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題名 個股的動態價量關係 - 以台灣股票市場為例
作者 李苓碩
貢獻者 謝淑貞
李苓碩
關鍵詞 價量關係
Volume-Return
日期 2006
上傳時間 11-Sep-2009 17:07:46 (UTC+8)
摘要 We utilize the model of Llorente, Michaely, Saar and Wang (2002) to exam the dynamic volume-return relation of individual stocks in Taiwan stock market. In the LMSW (2002) model, investors trade to share risk and speculate on private information, and the show that hedging trades generate negatively autocorrelation returns, whereas speculative trades generate positively autocorrelation returns. We use daily volume and return data of stocks listed on TSEC to test the prediction of the model. Our results, which are consistent with LMSW (2002), show the cross-sectional variation in the relation between volume and return autocorrelation is related to the degree of information asymmetry. When we use some difference proxies of information asymmetry to test, the dynamic volume-return relation in Taiwan still consists with the theoretical prediction of LMSW (2002).
參考文獻 1. 林鎧文(1999),「強制性財務預測負向更新與信用交易關係之研究」,國立政治大學會計研究所碩士論文。
2. 孫佩儀(2002),「台灣股市成交量與報酬序列相關之研究-資訊不對稱」,碩士論文,銘傳大學金融研究所。
3. 陳建宏(2002),「臺灣上市公司內部人交易之實證研究」,台灣大學財務金融研究所碩士論文。
4. 黃慧龍(2003),「內線交易程度與董事會結構之關聯性-以財務預測公告為例」,中國文化大學會計研究所未出版之碩士論文。
5. 林芳綺(2003),「台灣股票市場資訊不對稱下成交量與報酬率動態關係」,國立高雄第一科技大學金融營運所碩士論文。
6. 范秋足(2005),「證券市場中私有資訊交易之探討—以更新財測為例」,國立東華大學企業管理研究所博士論文。
7. 王薇茵(2005),「公司資訊環境對內部人交易獲利之影響」,國立彰化師範大學會計研究所碩士論文。
8. 王昭平(2005),「公司治理資訊揭露透明度實證研究」,國立雲林科技大學財務金融研究所碩士論文。
9. Antoniewicz, R.L., 1993, “Relative Volume and Subsequent Stock Price Movements,” working paper, Board of Governors of the Federal Reserve System.
10. Blume, L., D. Easley, and M. O’Hara, 1994, “Market Statistics and Technical Analysis:The Role of Volume,” Journal of Finance, 49, 153-181.
11. Campbell, J. Y., S.J. Grossman, and J. Wang, 1993, “Trading Volume and Serial Correlation in Stock Returns,” Quarterly Journal of Economics, 108, 905-939.
12. Chiang, R., and Venkatesh, P., 1988, “Insider Holdings and Perceptions of Information Asymmetry: A Note,” The Journal of Finance, Vol. 43, No.4, pp. 1041-1048.
13. Duffee, G., 1992, “Trading Volume and Return Reversals,” Finance and Economics Discussion Paper Series no. 192, Board of Governors of the Federal Reserve System.
14. Easley, D., and M. O’Hara, 1987, “Price, Trade Size, and Information in Securities Markets,” Journal of Financial Economics, 18, 69-90.
15. Granger, C.W., J. and O. Morgenstern, 1963, “Spectral Analysis of New York Stock Market Prices”, Kyklos 16, 1-27.
16. Gallant, R., P. Rossi, and G. Tauchen, 1992, “Stock Prices and Volume,” Review of Financial Studies, 5, 199-242.
17. Kyle, A. S., 1985, “Continuous Auctions and Insider Trading,” Econometrica, 53, 1315-1335.
18. Karpoff, J.K., 1987, “ The Relationship Between Prices Changes and Trading Volume A Survey ”, Journal of financial and Quantitative Analysis 22, 109-126.
19. Lebaron, B., 1992, “Persistence of the Dow Jones Index on Rising Volume,” working paper, University of Wisconsin.
20. Llorente, G., Michaely, R., Sarr, G. and J. Wang, 2002, “Dynamic Volume- Return Relation of Individual Stocks.” Review of Financial Studies, 15, 1005-1047.
21. Morse, D., 1980, “Asymmetric Information in Securities Markets and Trading Volume,” Journal of Financial and Quantitative Analysis, 15, 1129-1148.
