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題名 二篇有關股票價格平均數復歸的實證研究
Two Essays on Mean Reversion Behavior of Stock Price in Taiwan作者 阮建銘
Ruan, Jian-Ming貢獻者 沈中華
Shen, Zhong-Hua
阮建銘
Ruan, Jian-Ming關鍵詞 流動性限制
平均數復歸
變異數比率
拔靴法
漲跌幅限制
Gibbs抽樣法
Liquidity constraints
Mean reversion
Variance ratio
Bootstrapping
Price limits
Gibbs Sampler日期 1996 上傳時間 28-Apr-2016 11:50:48 (UTC+8) 摘要 本論文是二篇探討與股票價格平均數復歸現象有關的實證文章。在第一篇文章中，我們將探討由於廠商特質所產生資金供需雙方訊息的非對稱，而引發的流動性限制對廠商股票價格行為的潛在影響；在第二篇文章中，我們研究的課題是在漲跌幅限制下，交易量與股票報酬自我相關的關係。 第一篇文章主要在探討由於廠商特質所產生資金供需雙方訊息的非對稱，而引發的流動性限制對廠商股票價格行為的影響。我們利用五個廠商特質－所有權結構、集團企業成員、上市時間、公司規模與現金股利的發放，定義面臨流動性限制的廠商，並使用變異數比率衡量股票價格平均數復歸的現象，由於小樣本的問題，我們將利用拔靴法檢定假說：廠商的流動性限制會強化其股票價格平均數復歸的行為。我們的實證結果並不一致，所有權結構、公司規模和集團企業成員的分組實證結果支持我們的假說，流動性限制會強化平均數復歸的行為；而上市時間與現金股利發放的分組實證結果並不支持我們的假說。 在第二篇文章中，我們使用與Campbell et. al. (1993)相同的實證模型，討論在漲跌幅限制下，交易量與股票日報酬自我相關的關係。由於漲跌幅限制的存在，當股票價格觸及漲跌幅上下限時，即停止交易，而使得真正的股票價格無法觀察到，因而未實現之需求或供給將會傳遞至下一個交易日，將使傳統OLS或其衍生方法的估計產生偏誤，而使用Chou和Chib (1995)與Chou (1995)所提的Gibbs抽樣法則可以成功地克服這些困難。所以，本文將應用Chou和Chib (1995)與Chou (1995)的Gibbs抽樣法來衡量台灣股票市場交易量對股票日報酬自我相關係數的影響，以避免漲跌幅限制的影響。本文採用台灣證交所編製的綜合股價指數所採樣的二十四家公司為樣本，利用日資料進行實證分析，實證結果支持「交易量效果」的存在。且在實證過程中，發現台灣股票市場股票日報酬的正自我相關有可能是漲跌幅限制的存在而造成的。 參考文獻 一、中文部分 于子人， 1995 ，以Gibbs 抽樣方法估計股市系統風險，國立中興大學統計學研究所未出版碩士論文。 吳壽山，周賓凰， 1996，衡量漲跌幅限制對股票報酬與風險之影響，證券市場發展季刊8 ， 1-29 。 沈中華，黃河泉， 1994，股價波動性與結構性轉變之探討━不同漲跌幅限制下的分析，臺大管理論叢5 ， 23 -46 。 沈中華，周賓風， 1996，漲跌幅限制下股價的星期效應- Gibbs Sampler 的應用，國立政治大學銀行系， working paper 。 沈中華，李建然， 1995，審計保留意見之資訊內涵━考慮股價漲跌幅限制之事件研究法，第四屆證券市場理論與實務研討會，高雄台灣。 胡星陽，梁敏芳， 1995，漲跌幅限制與台灣股票市場波動，證券市場發展季刊7 、1-24 。 譚淑卿， 1992，台灣股市價格變動與交易量的關係，私立淡江大學金融研究所未出版碩士論文。 二、英文部分 Albert, J. and S., Chib, 1993, Bayesian analysis of binary and polychotomous response data.Journal of American Statistical Association 88, 669-679. Atchison, M.D., K.c. Butler and R.R. Simonds, 1987, Nonsynchronous security trading and market index auto correlations, Journal of Finance 42, 111-118. Bailey, W., R.M. Stulz and S. Yen, 1990, Properties of daily stock price from the PacificBasinstock markets: Evidence and implications, in: S.G. Rhee and RP. Chang, ed., Pacific-Basin Capital Markets Research 1 (North-Holland: Netherlands). Casella, G. and E.I. George, 1992, Explaining the Gibbs sampler, The American Slatistical 46,167-174. Campbell, J.Y., S.J Grossman, and J. Wang, 1993, Trading volume and serial correlation in stock returns. Quarterly Journal of Ecol1omics 108, 905-940. Chou, P.-H., 1995, Estimating the systematic lisk under price limits: A Gibbs sampling approach. unpublished manuscript, DepaIiment of Finance, National Central University, Taiwan. Chou, P.-H. and C.H. Shen, 1995, A re-examination of the pork bellies futures prices under price limits. The Second NTU International Conference on Finance, Taipei Taiwan. Chou, P.