在傳統財務理論中，投資人是被視為是理性的，依據股票價格之攸關資訊，作出投資決策；即使有不理性的行為出現，也是被其他不相關的非理性行為抵銷。近年來，愈來愈多的實務現象與學術上的研究，顯示投資人非理性的行為會影響資產的價格與投資人的報酬率，因此非理性行為對資產價格的影響，不再被視為是異常現象，值得實務專家與理論學者進一步探討。
    成交量在實務市場中，除了是表示流動性高低之指標外，其資訊內容常是投資人用以預測未來股價走勢的工具。例如：量先價行，高量之後還有高價，低量之後還有低價；價量齊揚，股價仍有高點，價量背離，是價格反轉的訊號等。此外，許多學者的研究顯示，成交量的變化可以反應投資人的情緒，而投資人過度自信的非理性信念也會影響成交量，進而影響未來的報酬率。
   故本論文探討成交量與非理性交易行為，以揭露成交量之資訊內容，進而瞭解投資人非理性交易行為，有助於投資決策之制定。主要的研究結論為：第一，成交量變化量作為投資人情緒代理變數時，對於台灣股市之超額報酬率具有正向且顯著之影響。再者，根據過度自信假說，異常成交量與報酬率形成的量價關係，對於未來報酬率具有解釋能力。最後，異常高成交量可以反應投機性的流動性交易，異常高的個人投資人淨交易可以反應避險性或是非理性動機的流動性交易，若結合異常報酬率的資訊後，可以作為雜訊交易的訊號。

Theoretically, investors are thought to be rational under the efficient market hypothesis (EMH). Under EMH, investors are assumed to be rational and therefore to value securities rationally. Even if some investors trade irrationally, they would trade in a random way, and their irrational trading can be cancelled out by other different and uncorrelated irrational trading. Many empirical studies show that the irrational investor behavior not only exists in the stock market but also has significant influences on the formation of prices. In addition, studies also argue the importance of investor sentiment in the stock market and contain interpretations of the influence of the sentiment beliefs on the formation of stocks price. Hence, such irrational behavior can be discussed further.
    Trading volume is basic market statistics to signal stock prices and to help investors make decisions. Investors are used to predicting stock prices by analyzing trading volume. High stock prices frequently follow high level of trading volume and low prices appear after unusual low volume. Besides, investors observe trading volume and stock prices together to predict stock prices. For example, investors may keep on buying when both trading volume and stock prices increase steadily. However, investors tend to sell stocks when they observe an increased volume accompanied decreased prices. The importance of trading volume is not only noticed by market participants, but also acknowledged by theorists. Lee and Swaminathan (2000) as well as Shiller ( 2000) propose that trading volume can be used as a proxy for the measurement of the fluctuations in investor sentiment. Moreover, based upon the overconfidence proposition, the self-attribution biases drive investors’ trading a lot, and such behavior affects future returns.
    Hence, this paper investigates the relation between trading volume and investor sentiment. We hope to uncover information content of trading volume furthermore and give investors more valuable information when making investing decisions. The main conclusions are summarized as followings: First, we find the change in trading volume can be used as a proxy for investor sentiment. Investor sentiment has a positive and significant influence on excess returns on Taiwan stock market. Second, based upon the overconfidence proposition, the dynamic relation between unusual volume and returns has significant predicting power to future returns. Finally, unusual high volume can signal the liquidity trading with speculative needs. Unusual high net individual trading can reflect the liquidity trading with risk-sharing needs or irrational behavior. The combination of unusual high trading activities and unusual returns can detect the presence of the noise trading.

