本研究選取能夠研判投資人心目中的熱門股與冷門股與代表流動性的「成交量」做為移轉變數，並透過Gonza'lez, Teräsvirta, and Van Dijk (2005)所提出的縱橫平滑移轉模型，探討在不同成交量下，各影響因子對股票報酬的非線性影響力。    
    實證結果發現：不同成交量下，臺灣金融業之股票報酬確實存在非線性的現象，且可依據所得出的兩個門檻值：0.1108億與16.04億將資料分為低、中、高成交量等三區，各區域間的移轉速度則分別為2.5774與0.0002。在中成交量區間下，波動率指數、帳面市值比與營收成長率等三因子，對股票報酬皆存在正向顯著影響，顯示出在多數情況下，投資者可觀察上月份波動率指數，並挑選高帳面市值比與高營收成長率等股票來進行佈局。在低成交量區間下，因為波動率指數對股票報酬擁有正向顯著影響，故投資人可藉由觀察波動率指數進行投資，另一方面，則可能因為低成交量股票受關注程度較低，因此造成前12個月報酬對當期股票報酬具有顯著的正向影響，故在此區間下投資人可藉由動能策略的操作來賺取報酬，而在高成交量區間下，很可能因為股票受到市場投資人過度關注，以致於營收成長率與前12月報酬都對股票報酬產生顯著的負向影響，因此當社會大眾過度狂熱於某些熱門股票時，投資人反而應將營收成長率與前12月股票報酬視為反向指標進行投資。

According to liquidity premium theory, high volume presents low liquidity risk so investors will expect less return.  Nevertheless a part of investors think high volume stocks would bring high return, hence they pursue glamour stocks.  Under heterogeneous believe of investors, this study takes volume as transition variable and puts it into panel smoothing transition regression model which is built up by Gonza'lez, Teräsvirta, and Van Dijk (2005) to figure out stock return in nonlinear model with variation of volume.
     The result shows that the stock return of financial market in Taiwan exists nonlinear phenomenon.  Baseing on the result, we can obtain two thresholds (0.01108 billion and 1.604 billon) which can divide the data into low, middle and high volume sectors and the transition speed of each sectors are 2.5774 and 0.0002.  In middle volume sector, volatility index (VIX), book to market ratio (B/M) and growth rate of revenue (G(S)) exists positive and significant effect to stock return.  This result reveals that investors can observe VIX and buy high B/M and G(S) stocks to gain return.  In low volume sector, VIX still exists positive and significant effect so investors can also observe VIX as an investment indictor.  Besides, less attention on cabinet stocks might make stock price undervalue, hence past 12-month return (PR12) reveals positive effect to currency stock return.  Thus investors can use momentum strategy in this sector.  In high volume sector, too much attention might make stock price overvalue and lead G(S) and PR12 to negative and significant effect to stock return.  Therefore, when people are crazy about buying glamour stocks, investors should regard G(S) and PR12 as inverse indictors.

目錄
第一章	緒論	1
第一節	研究背景與動機	1
第二節	研究目的	4
第三節	研究架構與流程	5
第二章	文獻探討	7
第一節	探討股票報酬的研究方法	7
第二節	成交量與股票報酬之間的關連性	8
第三節	影響股票報酬的因子	10
第三章	資料與研究方法	15
第一節	資料	15
第二節	縱橫單根檢定	16
第三節	縱橫平滑移轉迴歸模型	19
第四章	實證結果與分析	26
第一節	敘述統計分析	26
第二節	縱橫單根檢定	27
第三節	成交量對股票報酬之平滑移轉效果	28
第五章	結論與建議	37
第一節	結論	37
第二節	研究限制	38
第三節	後續研究建議	39
參考文獻	40

表目錄
表3.1.1  模型中各變數的定義	16
表4.1.1  各變數之敘述統計分析	27
表4.2.1  各變數原始序列之單根檢定	28
表4.3.1  成交量對股票報酬之同質性檢定	29
表4.3.2  成交量對股票報酬之轉換區間個數檢定	30
表4.3.3  各模型檢定結果與AIC、BIC	31
表4.3.4  門檻值與轉換速度(m=1, r=2)	31
表4.3.5  各公司所屬之成交量區間	32
表4.3.6  各區間之成交量出現次數與比率	33
表4.3.7  成交量對股票報酬之估計結果(m=1, r=2)	36
表4.3.8  成交量對股票報酬模型中解釋變數之影響(m=1, r=2)	36

圖目錄
圖1.1.1  臺灣銀行一年定存固定利率(%)	2
圖1.1.2  臺灣消費者物價指數年增率(%) (2006=100)	3
圖1.1.3  臺灣銀行一年定存固定利率與實質利率(%)	3
圖1.3.1  研究流程圖	6
圖2.3.1  波動率指數(VIX)與臺灣金融類股指數(F Index)走勢圖	11
圖3.3.1  邏輯型模型(m=1)	21
圖3.3.2  二次指數型模型(m=2)	22

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