-H. and S. Chib, 1995, Estimating the optimal hedge ratio under price limits: A Bayesian approach using Gibbs sampler. unpublished manuscript, Department of Finance, National Central University, Taiwan. Cochran, S.J and R.B. DeFina, 1995, Mean reversion in stock prices: An error-correction approach, Managerial Finance 21, 25-42. Conrad, J. S, A. Hameecl, and C. Niden, 1994, Volume and autocovariances in shorthorizon individual security returns. Journal of Finance 49, 1305-1329. De Long,J.B., A. ShJeifer, L.E. Summers, and R.J. Waldmann, 1989, The sIze and incidence of the losses from Noise Trading. Journal of Finance, 681-696. De Long, J.B., A. Shleifer, L.H. Summers, and R.1. Waldmann, 1990a, Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45, 379-395. De Long, J.B., A. Shleifer, L.H. Summers, and R.1. Waldmann, 1990b, Nosie trader risk in financial markets. Journal of Political Economy, 703-738. Fama, E.F., 1970, Efficient Capital Markets: A review of theory and empirical work, Journal of Finance 25, 383-417. Fama, E.F. and K.R. French, 1988, Permanent and Temporary Components of Stock Prices.lomal of Political Economy 96,246-273. Geman, S. and D. Geman, 1984, Stochastic relaxation, Gibbs distributions, and the Bayesian restoration of images, IEEE Transactions on Pattern Analysis and A1achine Intelligence 6,721-741. Kendall, M.G., 1953, The analysis of economic time-series, Palt 1: Prices, Journal of Royal Statistical Society 96, 11-25. Kim, M.J., C.R. Nelson and R. Startz, 1991, Mean reversion in stock prices? A reappraisal of the empirical evidence, Review of Economic Studies 58, 515-528. Kodres, L.E., 1988, Tests of unbiasedness in foreign exchange futures markets: The effect of price limits (with discussion). Review of Futures Market 7, 13 9-175. Kodres, L.E., 1993, Tests of unbiasedness in foreign exchange futures markets: An examination of price limits and conditional heteroscedasticity. Journal of Business 66, 463-490. LeBaron, B., 1992, Some relations between volatility and serial correlation in stock market returns. Joumal of Business 65, 199-219. Lo, A. and C. MacKinlay, 1988, Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies 1, 41-66. McQueen, G. and S. Thorley, 1991, Are stock returns predictable? A test using Markov chains, Journal of Finance XLVI, 239-262. McQueen, G., 1992, Long-horizon mean-reverting stock pnces revisited, Journal of Fina/lcial and Quantitative Analysis 27, 1-19. Morse, D., 1980, Asymmetrical information in securities markets and trading volume. Journal of Financial alld Quantitative Analysis 40, 1129-1148. Nelson, D.B ., 1991, Conditional heteroskedasticity in asset return: A new approach. Econometrica 59, 347-370. Sentana, E. and S. Wadhwani, 1992, Feedback traders and stock return autocorrelations: Evidence from a century of daily data. The Economic Journal 102, 415-425 . Wei, K.c. and R. Chiang, 1995, Using daily security prices to estimate volatility and regression models under price limits. The Second NTU International Conference on Finance, Taipei Taiwan. 描述 碩士
國立政治大學
財務管理研究所
83357014資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002002990 資料類型 thesis dc.contributor.advisor 沈中華 zh_TW dc.contributor.advisor Shen, Zhong-Hua en_US dc.contributor.author (Authors) 阮建銘 zh_TW dc.contributor.author (Authors) Ruan, Jian-Ming en_US dc.creator (作者) 阮建銘 zh_TW dc.creator (作者) Ruan, Jian-Ming en_US dc.date (日期) 1996 en_US dc.date.accessioned 28-Apr-2016 11:50:48 (UTC+8) - dc.date.available 28-Apr-2016 11:50:48 (UTC+8) - dc.date.issued (上傳時間) 28-Apr-2016 11:50:48 (UTC+8) - dc.identifier (Other Identifiers) B2002002990 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87322 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 83357014 zh_TW dc.description.abstract (摘要) 本論文是二篇探討與股票價格平均數復歸現象有關的實證文章。