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System No. U0002-2606200817581800
Title (in Chinese) 週轉率、成交量波動率和股價波動率之關聯性分析
Title (in English) The Relationship among Turnover Ratio, Trading Volume Volatility and Stock Price Volatility
Other Title
Institution 淡江大學
Department (in Chinese) 管理科學研究所碩士班
Department (in English) Graduate Institute of Management Science
Other Division
Other Division Name
Other Department/Institution
Academic Year 96
Semester 2
PublicationYear 97
Author's name (in Chinese) 劉程睿
Author's name(in English) Cheng-Rui Liu
Student ID 695620616
Degree 碩士
Language Traditional Chinese
Other Language
Date of Oral Defense 2008-06-06
Pagination 61page
Committee Member advisor - Yen-Sen Ni
co-advisor - 婁國仁
co-chair - 郝充仁
co-chair - 張幸惠
Keyword (inChinese) 向量自我迴歸模型
成交量波動率
週轉率
Keyword (in English) VAR Model
Turnover Ratio
Trading Volume Volatility
Other Keywords
Subject
Abstract (in Chinese)
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。
Abstract (in English)
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.
Other Abstract
Table of Content (with Page Number)
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
References
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