國內外文獻，多著墨於量與價格波動之兩者關係，本研究擬將成交量波動率代替成交量作一探討，是以進而探討成交量波動率與股價波動率的關係，來開拓此領域研究的視野。另外，高週轉率一直是台股的特色，而週轉率大小除代表股票之流動性高低之外，高週轉率也可反映出投資人不想長期持有，想玩短線的心態，這樣會不會影響股價的波動。本研究主要是採用向量自我迴歸模型來探討成交量波動率、股價波動率和週轉率兩兩間的關係為何。
  研究期間為2006年9月29日至2007年9月29日，研究對象為富邦台灣科技ETFs成份股。研究後發現，當週轉率領先股價波動率時，兩者呈現正相關，即週轉率愈高股價波動率愈大，週轉率高代表有人不斷地買進和賣出，這樣不斷易手的情況下，很可能使股價的波動變大。另外，當成交量波動率領先股價波動率，兩者呈現正相關，即成交量波動愈高，會使股價波動愈劇烈，成交量波動率高代表成交量突然爆出大量，成交量急遽上升，此表示可能有大戶或法人介入，這種介入有兩種可能性︰一是內線消息，另一則是人為炒作，因而影響股價的波動，投資人需要多加注意，免得成為被倒貨的苦主。

Most domestic and foreign literatures involve the behavior between quantity and price volatilities. This research investigates the relationships between price volatilities trading volume volatilities instead of quantity in order to expand the scope of this research.  In addition, high turnover ratio is the characteristic of Taiwan stock market, and it means that investors prefer short term investment instead of holding stocks in the long run. Thus, whether the high turnover ratio will cause stock price volatilities is another issue we concern. 
     By employing Fubon ETF underlying stocks from the data period form 2006/09/29 to 7007/09/29, the following empirical results are found as follow: 

1.The turnover ratio Granger-cause stock price volatilities positively. It means that high turnover ratio means investors change stocks very often, and then it might lift up the volatilities of share price. 

2.Trading volume volatilities will Granger-cause stock price volatilities positively. It means that while trading volume is going up, the stock price volatilities will rise up later. Investors might be careful to trade stocks with higher turnover ratio, since higher trading volume might be involved by huge trading of investment institution, and investors with lots of money. The possible reasons of this kind involving are inside information, and speculation trading, investors should  careful in trading higher turnover stocks in order to prevent loss by asymmetric information be.

目次
頁次
目次 Ⅰ
表目錄 Ⅱ
圖錄目 Ⅲ
附錄 Ⅳ

第一章	緒論..............................1
第一節 研究動機 ...............................................................................................1
第二節 研究目的	...............................................................................................3
第三節 研究架構與流程 .....................................................................................................3
第二章	文獻探討...................5
第一節 報酬率與成交量 ...................................................................................5
第二節 股價波動率與成交量 ...........................................................................8
第三節 股價與週轉率 .....................................................................................10
第三章 研究假設與方法............16
第一節 研究假設 .............................................................................................16
第二節 研究對象與變數 .................................................................................17
第三節 研究方法 .............................................................................................18
第四章 實證結果與分析..............26
第一節 敘述統計量 .........................................................................................26
第二節 單根檢定 .............................................................................................30
第三節	VAR模型檢定結果 ............................................................................33
第四節 財務分析與公司治理對各因果關係的影響	.....................................46
第五節 補充驗證 .............................................................................................49
第五章 結論與建議.................53
第一節 研究結論 .............................................................................................53
第二節 後續研究與建議 .................................................................................54
參考文獻 ................................................................................................................56
附錄 .........................................................................................................................60

