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題名 臺灣地區股票上市公司流動性與股票報酬關係之研究
作者 郭秋榮
貢獻者 劉維琪
郭秋榮
日期 1990
1989
上傳時間 3-May-2016 14:06:59 (UTC+8)
摘要 論文內容提要:
參考文獻 參考文獻
一、中文部份:
1.劉玉珍，「最後進出喊價價差與股票報酬的關係」，中山大學企管研究所碩士論文，民國七十七年六月。
2.吳貞和，「臺灣證券市場流動性之衡量及其影響因素之研究」，中山大學企業管理研究所碩士論文，民國七十八年六月，頁九十六。
3.林金源，「股價變動因素影響資產訂價模式解釋能力之研究」，中山大學企管研究所碩士論文，民國七十八年六月。
4.吳學基，「限制漲跌幅度影響後續股價之研究──以臺灣證券市場為例」，政大企研所碩士論文，民國七十五年六月。
5.官怡君，「股價漲跌幅限制對系統風險影響之研究」，台大商學研究所碩士論文，民國七十八年六月。
6.曾貴蘭，「臺灣股票市場上市股票無系統風險之研究:理論與實證」，台大商研所碩士論文，民國七十六年六月。
7.陳厚侗，「證券投資及其市場」，三民書局，民國七十七年四月增訂二版，pp.115.
8.林煜宗，「現代投資學──制度、理論與實證，」三民書局，第四版，民國七十七年七月，pp.376.
9.顏月珠，商用統計學，三民書局，民國七十七年。
10.林鐘雄，貨幣銀行學，第五版，三民書局。
11.鎮乾常，「證券交易市場制度」，證券管理第二卷，第五期，頁23-28。
12.李又剛、丁誌魰，「股價漲跌限幅措施下的我國股市與美、日、港三國股市的比較，」台北市銀月刊，第二十卷第一期，民國七十八年，頁14-26。
13.臺灣證券交易所證交資料。
14.臺灣證券交易所上市證券概況。

二、英文部份:
l.Amihud, Yakov and Haim Mendelson, "Liquidity and Stock Returns," Financial Analysts Journal, May-June 1986.
2.Amihud, Yakov and Haim Mendelson, "Asset Pricing and The Bid-Ask Spread," Journal of Financial Economics 17(1986),pp.223-249.
3.Amihud, Yakov and Haim Mendelson, "Liquidity and Asset Prices: Financial Management Implications," Journal of Financial Management,Spring 1988, pp.5-15.
4.Bernstain, Peter L., "Liquidity, Stock Markets and Market Makers," Financial Management, Summer 1987, pp. 54-62.
5.Chan, K.C. and Nai-fu Chen, "An Unconditional Asset Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk," Journal of Finance 43 (1988), pp.309-325.
6.Chen,Nai-fu and Raymond Kan, "Expected Return and the Bid-Ask Spread," CRSP Working Paper, Graguate School of Business,The University of Chicago, Jan. 1989。
7.Chen,Nai-fu., B. Grundy and R. Stambaugh, "Changing Risk Premiums,and Dividend Yield Effects," CRSP Working Paper No.239 (1988), University of Chicago.
8.Choi, J. Y., Dan Salandro, and Kuldeep Shastri, "On the Estimation of The Bid-Ask Spread: Theory and Evidence," Journal of Financial Quantitative Analysts, June 1988, pp.219-230.Financial Quantitative Analysts, June 1988, pp.219-230.
9.Cohen,Kalman J., Steven F. Maier, Robert A. Schwartz, David K. Whitcomb, "The Microstructure of Securities Markets," Prentice-Hall,Englewood Cliffs, New Jersey, 1986, pp.2.
10.Constantinides,George M., "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, Vo1.94, No.4,1986, pp.842-862.
11.Douglas, G. W., "Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency," Yale Econcmic Essays 9, (Spring 1969), pp. 3-45.
12.Dubofsky, David A. and John C. Groth, "Exchange Listing and Stock Liduidity," Journal of Financial Research, Winter 1984,pp.291-302.
13.Fama and K. French, "Dividends Yields and Expected Stock Returns," Journal of Financial Economics 22 (1988), pp.3-25.
14.Fogler,H.R., "20% in Real Estate: Can Theory Justify It?" Journal of Portfolio Management, Winter 1984, pp.6-13.
