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題名 股價與成交量相依程度之探討-臺灣股市實證分析
作者 蕭幸金
XIAO, XING-JIN
貢獻者 鄭丁旺
ZHENG, DING-WANG
蕭幸金
XIAO, XING-JIN
關鍵詞 股價
成交量
會計
日期 1993
1992
上傳時間 2-May-2016 15:15:08 (UTC+8)
摘要 研究資本市場價格變動的特性，一直是財務學者實証研究的一□。以經濟學中需求
參考文獻 一、 中文部分
1. 伍忠謙，「台灣股票市場價格變動習性為隨機漫步假定之再驗證」，淡江管科所未出版碩士論文，民國76年。
2. 李春旺，「股價行為與規模效應－台灣股票市場實證研究」，台灣經建研究叢書之三十四，民國78年。
3. 李碧林，「重貼現率變動對週轉率及股價之影響－台灣證券市場之實證研究」，淡江管科所未出版碩士論文，民國80年。
4. 何培基，「商用統計學與SAS／PC應用」民國79年，長諾資訊圖書公司。
5. 林玩香編譯，「SAS使用手冊－高等統計篇」，民國76年，儒林圖書公司。
6. 林茂文編著，「時間數列分析與預測」，民國81年，華泰書局。
7. 周文賢，「計量經濟與時間數列分析－SAS ETS之運用」，作者自印。
8. 黃敏助，「八十年代證券投資策略」，民國80年。
9. 陳東明，「台灣股票市場價量關係之實證研究」，台大商學研究所未出版碩士論文，民國80年。
10. 曾祥琳，「每季盈餘公告對股票成交量影響之實證影響」，成大工管所未出版碩士論文，民國78年。
11. 趙美蘭，「融資融券比率調整對股價成交量影響之實證研究」，中興企研所未出版碩士論文，民國78年。
12. 魯憶萱，「現金增資股發放對成交量集股價影響之探討」，政大企研所未出版碩士論文，民國79年。
13. 鍾振明，「上市股票價格和交易量對營業公告之反應及其關係之實證研究」，交大管研所未出版碩士論文，民國74年。
14. 譚淑卿，「台灣股市價格變動與成交量的關係」，淡江金融所未出版碩士論文，民國81年。