 
表 目 錄
頁次
表1-1 投資人類別之交易比重 .................................................................................2
表2-1 國內外文獻彙總表 .......................................................................................11
表4-1 成交量波動率、股價波動率和週轉率之敘述統計量 ...............................26
表4-2 成交量波動率、股價波動率和週轉率之單根檢定 ...................................31
表4-3 交量波動率、股價波動率和週轉率之落後期數選擇 ...............................34
表4-4 交量波動率、股價波動率和週轉率之因果關係檢定 ...............................36
表4-5 週轉率領先股價波動率之相關性結果 ...........................................................42
表4-6 股價波動率領先週轉率之相關性結果 ........................................................43
表4-7 週轉率領先成交量波動率之相關性結果 ....................................................43
表4-8 成交量波動率領先週轉率之相關性結果 ....................................................44
表 4-9 股價波動率領先成交量波動率之相關性結果 ...........................................45
表4-10 成交量波動率領先股價波動率之相關性結果 ..........................................45
表4-11 模型一之羅吉斯迴歸分析實證結果 ..........................................................46
表4-12 模型二之羅吉斯迴歸分析實證結果 ..........................................................47
表4-13 模型三之羅吉斯迴歸分析實證結果 ..........................................................48
表4-14 模型四之迴歸分析實證結果 ......................................................................49
表4-15 模型五之迴歸分析實證結果 ......................................................................50
表4-16 模型六之迴歸分析實證結果 ......................................................................50
表4-17 模型七之迴歸分析實證結果 ......................................................................51
表4-18 模型八之迴歸分析實證結果 ......................................................................52
表4-19 模型九之迴歸分析實證結果 ......................................................................52

 
圖目錄
頁次
圖 1-1 研究架構流圖 ...............................................................................................4
 
附  錄
頁次
附錄一 Granger因果關係檢定 ........................................................................60
附表1-1  股票與其代碼之對照表 ........................................................................60
附表1-2  各股股價波動率與週轉率來探討其因果關係 ....................................60
附表1-3  各股成交量波動率與週轉率來探討其因果關係 ................................60
附表1-4  各股成交量波動率與股價波動率來探討其因果關係 ........................61

一、中文文獻：

1. 林銘燦(2001)，股票市場價格動能與週轉率之研究，銘傳大學金融研究所
未出版之碩士論文。

2. 姚蕙芸、梁志民 (2004），空頭走勢期間台股股價指數及相關因素之因果關
係研究，商管科技季刊，第5卷、第3期，頁109-127。

3. 徐清俊、陳盈君 (2003)，報酬率與成交量之因果關係－台灣店頭市場實證
研究，明志學報，第35卷、第1期，頁41-47。

4. 陳功業（1998），台灣股票市場波動性之研究，國立政治大學國際貿易研
究所未出版之碩士論文。

5. 莊忠柱 (2001)，台灣發行量加權股價指數期貨與現貨市場間之價量連動關係，台灣銀行季刊，第53卷、第3期，頁345-361。

6. 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33卷，第4期，頁379-404。

7. 黃慶光(2000)，台灣股價指數反向操作策略及價量關係分析，國立中正大學企業管理研究所未出版之碩士論文。

8. 劉亞秋(1996)，台灣與香港股市成交量對股票報酬及其波動性關係之研究，管
	理科學學報，第13卷，第2期，頁331-352。

9. 潘威豪(1999)，台灣股市類股週轉率與報酬率及報酬波動之關係研究，國立中正大學企業管理研究所未出版之碩士論文。

10. 鄭婉秀等 (2004)，亞洲股市價量關係之不對稱效果，華岡經濟論叢，第4卷、第1期，頁27-48。



二、英文文獻
1. Bachman, D., Choi, J., Jeon, B. and J. Kenneth (1996), “Common Factors in International Stock Prices: Evidence from a Cointegration Study,” International Review of Financial Analysis 5, 39-53.

2. Bushee, B. (2001), “Do Institutional Investors Prefer Near-term Earnings over Long-rule Value?,” Contemporary Accounting Research 18, 207-246.

3. Cetin Ciner (2002). “The Stock Price-Volume Linkage on the Toronto Stock Exchange:Before and After Automation,” Review of Quantitative Finance and Accounting 19, 335.

4. Chan, K.C., W. M. Fong, B. C. Kho, and R. M. Stulz (1996), “Information, Trading and Stock Returns:Lessons form Dually-Listed Securities.” Journal of Banking and Finance 20, 1161-1187.