15.Garbade, "Security Markets," New York , McGraw-Hill 1982,Chapter 24.
16.Glosten, Lawrence R. and Lawrence E. Haris, "Estimating the Components of the Bid-Ask Spread," Journal of Financial Economics 21, 1988, pp.123-142.
17.Hasbrouck, Joel and Robert A Schwartz, "Liquidity and Execution Cost in Equity Markets," Journal of Portfoilo Management,Spring 1988, PP. 10~18.
18.Hui, Baldwin and Barbara Heubel, " Comparative Liquidity Advantage Among Major US. Stock Markets," DRI Financial Information Group, Study Series 84081.
19.Kane, "Coin: Anatomy of a Fad Asset," Journal of Portfolio Management, Winter 1984, pp.44-51.
20.Lippman,Steven A. and John J. McCall, "An Operational Measure of Liquidity," American Economic Review, March 1986, pp.44.
21.Milne, Frank and Clifford W. Smith Jr. "Capital Asset Pricing with Proportional Transaction Costs", Journal of Financial and Quantitative Analysis, Volume XV, No. 2, June 1980.
22.Schwartz,Robert A., "Equity Markets: Structure, Trading and Performance,"Harper and Row, Publishers, New York, 1988, Chaper 3。
23.Tailor,W.M.," The Estimation of Quality Adjusted Rates of Return in Stamp Auction," Journal of Finance 38 (1983), pp.1095-1100.
24.Tinic,Seha M., "The Economics of Liquidity Services," Quarterly Journal of Economics 84, 1972, pp.79-93.
25 .Tinic,Seha M., Richard R . West, "Risk, Return, and Equilibrium:A Revisit," Journal of Political Economy 94 (1), Feb. 1986, pp. 126-147 .
描述 碩士
國立政治大學
企業管理學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005215
資料類型 thesis
dc.contributor.advisor 劉維琪zh_TW
dc.contributor.author (Authors) 郭秋榮zh_TW
dc.creator (作者) 郭秋榮zh_TW
dc.date (日期) 1990en_US
dc.date (日期) 1989en_US
dc.date.accessioned 3-May-2016 14:06:59 (UTC+8)-
dc.date.available 3-May-2016 14:06:59 (UTC+8)-
dc.date.issued (上傳時間) 3-May-2016 14:06:59 (UTC+8)-
dc.identifier (Other Identifiers) B2002005215en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90010-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.abstract (摘要) 論文內容提要:zh_TW
dc.description.tableofcontents 目錄
第一章緒論
1.1引言………1
1.2研究動機………1
1.3研究目的………4
1.4研究範圍與對象………5
1.5研究方法………6
1.6研究限制………7
1.7研究內容………8
第二章文獻探討
2.1有關CAPM的實證研究………11
2.2流動性因素………15
2.3流動性之重要性………21
第三章研究設計
3.1操作性定義………34
3.2研究範圍………35
3.3資料來源及處理………36
3.4研究方法………39
第四章實證結果與分析
4.1投資組合一………49
4.2投資組合二………67
4.3規模效應………76
4.4系統風險、相對價差與超額報酬關係之總結………78
第五章結論與建議
5.1結論………84
5.2未來研究方向之建議………85
參考文獻………88

圖表目次
表4-1投資組合月超額報酬與系統性風險及相對價差之相關係數………51
表4-2投資組合一之下各模式變數之檢定………53
表4-3投資組合虛擬變數(C_ij)表………54
表4-4價差群組與β群組虛擬變數之檢定………55
表4-5各模式殘差變異數的解釋程度(價差－報酬關係之檢定) ………56
表4-6投資組合的規模效應………59
表4-7研究期間各子期內投資組合對價差與超額報酬之檢定………60
表4-8投資組合月超額報酬與系統性風險及相對價差關係之檢定………62
表4-9投資組合虛擬變數(C_ij)表………64
表4-10價差群組與β群組虛擬變數之檢定………65
表4-11各模式殘差變異數的解釋程度(價差－報酬關係之檢定) ………66
表4-12投資組合二之下各模式變數之檢定………69
表4-13投資組合虛擬變數(C_ij)表………70
表4-14價差群組與β群組虛擬變數之檢定………71
表4-15各模式殘差變異數的解釋程度(價差－報酬關係之檢定) ………72
表4-16投資組合虛擬變數(C_ij)表………74
表4-17價差群組與β群組虛擬變數之檢定………75