二、英文部分
1. Bamber,L.S.”The Information Content of Annual Earnings Release: A Trading Volume Approach” Journal of Accounting Research, Vol.24 (Spring 1986),pp.40-56.
2. Beaver,W.H.,”The Information Content of Annual Eurnings Announcements.”Empirical Research in Accounting: Selected Studies.Supplement to Journal of Accounting Research, Vol.6(1968),pp.67-92.
3. Clark,P.K.”A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices” Econometrica, Vol.-41(January 1973),pp.135-155.
4. Copeland,T.E.”A Model of Asset Trading under the Assumption of Sequential Information Arrival” Journal of Finance, Vol. 31(September 1976),pp.1149-1168.
5. ──────,”A Probability Model of Asset Trading”, Journal of Financial and Quantitative Analysis 12, Nov. 19-77,pp.563-578.
6. Crouch,R.L.,”A Nonlinear Test of Random-Walk Hypothesis”, The American Economic Review 60 Mar. 1970, pp.199-202.
7. ──────,”The Volume of Transactions and Prices Changes on the New York stock Exchange”, Financial Analysts Journal 26, July-Aug, 1970.
8. Epps, T. W. "Security Price Changes and Transaction Volumes:
Theory and Evidence ", The American Economic
Review 65, Sep. 1975, pp.586-597
9. Epps. T. W. and Epps, M.L., "The Stochastic Dependence
of Security Price Changes and Transaction Volumes: Implications
for the Mixture-of-Distributions Hypothesis", Econometrica
44, Mar. 1976, pp.305-321.
10. Fama, E.F. "The Behavior of Stock Market Prices" Journal
of Business. Vol.38( January 1965), pp. 34 -105.
11. Foster, G. " Stock Market Reaction to Estimates of Earnings
Per Share by Company Officials." Journal of Accounting
Research Vol.11 (Spring 1973), pp.25- 37.
12. French, K.R., "Stock Returns and the Weekend Effect"
Journal of Financial Econornics 7 (March 1980), pp. 55-69.
13. Freund, R. J. and Littell, R. C. and P. C. Spector, "SAS
System for Linear Models ", 1991, SAS Institute Inc.
14. Garman, M. B . "Market microstructure J) Journal of Financial
Economic, 3( June 1976), pp.257-275.
15. Gibbons, M.R. and Hess, P. J) Day of the Week Effect and
Asset Returns, J) Journal of Business 54(1981), pp.580-586.
16.Godefrey,M.D., Granger,C.W.J. and O. Morgenstern,”The Random-Walk Hypothesis of Stock Market Behavior” Kyklos 17, Fasc. 1, 1964 pp.1-30.
17.Granger, C.W.J. and Morgenstern,O.,”Spectral Analysis of New York Stock Market Prices”, Kyklos 16, Fasc. 1, 1963,pp.1-27.
18,Granger, C.W.J., “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods” Econometrica 37, July 1969, pp.424-438.
19. Hanna,M.”Security Price Changes and Transaction Volumes: Additional Evidence” American Economic Review,Vol.68 (Setember 1978), pp.692-695.
20.Harris, L. “Coss-Security Tests of the Mixture of Distributions Hypothesis” Journal of Financial and Quantitative Analysis, Vol.21(March 1986),pp.39-46.
21. ───, “A Transaction Data Study of Weekly and Intradaily Potterns in Stock Returns” Journal of Financial Economics, Vol. 16 (May 1986), PP. 99-117.
22. Haugh,L.D.”Checking the Independence of Two Covariance –Stationary Time Series:A Univariate Residual Cross-Correlation Approach”Journal of the American Statistical Association 71, June 1976, pp.378-385.
23. Jain, P. C., and Ajinkya, B.B., "The Behavior of Daily Stock
Market Trading Volume" Journal of Accounting and
Economics, Vol.11 (Noven~ber 1989), pp.331-359.
24 . Jain, P. C., and J oh, G. "The Dependence between Hourly
Prices and Trading Volume. " Journal of Financial and
Quantitative Analysis, Vol.23 (Septe`mber 1988), pp.269-283.
25. James, C. and Edrnister, R. C. "The Relation between Common
Stock Returns Trading Activity and Market Values"
Journal of Finance, Vol.38 (September 1983), pp.l075-1086.
26. Jennings, R.H. and Barry C. "Information Dissemination
and Portfolio Choice" Journal of Financial and Quantitative
Analysis, Vol.18 (March 1983), pp.1-19.
27. --------------, "On Information Dissemination
and Eq1.lilibrium A sset Prices.` A Note" J ournal
of Financial and Quantitative Analysis, Vol.19 (December1984), pp.395-402.
28. Jennings, R.H., Starks, L.J. and J. C. Fellingham ," An
Equilibriu`m Model of Asset Tradi`ng with Sequential Information
ATTi`ual" Jo`uTnal of Finance, Vol.36 (March 1981),pp.143-161.
29. John C.B. and David A.D., "SAS System for Forecasting
Time Series ", 1986. SAS Institute Inc.
30. Karp off, J.M. "A Theory of Trading Volume." Journal of