在第一篇文章中，我們將探討由於廠商特質所產生資金供需雙方訊息的非對稱，而引發的流動性限制對廠商股票價格行為的潛在影響；在第二篇文章中，我們研究的課題是在漲跌幅限制下，交易量與股票報酬自我相關的關係。 第一篇文章主要在探討由於廠商特質所產生資金供需雙方訊息的非對稱，而引發的流動性限制對廠商股票價格行為的影響。我們利用五個廠商特質－所有權結構、集團企業成員、上市時間、公司規模與現金股利的發放，定義面臨流動性限制的廠商，並使用變異數比率衡量股票價格平均數復歸的現象，由於小樣本的問題，我們將利用拔靴法檢定假說：廠商的流動性限制會強化其股票價格平均數復歸的行為。我們的實證結果並不一致，所有權結構、公司規模和集團企業成員的分組實證結果支持我們的假說，流動性限制會強化平均數復歸的行為；而上市時間與現金股利發放的分組實證結果並不支持我們的假說。 在第二篇文章中，我們使用與Campbell et. al. (1993)相同的實證模型，討論在漲跌幅限制下，交易量與股票日報酬自我相關的關係。由於漲跌幅限制的存在，當股票價格觸及漲跌幅上下限時，即停止交易，而使得真正的股票價格無法觀察到，因而未實現之需求或供給將會傳遞至下一個交易日，將使傳統OLS或其衍生方法的估計產生偏誤，而使用Chou和Chib (1995)與Chou (1995)所提的Gibbs抽樣法則可以成功地克服這些困難。所以，本文將應用Chou和Chib (1995)與Chou (1995)的Gibbs抽樣法來衡量台灣股票市場交易量對股票日報酬自我相關係數的影響，以避免漲跌幅限制的影響。本文採用台灣證交所編製的綜合股價指數所採樣的二十四家公司為樣本，利用日資料進行實證分析，實證結果支持「交易量效果」的存在。且在實證過程中，發現台灣股票市場股票日報酬的正自我相關有可能是漲跌幅限制的存在而造成的。 zh_TW dc.description.tableofcontents 第一章緒論 1 第二章流動性限制與平均數復歸-台灣股票市場的實證研究 5 第三章漲跌幅限制下交易量與股票日報酬自我相關的關係 41 第四章結論 88 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002002990 en_US dc.subject (關鍵詞) 流動性限制 zh_TW dc.subject (關鍵詞) 平均數復歸 zh_TW dc.subject (關鍵詞) 變異數比率 zh_TW dc.subject (關鍵詞) 拔靴法 zh_TW dc.subject (關鍵詞) 漲跌幅限制 zh_TW dc.subject (關鍵詞) Gibbs抽樣法 zh_TW dc.subject (關鍵詞) Liquidity constraints en_US dc.subject (關鍵詞) Mean reversion en_US dc.subject (關鍵詞) Variance ratio en_US dc.subject (關鍵詞) Bootstrapping en_US dc.subject (關鍵詞) Price limits en_US dc.subject (關鍵詞) Gibbs Sampler en_US dc.title (題名) 二篇有關股票價格平均數復歸的實證研究 zh_TW dc.title (題名) Two Essays on Mean Reversion Behavior of Stock Price in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文部分 于子人， 1995 ，以Gibbs 抽樣方法估計股市系統風險，國立中興大學統計學研究所未出版碩士論文。 吳壽山，周賓凰， 1996，衡量漲跌幅限制對股票報酬與風險之影響，證券市場發展季刊8 ， 1-29 。 沈中華，黃河泉， 1994，股價波動性與結構性轉變之探討━不同漲跌幅限制下的分析，臺大管理論叢5 ， 23 -46 。 沈中華，周賓風， 1996，漲跌幅限制下股價的星期效應- Gibbs Sampler 的應用，國立政治大學銀行系， working paper 。 沈中華，李建然， 1995，審計保留意見之資訊內涵━考慮股價漲跌幅限制之事件研究法，第四屆證券市場理論與實務研討會，高雄台灣。 胡星陽，梁敏芳， 1995，漲跌幅限制與台灣股票市場波動，證券市場發展季刊7 、1-24 。 譚淑卿， 1992，台灣股市價格變動與交易量的關係，私立淡江大學金融研究所未出版碩士論文。 二、英文部分 Albert, J. and S., Chib, 1993, Bayesian analysis of binary and polychotomous response data.Journal of American Statistical Association 88, 669-679. Atchison, M.D., K.c. Butler and R.R. Simonds, 1987, Nonsynchronous security trading and market index auto correlations, Journal of Finance 42, 111-118. Bailey, W., R.M. Stulz and S. Yen, 1990, Properties of daily stock price from the PacificBasinstock markets: Evidence and implications, in: S.G. Rhee and RP. Chang, ed., Pacific-Basin Capital Markets Research 1 (North-Holland: Netherlands). Casella, G. and E.I. George, 1992, Explaining the Gibbs sampler, The American Slatistical 46,167-174. Campbell, J.Y., S.J Grossman, and J. Wang, 1993, Trading volume and serial correlation in stock returns. Quarterly Journal of Ecol1omics 108, 905-940. Chou, P.-H., 1995, Estimating the systematic lisk under price limits: A Gibbs sampling approach. unpublished manuscript, DepaIiment of Finance, National Central University, Taiwan. Chou, P.