，本篇引用的文獻並不足以解釋此研究的結果。另外，我們發現在近十年中，因流動性進行的交易，而非因資訊進行的交易，主導了台灣股票市場。
    This thesis uses filter rule on Taiwan stock market to uncover the relationship between return and volume change. Although the profits for overreaction in a short time horizon exist, the pattern of the combination of return and volume change is unclear. No theory mentioned in the literature seems to be able to fully explain the results in this study. Yet, we find that the liquidity trading, rather than information trading, dominates Taiwan stock market in recent decade.
    參考文獻: Blume, Lawrence; Easley, David; and O’Hara, Maureen, 1994, Market-Statistics and Technical Analysis: The Role of Volume, Journal of Finance, 49, 153-181.

    Campbell, John Y.; Grossman, Sanford J.; and Wang, Jiang, 1993, Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics, 108, 905-939.

    Chen, Yi-Yuan, 2006, A Study on Volume and Price Relationship in the Taiwan Stock Index- by the Method of Filter Rule, Unpublished Master Thesis, National Taipei University. (In Chinese)

    Conrad, Jennifer S.; Hameed, Allaudeen; Niden, Cathy, 1994, Volume and Autocovariances in Short-Horizon Individual Security Returns, Journal of Finance, 49, 1305-1329

    Cooper, Michael, 1999, Filter Rules Based on Price and Volume in Individual Security Overreaction, Review of Financial Studies, 12, 901-935.

    Gervais, Simon; Kaniel, Ron; and Mingelgrin, Dan H., 2001, The High-Volume Return Premium, Journal of Finance, 56, 877-919.

    Hsu, Shih-Shang, 2004, Market Efficiency of Taiwan Index Futures Market- Filter Rule Approach, Unpublished Master Thesis, National Chengchi University (In Chinese)

    Kelley, Eric Kyle, 2004, Evidence to the Contrary: Extreme Weekly Returns are Underreactions, Unpublished Doctoral Dissertation, Texas A&M University

    Lehmann, Bruce N., 1990, Fads, Martingales, and Market Efficiency, Quarterly Journal of Economics, 105, 1-28.

    Mayshar, Joram, 1983, On Divergence of Opinion and Imperfections in Capital Markets, American Economic Review, 73, 114–128.

    Miller, Edward M., 1977, Risk, Uncertainty, and Divergence of Opinion, Journal of Finance, 32, 1151–1168.

    Wang, Jiang, 1994, A Model of Competitive Stock Trading Volume, Journal of Political Economy, 102, 127-168
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    100351028
    101
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0100351028
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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