Finance, Vol.4l (December 1986), pp.l069-1087.
31. , "The Relation between Price Changes
and Trading Volume: A Survey ", Journal of Financial
and Quantitative Analysis, Vol.22 (March 1987), pp.l09-126.
32. ----------, "Costly Short Sales and the Correlation
of Returns with Volume. " Journal of Financial Research,
Vol.ll (Fall 1988), pp.173-188.
33. Keim, D.B. and Starnbaugh R.F. "A Further Investigation
of Weekend Effect in Stock Returns " Journal of Finance
39 (July 1984), pp.819.
34. Morgan, 1. G, "Stock Prices and H eteroskedasticity" J ournal
of Business, Vol.49 (Octorber 1976) pp.496-508.
35. Morse, D. "Asymmetrical Information in Securities M arkets
and Trading Volume. " Journal of Financial and Quantitative
Analysis, Vol.15 (Decernber 1980), pp.1129-1148.
36. ------, "Price and Trading Volume Reaction Surrounding
Earnings Announcements: A Closer Examination.
" Journal of Accounting Research, Vol.19 (Autumn
1981), pp.374-383.
37. Osborne, M.F.M., "Brownian Motion in the Stock Market."
Operations Research, Vol. 7 (M arch- April 1 959), pp.145-173.
38. Rogalski, R.J. "The Dependence of Prices and Volume"
The Review of Econ01nics and Statistics, Vol. 36 (May 1978),pp.268-274•
39. -------, "New Findings Regarding Day-of-theWeek
Returns Over Trading and Non-Trading Periods :A
Note ," Journal of Finance 39 (December 1984), pp.1604-1606.
40. Rubinstein, M., "Securities Market Efficiency in an ArrowDebreu
Economy", A`merican Economic Review (December,1975), pp. 821-824.
41. Rutledge. D.J.S. "Trading Volume and Price Variability:
New Evidence on the Price effects of Speculation" In Selected
Writing on Futures Markets: Research Directions in
Commodity Markets, 1970-1980, A.E. Peck, ed. Chicago:
Chicago Board of Trade(1984}, pp.237-251.
42. Smirlock,M., and Starks L. "A Transactions Approach to
Testing Information A rrival Models" Working Paper, Washington
U•niv. (August 1984).
43. -------------, "Day of the Week Effects
in Stock Returns: Some Intraday Evidence,)) Journal of
Financial Economics Vol.17 (Sep. 1986)pp. 197-210.
44.--------------,”An Empirical Analysis of the Stock Price-Volume Relationship, Journal of Banking and Finance 12 (1988) 31-41. North-Holland, pp.31-41.
45.Tauchen,G. and Pitts, M., “The Price Variability-Volume Relationship on Speculative Markets.” Econometrica, Vol.51 (March 1983), pp.485-505.
46.Fomby T.B. Hill R.C., and S.R.Jonhson,”Advaneed Econometric Methods,雙葉書局總經銷.
47. Upton,D.E.,and Shannon, D.S., “The Stable Paretion Distribution,Subordinated Stochastic Processes, and Asymptotic Lognormality:A Empirical Investigation.”Journal of Finance, Vo.34(September 1979), pp.1031-1039.
48.Vandaele W.,”Applied Time Series and Box-Jenkins Models”Academic Press, Inc. 1983,雙葉書局翻印。
49.Verrecchia, R.E.”On the Relationship between Volume Reaction and Consensus of Investors: Implications for Interpreting Tests of Information Content.” Journal of Accounting Research ,Vol. 19(Spring 1981), pp.271-283.
50.Verrecchia, R.E. and Kim O.,”Trading Volume and Price Reactions to Public Announcements” Journal of Accouting Research Vol.29 (Autumn 1991),pp.302-321.
51.Westerfield,R.,”The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models”, Journal of Financial and Quantitative Analysis 12, Dec. 1977, pp.743-765.
52.Ying C.C.”Stock Market Prices and Volumes of Sales”, Econometrica 34, July. 1966, pp.676-686.
描述 碩士
國立政治大學
會計學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004321
資料類型 thesis
dc.contributor.advisor 鄭丁旺zh_TW
dc.contributor.advisor ZHENG, DING-WANGen_US
dc.contributor.author (Authors) 蕭幸金zh_TW
dc.contributor.author (Authors) XIAO, XING-JINen_US
dc.creator (作者) 蕭幸金zh_TW
dc.creator (作者) XIAO, XING-JINen_US
dc.date (日期) 1993en_US
dc.date (日期) 1992en_US
dc.date.accessioned 2-May-2016 15:15:08 (UTC+8)-
dc.date.available 2-May-2016 15:15:08 (UTC+8)-
dc.date.issued (上傳時間) 2-May-2016 15:15:08 (UTC+8)-
dc.identifier (Other Identifiers) B2002004321en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/89181-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 會計學系zh_TW
dc.description.abstract (摘要) 研究資本市場價格變動的特性，一直是財務學者實証研究的一□。以經濟學中需求zh_TW
dc.description.tableofcontents 論文提要‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ｉ
表目錄‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ｖ
圖目錄‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ｖｉ