-H. and C.H. Shen, 1995, A re-examination of the pork bellies futures prices under price limits. The Second NTU International Conference on Finance, Taipei Taiwan. Chou, P.-H. and S. Chib, 1995, Estimating the optimal hedge ratio under price limits: A Bayesian approach using Gibbs sampler. unpublished manuscript, Department of Finance, National Central University, Taiwan. Cochran, S.J and R.B. DeFina, 1995, Mean reversion in stock prices: An error-correction approach, Managerial Finance 21, 25-42. Conrad, J. S, A. Hameecl, and C. Niden, 1994, Volume and autocovariances in shorthorizon individual security returns. Journal of Finance 49, 1305-1329. De Long,J.B., A. ShJeifer, L.E. Summers, and R.J. Waldmann, 1989, The sIze and incidence of the losses from Noise Trading. Journal of Finance, 681-696. De Long, J.B., A. Shleifer, L.H. Summers, and R.1. Waldmann, 1990a, Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45, 379-395. De Long, J.B., A. Shleifer, L.H. Summers, and R.1. Waldmann, 1990b, Nosie trader risk in financial markets. Journal of Political Economy, 703-738. Fama, E.F., 1970, Efficient Capital Markets: A review of theory and empirical work, Journal of Finance 25, 383-417. Fama, E.F. and K.R. French, 1988, Permanent and Temporary Components of Stock Prices.lomal of Political Economy 96,246-273. Geman, S. and D. Geman, 1984, Stochastic relaxation, Gibbs distributions, and the Bayesian restoration of images, IEEE Transactions on Pattern Analysis and A1achine Intelligence 6,721-741. Kendall, M.G., 1953, The analysis of economic time-series, Palt 1: Prices, Journal of Royal Statistical Society 96, 11-25. Kim, M.J., C.R. Nelson and R. Startz, 1991, Mean reversion in stock prices? A reappraisal of the empirical evidence, Review of Economic Studies 58, 515-528. Kodres, L.E., 1988, Tests of unbiasedness in foreign exchange futures markets: The effect of price limits (with discussion). Review of Futures Market 7, 13 9-175. Kodres, L.E., 1993, Tests of unbiasedness in foreign exchange futures markets: An examination of price limits and conditional heteroscedasticity. Journal of Business 66, 463-490. LeBaron, B., 1992, Some relations between volatility and serial correlation in stock market returns. Joumal of Business 65, 199-219. Lo, A. and C. MacKinlay, 1988, Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies 1, 41-66. McQueen, G. and S. Thorley, 1991, Are stock returns predictable? A test using Markov chains, Journal of Finance XLVI, 239-262. McQueen, G., 1992, Long-horizon mean-reverting stock pnces revisited, Journal of Fina/lcial and Quantitative Analysis 27, 1-19. Morse, D., 1980, Asymmetrical information in securities markets and trading volume. Journal of Financial alld Quantitative Analysis 40, 1129-1148. Nelson, D.B ., 1991, Conditional heteroskedasticity in asset return: A new approach. Econometrica 59, 347-370. Sentana, E. and S. Wadhwani, 1992, Feedback traders and stock return autocorrelations: Evidence from a century of daily data. The Economic Journal 102, 415-425 . Wei, K.c. and R. Chiang, 1995, Using daily security prices to estimate volatility and regression models under price limits. The Second NTU International Conference on Finance, Taipei Taiwan. zh_TW