目錄．．．．．．．．．．．．．．．．．．．．．．I
表目錄．．．．．．．．．．．．．．．．．．．．．III
圖目錄．．．．．．．．．．．．．．．．．．．．．IV
第一章　緒論．．．．．．．．．．．．．．．．．．1
   1.1  研究動機．．．．．．．．．．．．．．．．1
   1.2  研究目的．．．．．．．．．．．．．．．．4
   1.3  研究流程．．．．．．．．．．．．．．．．5
第二章　文獻探討．．．．．．．．．．．．．．．．7
   2.1  非理性的投資行為．．．．．．．．．．．．7
   2.2  投資人情緒的代理變數．．．．．．．．． 10
   2.3  成交量與投資人情緒．．．．．．．．．． 19
   2.4  異常成交量的資訊內容與非理性交易行為． 25
第三章　研究方法．．．．．．．．．．．．．．． 30
   3.1  成交量與投資人情緒指標．．．．．．．． 30
   3.2  量價動態交互關係與非理性投資行為．．． 35
   3.3  異常量價動態交互關係與非理性投資行為． 41
第四章　實證結果與分析．．．．．．．．．．．． 47
   4.1  台灣股票市場中投資人情緒與超額報酬之關
        連．．．．．．．．．．．．．．．．．． 47
   4.2  檢驗台灣股票市場中量價動態交互關係模型 57
   4.3  異常量價動態交互關係與非理性投資行為． 68
第五章　結論與建議．．．．．．．．．．．．．． 84
      5.1  研究結論．．．．．．．．．．．．．．84
      5.2  研究限制．．．．．．．．．．．．．．85
      5.3  實務意涵．．．．．．．．．．．．．．86
      5.4  後續研究與建議．．．．．．．．．．．87
參考文獻　．．．．．．．．．．．．．．．．．． 89
表目錄
表 2-1	國內外投資人心理情緒代理變數之彙總表．．．．16
表 2-2	成交量反應投資人情緒之彙總．．．．．．．．．25
表 2-3	成交量、交易型態與未來報酬率型態之關係彙總．29
表 3-1	異常量價之四種組合的代號說明．．．．．．．．45
表 4-1	超額報酬率與投資人代理變數之敘述性統計資料．48
表 4-2	投資人情緒、超額報酬率與條件波動率．．．．．49
表 4-3	投資人情緒、超額報酬率與條件波動率之各子期間
	的強度分析．．．．．．．．．．．．．．．．．55
表 4-4	股票報酬率與成交量之單根檢定．．．．．．．．58
表 4-5	未來報酬率、過去報酬率與當期成交量之動態交互
	關係．．．．．．．．．．．．．．．．．．．．60
表 4-6	未來報酬率、過去報酬率與異常成交量之動態交互
	關係．．．．．．．．．．．．．．．．．．．．62
表 4-7	未來報酬率、過去報酬率與異常高成交量之動態交
	互關係．．．．．．．．．．．．．．．．．．．63
表 4-8	未來報酬率、過去報酬率與異常低成交量之動態交
	互關係．．．．．．．．．．．．．．．．．．．65
表 4-9	四種不同量價之動態交互關係與未來報酬率之預測
表 4-10	各變數之敘述性統計資料．．．．．．．．．．．66
表 4-11	高交易活動與低交易活動之統計資料彙總．．．．73
表 4-12	高交易活動與異常報酬率之資料彙總．．．．．．76
圖目錄
圖 1-1	研究流程圖．．．．．．．．．．．．．．．．． 6
圖 2-1	過度自信假說：投資人自我歸因偏誤與成交量．．24
圖 3-1	決定異常交易活動說明圖．．．．．．．．．．．43
圖 3-2	決定異常報酬率說明圖．．．．．．．．．．．．45
圖 4-1	股票市場循環中的HTURN、HNIT、HReturn與LReturn 80

參考文獻
一、中文部分
工商時報，2011.1.4，廖繼弘：量先價行，中長期挑戰9,859 (第B2版)。
古金尚，(2003)，台灣股票市場投資者心理情緒影響因素之實證研究，朝陽科技大學財務金融研究所碩士論文。
周賓凰、張宇志、林美珍，(2007)，投資人情緒與股票報酬互動關係，證券市場發展季刊，第19卷，第2期，153-190。
洪培元，(2004)，市場情緒指標與股價報酬關係之研究，國立雲林科技大學財務金融研究所碩士論文。
胡家瑜，(1994)，我國股市日曆異常現象之探討，淡江大學管理科學研究所碩士論文。
倪衍森、黃寶玉、賴步昇，(2010)，台灣股票市場資訊揭示與投資人情緒反應的互動關係，2010行為財務暨新興市場理論與實證研討會論文集，世新大學財務金融學系。
黃俊榮，(1995)，臺灣股票市場日曆異常現象之探討─各類指數報酬率分析與比較，國立中正大學財務金融研究所碩士論文。
黃致倫，(2007)，投資人情緒與投資人行為偏誤之研究，國立台北大學企業管理研究所博士論文。
經濟日報，2011.4.17，投資錦囊妙計 (第S03版)。
經濟日報，2010.12.5，量先價行 春節行情看好 (第A4版)。
葉俊彥，(2004)，量縮作空 賺！量小作多 套！成交量代表人氣 有人氣股價才能往上漲，理財週刊，第208期，66-67。
蔡佩蓉、王元章、張眾卓，(2009)，投資人情緒、公司特徵與台灣股票報酬之研究，經濟研究，第45卷，第2期，273-322。
賴東陽，(2008)，台灣股市過度反應與獲利因子之研究，真理大學管理科學研究所碩士論文。
劉龍昌，(2008)，機構投資人與股票市場異常現象之研究—以台灣股票市場為例，長庚大學企業管理研究所碩士論文。
郭迺鋒、劉名寰、蔡獻逸、林筱寧、鄭如君，(2008)，臺灣民眾自我預期實現 (Self-Fulfill) 之實證分析，貨幣觀測與信用評等，第72期，36-49。
二、英文部分
Amihud, Y. and Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics 17, 223-249.
Andersen, T. G. (1996). Return volatility and trading volume: an information flow interpretation of stochastic volatility. Journal of Finance 51, 169-204.
