本研究採用Enders & Granger(1998) and Enders & Siklos(2001)所詳細說明的門檻自迴歸(TAR)和門檻誤差修正模型(TECM），探討在疫情2020年1月至2023年6月期間股價波動與成交量以及股價波動與報酬率之間的因果關係。研究結果說明報酬率和股價波動及成交量與股價波動之間有非對稱之門檻共整合關係，指出成交量與股價波動及報酬率與股價波動之間具有長期因果關係，在門檻誤差修正模型測試中發現，股價波動與成交量之間存在雙向的短期因果關係，而股價波動與報酬率之間僅具單向的股價波動領先報酬率之短期因果關係。此外，股價波動與成交量之間不僅具有雙向長期均衡關係，且具有長期共整合關係，而僅在股價波動與報酬率之間雖具有長期均衡關係，但報酬率與股價波動之間不具備長期共整合關係。

In this study, the threshold autoregressive model (TAR) and threshold error correction model (TECM) detailed by Enders & Granger (1998) and Enders & Siklos (2001) are used to explore the causal relationship between stock price fluctuation and trading volume and between stock price fluctuation and return rate during the epidemic period from January 2020 to June 2023. The results show that there is an asymmetric threshold co-integration relationship between the return rate and volume and the stock price fluctuation, and it is pointed out that there is a long-term causal relationship between the stock price fluctuation and volume and between the stock price fluctuation and the return rate. In the threshold error correction model test, it is found that there is a two-way short-term causal relationship between the stock price fluctuation and volume, but only the stock price fluctuation has a one-way short-term causal relationship with the return rate. In addition, there is not only a two-way long-term equilibrium relationship between stock price fluctuation and trading volume, but also a long-term co-integration relationship, only when stock price fluctuation affects return rate, and there is no long-term co-integration relationship between return rate and stock price fluctuation.

第一章	緒論	1
第一節 研究背景	1
第二節 研究動機	4
第三節 研究目的	5
第四節 研究架構	6
第二章	文獻探討	8
第一節 影響股價波動的外在因素	8
第二節 股價與交易量相關文獻	9
第三節 報酬率與成交量相關文獻	11
第四節 股價波動相關論文	13
第三章	研究方法	15
第一節 單根檢定	15
第二節 門檻共整合檢定	19
第三節 動能門檻誤差修正模型	21
第四章	實證結果與分析	24
第一節 研究資料來源	24
第二節 敘述統計量	24
第三節 單根檢定	27
第四節 門檻共整合檢定	29
第五節 門檻誤差修正模型	32
第五章	結論與建議	38
第一節 結論	38
第二節 建議	39
參考文獻	40

表次
表1變數之敘述統計 25
表2 PP單根檢定  27
表3 NP檢定  28
表4 KPSS檢定  28
表5成交量與股價波動模型門檻共整合檢定 29
表6報酬率與股價波動門檻共整合模型檢定 31
表7股價波動與成交量門檻誤差修正模型檢定 34
表8股價波動與報酬率模型門檻誤差修正模型 36
表9門檻誤差修正模型綜合比較 37

圖次 
圖 1 研究架構流程圖 7
圖 2 元大台灣50股價與成交量之時間趨勢圖  26
圖 3 元大台灣50股價與報酬率之時間趨勢圖  26

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