第一章　緒論‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１
　第一節　研究背景與動機‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１
　第二節　研究目的與問題‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４
　第三節　研究方法概述‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧５
　第四節　研究流程與論文架構‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧６

第二章　文獻探討‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１０
　第一節　價量關係的相關理論模型‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１０
　第二節　國外有關價量觀戲之實証文獻‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧２１
　第三節　國內文獻‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３０

第三章　研究方法‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４４
　第一節　觀念性架構‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４４
　第二節　研究假說‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４４
　第三節　研究設計‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４６
　第四節　資料說明‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４７
　第五節　資料分析方法‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４９

第四章　實証分析結果‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧５７
　第一節　股市週日效應之分析結果‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧５７
　第二節　價量同時性相關之分析結果‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧５９
　第三節　價量因果關係之分析結果‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧７０

第五章　結論與建議‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧８５
　第一節　研究結論‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧８５
　第二節　研究限制‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧８６
　第三節　後續研究建議‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧８７

參考書目‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧８９		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004321en_US
dc.subject (關鍵詞) 股價zh_TW
dc.subject (關鍵詞) 成交量zh_TW
dc.subject (關鍵詞) 會計zh_TW
dc.title (題名) 股價與成交量相依程度之探討-臺灣股市實證分析zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、 中文部分
1. 伍忠謙，「台灣股票市場價格變動習性為隨機漫步假定之再驗證」，淡江管科所未出版碩士論文，民國76年。
2. 李春旺，「股價行為與規模效應－台灣股票市場實證研究」，台灣經建研究叢書之三十四，民國78年。
3. 李碧林，「重貼現率變動對週轉率及股價之影響－台灣證券市場之實證研究」，淡江管科所未出版碩士論文，民國80年。
4. 何培基，「商用統計學與SAS／PC應用」民國79年，長諾資訊圖書公司。
5. 林玩香編譯，「SAS使用手冊－高等統計篇」，民國76年，儒林圖書公司。
6. 林茂文編著，「時間數列分析與預測」，民國81年，華泰書局。
7. 周文賢，「計量經濟與時間數列分析－SAS ETS之運用」，作者自印。
8. 黃敏助，「八十年代證券投資策略」，民國80年。
9. 陳東明，「台灣股票市場價量關係之實證研究」，台大商學研究所未出版碩士論文，民國80年。
10. 曾祥琳，「每季盈餘公告對股票成交量影響之實證影響」，成大工管所未出版碩士論文，民國78年。
11. 趙美蘭，「融資融券比率調整對股價成交量影響之實證研究」，中興企研所未出版碩士論文，民國78年。
12. 魯憶萱，「現金增資股發放對成交量集股價影響之探討」，政大企研所未出版碩士論文，民國79年。
13. 鍾振明，「上市股票價格和交易量對營業公告之反應及其關係之實證研究」，交大管研所未出版碩士論文，民國74年。
14. 譚淑卿，「台灣股市價格變動與成交量的關係」，淡江金融所未出版碩士論文，民國81年。


二、英文部分
1. Bamber,L.S.”The Information Content of Annual Earnings Release: A Trading Volume Approach” Journal of Accounting Research, Vol.24 (Spring 1986),pp.40-56.
2. Beaver,W.H.,”The Information Content of Annual Eurnings Announcements.”Empirical Research in Accounting: Selected Studies.Supplement to Journal of Accounting Research, Vol.6(1968),pp.67-92.
3. Clark,P.K.”A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices” Econometrica, Vol.-41(January 1973),pp.135-155.
4. Copeland,T.E.”A Model of Asset Trading under the Assumption of Sequential Information Arrival” Journal of Finance, Vol. 31(September 1976),pp.1149-1168.
5. ──────,”A Probability Model of Asset Trading”, Journal of Financial and Quantitative Analysis 12, Nov. 19-77,pp.563-578.
6. Crouch,R.L.,”A Nonlinear Test of Random-Walk Hypothesis”, The American Economic Review 60 Mar. 1970, pp.199-202.
7. ──────,”The Volume of Transactions and Prices Changes on the New York stock Exchange”, Financial Analysts Journal 26, July-Aug, 1970.
8. Epps, T. W. "Security Price Changes and Transaction Volumes:
Theory and Evidence ", The American Economic
Review 65, Sep. 1975, pp.586-597
9. Epps. T. W. and Epps, M.L., "The Stochastic Dependence
of Security Price Changes and Transaction Volumes: Implications
for the Mixture-of-Distributions Hypothesis", Econometrica
44, Mar. 1976, pp.305-321.
10. Fama, E.F. "The Behavior of Stock Market Prices" Journal
of Business. Vol.38( January 1965), pp. 34 -105.
11. Foster, G. " Stock Market Reaction to Estimates of Earnings
Per Share by Company Officials." Journal of Accounting
Research Vol.11 (Spring 1973), pp.25- 37.
12. French, K.R., "Stock Returns and the Weekend Effect"
Journal of Financial Econornics 7 (March 1980), pp. 55-69.
13. Freund, R. J. and Littell, R. C. and P. C. Spector, "SAS
System for Linear Models ", 1991, SAS Institute Inc.
14. Garman, M. B . "Market microstructure J) Journal of Financial
Economic, 3( June 1976), pp.257-275.
15. Gibbons, M.R. and Hess, P. J) Day of the Week Effect and
Asset Returns, J) Journal of Business 54(1981), pp.580-586.
16.Godefrey,M.D., Granger,C.W.J. and O. Morgenstern,”The Random-Walk Hypothesis of Stock Market Behavior” Kyklos 17, Fasc. 1, 1964 pp.1-30.
17.Granger, C.W.J. and Morgenstern,O.,”Spectral Analysis of New York Stock Market Prices”, Kyklos 16, Fasc. 1, 1963,pp.1-27.
18,Granger, C.W.J., “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods” Econometrica 37, July 1969, pp.424-438.
19. Hanna,M.”Security Price Changes and Transaction Volumes: Additional Evidence” American Economic Review,Vol.68 (Setember 1978), pp.692-695.
20.Harris, L. “Coss-Security Tests of the Mixture of Distributions Hypothesis” Journal of Financial and Quantitative Analysis, Vol.21(March 1986),pp.39-46.
21. ───, “A Transaction Data Study of Weekly and Intradaily Potterns in Stock Returns” Journal of Financial Economics, Vol. 16 (May 1986), PP. 99-117.
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