22. Wang, J., 1994, “A Model of Competitive Stock Trading Volume,” Journal of Political Economy, 102, 127-168.
23. Ying, C.C., 1966, “Stock Market Prices and Volumes of Scales”, Econometrica 34, 676-686
描述 碩士
國立政治大學
國際經營與貿易研究所
94351025
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094351025
資料類型 thesis
dc.contributor.advisor 謝淑貞zh_TW
dc.contributor.author (Authors) 李苓碩zh_TW
dc.creator (作者) 李苓碩zh_TW
dc.date (日期) 2006en_US
dc.date.accessioned 11-Sep-2009 17:07:46 (UTC+8)-
dc.date.available 11-Sep-2009 17:07:46 (UTC+8)-
dc.date.issued (上傳時間) 11-Sep-2009 17:07:46 (UTC+8)-
dc.identifier (Other Identifiers) G0094351025en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/30048-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 94351025zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) We utilize the model of Llorente, Michaely, Saar and Wang (2002) to exam the dynamic volume-return relation of individual stocks in Taiwan stock market. In the LMSW (2002) model, investors trade to share risk and speculate on private information, and the show that hedging trades generate negatively autocorrelation returns, whereas speculative trades generate positively autocorrelation returns. We use daily volume and return data of stocks listed on TSEC to test the prediction of the model. Our results, which are consistent with LMSW (2002), show the cross-sectional variation in the relation between volume and return autocorrelation is related to the degree of information asymmetry. When we use some difference proxies of information asymmetry to test, the dynamic volume-return relation in Taiwan still consists with the theoretical prediction of LMSW (2002).en_US
dc.description.tableofcontents Contents
     1. INTRODUCTION 2
     2. THE MODEL 8
     2.1 PROCEDURE 14
     3. DATA AND EMPIRICAL RESULTS 17
     3.1 DATA 17
     3.2 EMPIRICAL RESULTS 20
     4. CONCLUSIONS 27
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094351025en_US
dc.subject (關鍵詞) 價量關係zh_TW
dc.subject (關鍵詞) Volume-Returnen_US
dc.title (題名) 個股的動態價量關係 - 以台灣股票市場為例zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. 林鎧文(1999),「強制性財務預測負向更新與信用交易關係之研究」,國立政治大學會計研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 2. 孫佩儀(2002),「台灣股市成交量與報酬序列相關之研究-資訊不對稱」,碩士論文,銘傳大學金融研究所。zh_TW
dc.relation.reference (參考文獻) 3. 陳建宏(2002),「臺灣上市公司內部人交易之實證研究」,台灣大學財務金融研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 4. 黃慧龍(2003),「內線交易程度與董事會結構之關聯性-以財務預測公告為例」,中國文化大學會計研究所未出版之碩士論文。zh_TW
dc.relation.reference (參考文獻) 5. 林芳綺(2003),「台灣股票市場資訊不對稱下成交量與報酬率動態關係」,國立高雄第一科技大學金融營運所碩士論文。zh_TW
dc.relation.reference (參考文獻) 6. 范秋足(2005),「證券市場中私有資訊交易之探討—以更新財測為例」,國立東華大學企業管理研究所博士論文。zh_TW
dc.relation.reference (參考文獻) 7. 王薇茵(2005),「公司資訊環境對內部人交易獲利之影響」,國立彰化師範大學會計研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 8. 王昭平(2005),「公司治理資訊揭露透明度實證研究」,國立雲林科技大學財務金融研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 9. Antoniewicz, R.L., 1993, “Relative Volume and Subsequent Stock Price Movements,” working paper, Board of Governors of the Federal Reserve System.zh_TW
dc.relation.reference (參考文獻) 10. Blume, L., D. Easley, and M. O’Hara, 1994, “Market Statistics and Technical Analysis:The Role of Volume,” Journal of Finance, 49, 153-181.zh_TW
dc.relation.reference (參考文獻) 11. Campbell, J. Y., S.J. Grossman, and J. Wang, 1993, “Trading Volume and Serial Correlation in Stock Returns,” Quarterly Journal of Economics, 108, 905-939.zh_TW
dc.relation.reference (參考文獻) 12. Chiang, R., and Venkatesh, P., 1988, “Insider Holdings and Perceptions of Information Asymmetry: A Note,” The Journal of Finance, Vol. 43, No.4, pp. 1041-1048.zh_TW
dc.relation.reference (參考文獻) 13. Duffee, G., 1992, “Trading Volume and Return Reversals,” Finance and Economics Discussion Paper Series no. 192, Board of Governors of the Federal Reserve System.zh_TW
dc.relation.reference (參考文獻) 14. Easley, D., and M. O’Hara, 1987, “Price, Trade Size, and Information in Securities Markets,” Journal of Financial Economics, 18, 69-90.zh_TW
dc.relation.reference (參考文獻) 15. Granger, C.W., J. and O. Morgenstern, 1963, “Spectral Analysis of New York Stock Market Prices”, Kyklos 16, 1-27.zh_TW
dc.relation.reference (參考文獻) 16. Gallant, R., P. Rossi, and G. Tauchen, 1992, “Stock Prices and Volume,” Review of Financial Studies, 5, 199-242.zh_TW
dc.relation.reference (參考文獻) 17. Kyle, A. S., 1985, “Continuous Auctions and Insider Trading,” Econometrica, 53, 1315-1335.zh_TW
dc.relation.reference (參考文獻) 18. Karpoff, J.K., 1987, “ The Relationship Between Prices Changes and Trading Volume A Survey ”, Journal of financial and Quantitative Analysis 22, 109-126.zh_TW
dc.relation.reference (參考文獻) 19. Lebaron, B., 1992, “Persistence of the Dow Jones Index on Rising Volume,” working paper, University of Wisconsin.zh_TW
dc.relation.reference (參考文獻) 20. Llorente, G., Michaely, R., Sarr, G. and J. Wang, 2002, “Dynamic Volume- Return Relation of Individual Stocks.” Review of Financial Studies, 15, 1005-1047.zh_TW
dc.relation.reference (參考文獻) 21. Morse, D., 1980, “Asymmetric Information in Securities Markets and Trading Volume,” Journal of Financial and Quantitative Analysis, 15, 1129-1148.zh_TW
dc.relation.reference (參考文獻) 22. Wang, J., 1994, “A Model of Competitive Stock Trading Volume,” Journal of Political Economy, 102, 127-168.zh_TW
dc.relation.reference (參考文獻) 23. Ying, C.C., 1966, “Stock Market Prices and Volumes of Scales”, Econometrica 34, 676-686zh_TW