Baker, M. and Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets 7, 271-299.
Baker, M. and Wurgler, J. (2004). A catering theory of dividends. Journal of Finance 59, 1125-1165.
                       (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645-1680.
Bandopadhyaya, A. and Jones, A. L. (2005). Measuring investor sentiment in equity markets. Working paper 1007, College of Management. University of Massachusetts Boston.
Barberis, N., Shleifer, A., and Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics 49, 307-343.
Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: A test of efficient market hypothesis. Journal of Finance 32, 663-682.
Bloomfield, R., O’Hara, M., and Saar, G. (2009). How noise trading affects markets: an experimental analysis. Review of Financial Studies 22, 2275-2302.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31, 307-327.
              (1987). A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 69, 542-547.
Brennan, M. J., Chordia, T., and Subrahmanyam, A. (1998). Alternative factor specifications, security characteristics, and cross-section of expected stock returns. Journal of Financial Economics 49, 345-373.
Brown, G. and Cliff, M. (2004). Investor sentiment and near-term stock market. Journal of Empirical Finance 11, 1-27. 
                     (2005). Investor sentiment and assets valuation. Journal of Business 78, 405-440. 
Campbell, J. Y., Grossman, S. J., and Wang, J. (1993). Trading volume and serial correlation in stock returns. Quarterly Journal of Economics 108, 905-939.
Chordia T, Huh S.W., and Subrahmayam, A. (2007). The cross-section of expected trading activity. Review of Financial Studies 20, 709-740.
Chuang, W. J., Ou-Yang, L. Y., and Lo, W. C. (2009). Dynamic return-volume relation and future returns-implication for reducing investing risk. International Association of Computer Science and Information Technology-Spring Conference, Singapore, 296-300.
Colby, R. and Mayers, T. (1998). The encyclopedia of technical market indicators. Chicago：Irwin Professional Publishing. 
Conrad, J.S., Hameed, A., and Niden, C. (1994). Volume and autocovariances in short-horizon individual security returns. Journal of Finance 49, 1305-1329.
Daniel, K., Hirshleifer, D., and Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. Journal of Finance 53, 1839-1885.
Datar, V. T., Naik, N. Y., and Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets 1, 203-219.
De Bondt, W. and Thaler, R. (1985). Does the stock market overreact? Journal of Finance 40, 793-805.
De Long, J., Shleifer, A., Summers, L., and Waldmann, R. (1990) Noise trader risk in financial markets. Journal of Political Economy 98, 703-738. 
