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系統識別號 U0002-2301201014092200
中文論文名稱 產業別股票價量關係
英文論文名稱 Testing price-volume relationship of industrial stock in Taiwan
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 98
學期 1
出版年 99
研究生中文姓名 葉雅玲
研究生英文姓名 Ya-Ling Yeh
學號 796530169
學位類別 碩士
語文別 中文
口試日期 2010-01-04
論文頁數 50頁
口試委員 指導教授-聶建中
共同指導教授-林建甫
委員-古永嘉
委員-姜世杰
委員-黃博怡
中文關鍵字 價量關係  縱橫平滑移轉迴歸模型  縱橫平滑移轉效果  非線性 
英文關鍵字 price-volume relationship  Panel Smooth Transition Effect  Panel Smooth Transition Regression Model  Non-linear 
學科別分類
中文摘要 在市場技術分析上,有『量是價之先行指標』的說法,從中觀察量能結構的變化,能幫助投資人解讀漲跌背後的原因。根據過去的實證研究指出,價量關係可分為:1.價量齊揚2.價跌量縮3.價量背離,但過去學者對於產業別價格波動鮮少探討。因此本文以台灣五十成分股中電子以及金融類股為例,在股價、成交量與成交量週轉率為變數,來探討不同屬性產業之價量關係,亦觀察成交量波動與價格波動的漸進變化,以提供理性投資人在歷史實證資料的價量關係中,抓住個股之未來走勢。而本文所得到之實證結論如下:

1.金融類股股價與成交量於週轉率達2.5374時產生結構性變化,當金融類股之個股成交量週轉率低迷時,價量關係呈現負相關;而當個股週轉率活絡時,市場將轉為價量齊揚。
2.電子類股股價報酬率與成交量於週轉率達0.9748時產生結構性變化,當電子類股之個股成交量週轉率低迷時,價量關係呈現負相關,而當個股週轉率活絡時,市場將轉為價量齊揚。
3.電子與金融類股,週轉率與報酬率間存在著非線性關係。
4.電子與金融類股,當週轉率偏低時,週轉率與報酬率是呈現負相關;而當週轉率提高後,週轉率與報酬率則轉為正相關。
英文摘要 In the technical method, we can see that the volume often goes before the stock price, and investors may understand why the stock price goes up and down by observing the changes in volume. According to the relevant empirical studies, the relation between the volume and the price can be three types:1. the volume and the price go up at the same time 2. the price goes down while the volume decreases 3. the volume departures from the price, but there were not many studies about the price volatility among industries. So here we take the electronic and the financial stock from the Taiwan 50 Index as examples, and use the stock price, volume and volume turnover rate as variables to discuss the relation between the volume and the price in different industries, also to observe the incremental changes between the volume and the price volatility so that can provide investors to predict the stock price from the historical empirical studies of the relation between the volume and the price. The main empirical finding as below:

1.The financial stock price and the volume have structural changes when the turnover rate is 2.5374. When the financial stock volume is staying low, there is a negative correlation between the volume and the price;and when the turnover rate become adjustable, the volume and the price will go up at the same time in the stock market.
2.The electronic stock price and the volume have structural changes when the turnover rate is 0.9748. When the electronic stock volume is staying low, there is a negative correlation between the volume and the price;and when the turnover rate become adjustable, the volume and the price will go up at the same time in the stock market.
3.There is a non-linear relationship between the turnover rate and the return among the financial and the electronic stock.
4.Among the financial and the electronic stock, when the turnover rate is low, it is negatively related to the return;and when the turnover rate raises, it becomes positively related to the return.
論文目次 目錄
第一章 緒論......................... 1
第一節 研究背景及動機............. 1
第二節 研究目的................... 5
第三節 研究架構................... 5
第二章 文獻探討..................... 6
第一節 價量同時性關係之實證研究....6
第二節 價量因果關係之實證研究......7
第三節 以GARCH模型探討價量關係之實證研究....13
第四節 以平滑移轉非線性模型探討價量關係之實證研究....17
第五節 實證研究總結............... 18
第三章 研究方法..................... 19
第一節 縱橫單根檢定............... 19
第二節 縱橫平滑移轉迴歸模型....... 21
第三節 縱橫平滑移轉迴歸模型之設定..25
第四章 實證結果..................... 30
第一節 研究資料................... 30
第二節 各變數之基本統計分析....... 31
第三節 縱橫單根檢定之實證結果..... 32
第四節 金融類股之實證結果......... 33
第五節 電子類股之實證結果......... 37
第五章 結論及建議................... 42
參考文獻............................ 44

圖目錄
圖3-2-1 m=1之轉換模型............... .........24
圖3-2-2 m=2之轉換模型............... .........25
圖4-4-1金融類股模型轉換函數- 成交量週轉率.... 36
圖4-4-2金融類股報酬率走勢圖......... 36
圖4-4-3金融類股在金融海嘯前報酬率走勢圖...... 37
圖4-4-4金融類股在金融海嘯後報酬率走勢圖...... 37
圖4-5-1電子類股模型轉換函數- 成交量週轉率.....39
圖4-5-2電子類股類股報酬率走勢圖.............. 40
圖4-5-3電子類股類股在金融海嘯前報酬率走勢圖...40
圖4-5-4電子類股類股在金融海嘯後報酬率走勢圖...41

表目錄
表4-1-1 近兩年股票類股成交市值............... 30
表4-2-1 金融類股各變數之基本統計量........... 31
表4-2-2 電子類股各變數之基本統計量........... 32
表4-2-3 本研究之12家金融類股................. 32
表4-2-4 本研究之18家電子類股................. 32
表4-3-1 金融類股縱橫單根檢定實證結果......... 33
表4-3-2 電子類股縱橫單根檢定實證結果......... 33
表4-4-1金融類股股價報酬率對成交量週轉率之同質性檢定... 34
表4-4-2 金融類股股價報酬率對成交量週轉率之轉換模型選取..34
表4-4-3金融類股股價報酬率對成交量週轉率之轉換區間個數檢 定...... 34
表4-4-4金融類股模型估計結果.................. 35
表4-5-1電子類股股價報酬率對成交量週轉率之同質性檢定... 38
表4-5-2 電子類股股價報酬率對成交量週轉率之轉換模型選取....... 38
表4-5-3電子類股股價報酬率對成交量週轉率之轉換區間個數檢定....... 38
表4-5-4電子類股模型估計結果........................... 39

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