5. Chen.G. M., M. Firth., and O. M. Rui (2001), “The Dynamic Relation between Stock Returns, Trading Volume, and Volatility,” Financial Review 38, 153-174.

6. Clark, P. K. (1973), “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices,” Econometrica 41, 135–155.

7. Comiskey, E., R. Walkling, and M. Weeks (1987), “Dispersion of Expectations and Trading Volume,” Journal of Business Finance & Accounting 14, 229-239.

8. Cooper, Michael (1999), ”Filter Rules Based on Price and Volume in Individual Security Overreaction” Review of Financial Studies 12, 901-935.

9. De Santis, G. and S. Imrohoroglu (1997), “Stock Returns and Volatility in Emerging Financial Markets,” Journal of International Money and Finance 16, 561-579.

10. Dickey, D. A. and W. A. Fuller (1979),“Distribution of the Estimation for Autoregressive Time Series with a Unit Root,” Econometrica 49, 1057-1072.

11. Epps, T.W. and Epps, M.L. (1976), “The Stochastic Dependence of Security Price Change and Transaction Volumes: Implication for the Mixture-of-Distribution Hypothesis,” Econometrica 44, 305-321.

12. Engle,R.f. And C.W.J. Granger (1987), “Cointegration and Error Correction: Representation , Estimation and Testing ,” Econometrica 55, 251-276.

13. Freund, S. and P. Webb (1999), “Recent Growth in Nasdaq Trading Volume and its Relation to Market Volatility,” Journal of Financial Research 22, 489-501.

14. Gervais S. R. Kaniel and D. H. Mingelgrin (2001), “The High-volume Return premium,” Journal of Finance 11, 877-919.

15. Gopinath S. and C. Krishnamurti (2001), “Number of Transactionsand Volatility: An Empirical Study Using High-frequency Data from NSADAQ Stocks,” Journal of Finance 24, 205-218.

16. Jones, C. M., G. Kaul, and M. L. Lipson (1994), “Transactions, Volume and Volatility,” Review of Financial Studies 7, 631-51.

17. Karpoff, J. M. (1987), “The Relation Between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis 22, 109-126.

18. Lamoureux, C. G. and Lastrapes, W. D.(1990), “Heteroscedasticity in Stock Return Data: Volume versus GARCH Effects,” Journal of Finance 45, 221-229.

19. Lee, Charles M. C. and Swaminathan, Bhaskaran (2000), “Price Momentum and
Trading Volume,” Journal of Finance 55, 2017-2069.

20. Martikainen, T., V. Puttonen, M. Luoma and T. Rothovious (1994), “The Linear and Non-linear Dependence of Stock Returns and Trading Volume in the Financial Stock Market,” Applied Financial Economics 4, 159-169.

21. Morgan, I.G. (1976), “Stock Prices and Heteroscedasticity,” Journal of Business 49, 496-508.

22. Schwert, G. W. (1989), “Why Does Stock Market Volatility Change Over Time?,” Journal of Finance 44, 1115-1153.

23. Sheu, Her-Jiun, Soushan Wu and Kuang-Ping Ku (1998), “The Cross-sectional Relationships between Stock Returns and Market Beta, Trading Volume, Sales-to-price in Taiwan,” International Review of Financial Analysis 7, 1-18.

24. Sims, C. (1980), “Macroeconomic and Reality,” Econometrica 48, 1-49.

25. Tay, Anthoy, Christopher Ting, Yiu-Kuen Tse, and Mitch Warachka (2004)
“Transaction-Data Analysis of Marked Durations and Their Implications for
Market Microstructure,” Working Paper. 

26. Walther, B. (1997), “Investor Sophistication and Market Earnings Expectations,” Journal of Accounting Research 35, 157-179.

27. Wang, G. and Yau J. (2000), “Trading Volume, Bid-Ask Spread, and Price
Volatility in Futures Market,” The Journal of Futures Markets 20, 943-970.

28. Ying, C.C. (1966), “Stock Market Prices and Volumes of Sales,” Econometrica 34, 676-685.