Edmans, A., García, G., and Norli, Ø. (2007). Sports Sentiment and Stock Returns. Journal of Finance 62, 1967-1998.
Eichengreen, B., Rose, A., and Wyplosz, C. (1996). Contagious currency crisis: First tests. Scandinavian Journal of Economics 98, 463-484.
Engle, R., Lilien, D., and Robins, R. (1987). Estimating time varying risk premia in the term structure: The ARCH-M model. Econometrica 55, 391-407.
Fama, E. and French, K. (1992). The cross-section of expected stock returns. Journal of Finance 47, 427-465.
Fisher, K. L. and Statman, M. (2000). Investor sentiment and stock returns. Financial Analysts Journal 56, 16-23.
                          (2003). Consumer confidence and stock returns. Journal of Portfolio Management 30, 115-128.
Gervais, S., Kaniel, R., and Mingelgrin, D. H. (2001). The high-volume return premium. Journal of Finance 56, 877-919.
Gervais, S. and Odean, T. (2001). Learning to be overconfident. Review of Financial Studies 14, 1-27.
Glosten, L., Jagannathan, R., and Runkle, D. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48, 1779-1801.
Granger, C. W. J. and Newbold, P., (1974). Spurious regressions in econometrics. Journal of Econometrics 2, 111–120.
Grossman, S.J. and Miller, M.H. (1988). Liquidity and market structure. Journal of Finance 43, 617-633.
Hart, S. and Tauman, Y. (2004). Market crashes without external shocks. Journal of Business 77, 1-8.
Kaniel, R., Saar, G., and Titman, S. (2008). Individual investor trading and stock returns. Journal of Finance 88, 273-310.
Kumar, M. S. and Persaud, A. (2002). Pure contagion and investors’ shifting risk appetite: analytical issue and empirical evidence. International Finance 5, 401-436.
Lakonishok, J., Shleifer, A., and Vishny, R. (1994). Contrarian investment, extrapolation, and risk. Journal of Finance 49, 1541-1578.
Lashgari, M. (2000). The role of TED spread and confidence index in explaining the behavior of stock prices. American Business Review 18, 9-11.
Lee, C., Shleifer, A., and Thaler, R.(1991). Investor sentiment and the closed-end fund puzzle. Journal of Finance 46, 75-109.
Lee, C.M.C. and Swaminathan, B. (2000). Price momentum and trading volume. Journal of Finance 55, 2017-2069.
Lee, W., Jiang, C., and Indro, D. (2002). Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking and Finance 26, 2277-2299.
Llorente, G., Michaely, R., Saar, G., and Wang, J. (2002). Dynamic volume-return relation of individual stocks. Review of Financial Studies 15, 1005-1047.
Lo, A.W. and Wang, J. (2000). Trading volume: Definitions, data analysis, and implications of portfolio theory. Review of Financial Studies 13, 257-300.
Neal, R. and Wheatley, S. (1998). Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis 33, 523-547.
Odean, T. (1998a). Volume, volatility, prices, and profit when all traders are above average. Journal of Finance 53, 1775-1798.
         (1998b). Are investors reluctant to realize their losses? Journal of Finance 53, 1775-1798.
Siegel, J. (1998). Stocks for the long run. New York: McGraw Hill.
Shefrin, H. and Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance 40, 777-790.
Shiller, R. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity 2, 457-498.
Shiller, R. (2000). Irrational exuberance. New Jersey: Princeton.
Statman, M. and Thorley, S. (1999). Overconfidence, deposition, and trading volume. Unpublished paper. Santa Clara University. 
Statman, M., Thorley, S., and Vorkink, K. (2006). Investor overconfidence and trading volume. Review of Financial Studies 19, 531-1565.
Tetlock, P. (2007). Giving content to investor sentiment: The role of media in the stock market. Journal of Finance 62, 1139-1168.
Thaler, R. (1999). The end of behavioral finance. Financial Analysts Journal 55, 12-17.
Zweig, M. E. (1973). An investor expectations stock price predictive model using close-end fund premium. Journal of Finance 28, 67-87.