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| Title: | 台灣八大類股價量關係
Price-Volume Relation of Taiwan Industrial Indices |
| Authors: | 杜芸菩
Tu, Yun Pu |
| Contributors: | 林信助
杜芸菩
Tu, Yun Pu |
| Keywords: | 類股指數
價量關係
分量迴歸
資訊不對稱
industrial indices
price-volume relation
quantile regression
information asymmetry |
| Date: | 2016 |
| Issue Date: | 2016-08-02 15:50:20 (UTC+8) |
| Abstract: | 本文以臺灣八大類股指數結合分量迴歸模型進行價量關係研究。有別於過去文獻多使用大盤指數進行分析，本文將以產業類股指數作為研究目標。實證結果顯示 : 「價量背離」與「價量齊揚」的效果同時存在於臺灣股市各個類股的價量關係中，且後者的效果普遍高於前者；而在八個產業類股中，尤以金融業在兩側分量的效果大於其他產業。另外，在相同的交易機制下，並非所有產業的價量關係皆會受到漲跌幅限制的影響而改變。本文更進一步選用法人持股佔該類股市值比作為資訊不對稱之代理變數，結果發現資訊不對稱程度較高的產業，在價量齊揚時，法人持股比的係數為負，代表在市場出現正報酬時，會有抑制股價上揚的效果；反之，在負報酬時，會加深股價下挫的力道。
This research examines the relation between stock return and trading volume of Taiwan’s eight industries using quantile regression model. Our empirical results show that, for most industry indices, both large positive returns and large negative returns are usually accompanied by a large trading volume, with the effect of large positive returns being stronger. Among all industries, the financial industry has the most significant effect in either situation. But for some industries, the price-volume relations change when returns approach the price limits. In addition, we also emphasize the impact of information asymmetry, using ownership share of institutional investors as the proxy variable. The results show that, in the situation of positive returns with large trading volume, the institutional trading variable will restrain stock price from continually rising. In contrast, in the situation of negative returns with large trading volume, the institutional effect will make the stock price overreact. |
| Reference: | 中文文獻
莊家彰、管中閔，2005。台灣與美國股市價量關係的分量迴歸分析，經濟論文，第 34卷第 4 期，379 – 404 頁。
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英文文獻
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
103351035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103351035 |
| Data Type: | thesis |
| Appears in Collections: | [Department of International Business] Theses
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