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中文論文名稱 價量關係的微結構:台灣五十成份股為例
英文論文名稱 The Microstructure Relationship of Prices and Trading Volume for Underlying Stocks of Taiwan 50 Index
校院名稱 淡江大學
系所名稱(中) 管理科學研究所企業經營碩士在職專班
系所名稱(英) Executive Master's Program of Business Administration in Management Sciences
學年度 97
學期 1
出版年 98
研究生中文姓名 游啟民
研究生英文姓名 Chi-Min Yu
學號 795620284
學位類別 碩士
語文別 中文
口試日期 2009-01-08
論文頁數 87頁
口試委員 指導教授-倪衍森
委員-蕭文姃
委員-黃文濤
中文關鍵字 微結構  價量關係  融資  融券  機構投資人 
英文關鍵字 Microstructure  Price-volume Relationship  Margin Buying  Short Selling  Institutional investors 
學科別分類 學科別社會科學管理學
中文摘要 本研究分析2005-2007年間台灣五十成分股之日內資料之價量微結構關係,其中探討成交量、開盤成交量、收盤成交量與日內成交量的波動性對於報酬率之影響,並且研究信用交易、機構投資人交易與報酬率之間的關聯性,本文獲致如下結論:
1.成交量影響:成交量變動率對報酬有顯著正向影響,亦為成交量增加時,有助報酬提升。然而在開盤或收盤發生暴量情形時,反而拉低股價報酬,而且收盤的負面影響甚於開盤,亦為收盤暴量往往將股價拉的更低。
2.信用交易影響:融資對報酬有顯著負向影響,由於融資增加被視為未來賣盤,所以不利股價之推升。融券對報酬則有顯著正向影響,意謂當融券增加,股價往往隨後上揚,進而有被迫回補(軋空壓力)而續漲,是以被視為負面之散戶融資券指標,好像在本研究中獲得證實。
3.機構投資人影響:外資前一日買超,有利於股價的推升,此外外資介入金額之增加(買入金額+賣出金額),也有助於報酬之提升,然而投信及自營商之影響就不如外資來的顯著。
英文摘要 This study investigates the microstructure relationship of prices and trading volume for underlying stocks of Taiwan 50 Index over the period 2005-2007. The main purposes are to explore if these variables, such as trading volume, opening volume, closing volume, intraday volume volatility, margin buying, short selling, and institutional investors’ trade will affect stock returns, and several important findings are shown as follows:
1.Aspect of Volume:There is a significant positive effect from trading volume to stock returns. While trading volume increases, the stock return will raise up. The opening and closing 15 minutes trading volume are negatively related to stock returns, It means the higher the opening and closing trading volume, the lower the stock returns, and the closing trading volume will lower down the share price in comparing with the opening trading volume.
2.Aspect of Credit trade:Margin buying is negatively related to stock returns, since it is the future selling force in share market. In this empirical study, margin buying will decline share price in the future. Similarly, short selling is positively related to share price, because it is the buying force in the future, this illustrates the increase of short selling will increase the future share price. Thus, margin buying and short selling deemed as negative indicators are confirmed in this study.
3.Aspect of trading of institutional investors:The signal of net buy trading volume from foreign institutional investors at time t-1 will raise the share price at time t, and the higher the trading volume from foreign institutional investors including buying and selling amount also will lift up the share prices. However, this phenomenon is not shown in trading from investment trust institution and dealers.
論文目次 第一章 緒論
第一節 研究動機 1
第二節 研究目的 2
第三節 研究流程 4
第四節 論文架構 5
第二章 文獻探討
第一節 成交量相關文獻 6
第二節 信用交易相關文獻 7
第三節 機構投資人相關文獻 8
第三章 研究方法
第一節 研究假說 10
第二節 研究對象 14
第三節 變數定義與衡量 15
第四節 研究方法 15
第四章 實證結果與分析
第一節 敘述統計分析 18
第二節 多元迴歸分析 19
第三節 逐步迴歸分析 36
第五章 結論與建議
第一節 研究結論 50
第二節 研究限制與建議 50
第三節 研究應用 51
參考文獻 52
附錄 56

表 目 錄
表4-1 台灣50成分股 14
表4-2 敘述統計分析表 18
表4-3 個股報酬率之多元迴歸分析實證結果 20
表4-4 多元迴歸分析係數統計表(全部樣本)27
表4-5 多元迴歸分析係數統計表(電子股) 29
表4-6 多元迴歸分析係數統計表(金融股) 32
表4-7 多元迴歸分析係數統計表(非電子金融股﹞ 35
表4-8 個股報酬率之逐步迴歸分析實證結果 37
表4-9 逐步迴歸分析係數統計表(全部樣本) 43
表4-10 逐步迴歸分析係數統計表(電子股) 45
表4-11 逐步迴歸分析係數統計表(金融股﹞ 47
表4-12 逐步迴歸分析係數統計表(非電子金融股) 49

圖 目 錄
圖 1-1 研究架構流程圖 4
圖 3-1 研究架構關係圖 10
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