表4-18各模式殘差變異數的解釋程度(價差－報酬關係之檢定) ………77

附錄目次
附錄一:本研究採樣之股票上市公司………87		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005215en_US
dc.title (題名) 臺灣地區股票上市公司流動性與股票報酬關係之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻
一、中文部份:
1.劉玉珍，「最後進出喊價價差與股票報酬的關係」，中山大學企管研究所碩士論文，民國七十七年六月。
2.吳貞和，「臺灣證券市場流動性之衡量及其影響因素之研究」，中山大學企業管理研究所碩士論文，民國七十八年六月，頁九十六。
3.林金源，「股價變動因素影響資產訂價模式解釋能力之研究」，中山大學企管研究所碩士論文，民國七十八年六月。
4.吳學基，「限制漲跌幅度影響後續股價之研究──以臺灣證券市場為例」，政大企研所碩士論文，民國七十五年六月。
5.官怡君，「股價漲跌幅限制對系統風險影響之研究」，台大商學研究所碩士論文，民國七十八年六月。
6.曾貴蘭，「臺灣股票市場上市股票無系統風險之研究:理論與實證」，台大商研所碩士論文，民國七十六年六月。
7.陳厚侗，「證券投資及其市場」，三民書局，民國七十七年四月增訂二版，pp.115.
8.林煜宗，「現代投資學──制度、理論與實證，」三民書局，第四版，民國七十七年七月，pp.376.
9.顏月珠，商用統計學，三民書局，民國七十七年。
10.林鐘雄，貨幣銀行學，第五版，三民書局。
11.鎮乾常，「證券交易市場制度」，證券管理第二卷，第五期，頁23-28。
12.李又剛、丁誌魰，「股價漲跌限幅措施下的我國股市與美、日、港三國股市的比較，」台北市銀月刊，第二十卷第一期，民國七十八年，頁14-26。
13.臺灣證券交易所證交資料。
14.臺灣證券交易所上市證券概況。

二、英文部份:
l.Amihud, Yakov and Haim Mendelson, "Liquidity and Stock Returns," Financial Analysts Journal, May-June 1986.
2.Amihud, Yakov and Haim Mendelson, "Asset Pricing and The Bid-Ask Spread," Journal of Financial Economics 17(1986),pp.223-249.
3.Amihud, Yakov and Haim Mendelson, "Liquidity and Asset Prices: Financial Management Implications," Journal of Financial Management,Spring 1988, pp.5-15.
4.Bernstain, Peter L., "Liquidity, Stock Markets and Market Makers," Financial Management, Summer 1987, pp. 54-62.
5.Chan, K.C. and Nai-fu Chen, "An Unconditional Asset Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk," Journal of Finance 43 (1988), pp.309-325.
6.Chen,Nai-fu and Raymond Kan, "Expected Return and the Bid-Ask Spread," CRSP Working Paper, Graguate School of Business,The University of Chicago, Jan. 1989。
7.Chen,Nai-fu., B. Grundy and R. Stambaugh, "Changing Risk Premiums,and Dividend Yield Effects," CRSP Working Paper No.239 (1988), University of Chicago.
8.Choi, J. Y., Dan Salandro, and Kuldeep Shastri, "On the Estimation of The Bid-Ask Spread: Theory and Evidence," Journal of Financial Quantitative Analysts, June 1988, pp.219-230.Financial Quantitative Analysts, June 1988, pp.219-230.
9.Cohen,Kalman J., Steven F. Maier, Robert A. Schwartz, David K. Whitcomb, "The Microstructure of Securities Markets," Prentice-Hall,Englewood Cliffs, New Jersey, 1986, pp.2.
10.Constantinides,George M., "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, Vo1.94, No.4,1986, pp.842-862.
11.Douglas, G. W., "Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency," Yale Econcmic Essays 9, (Spring 1969), pp. 3-45.
12.Dubofsky, David A. and John C. Groth, "Exchange Listing and Stock Liduidity," Journal of Financial Research, Winter 1984,pp.291-302.
13.Fama and K. French, "Dividends Yields and Expected Stock Returns," Journal of Financial Economics 22 (1988), pp.3-25.
14.Fogler,H.R., "20% in Real Estate: Can Theory Justify It?" Journal of Portfolio Management, Winter 1984, pp.6-13.
15.Garbade, "Security Markets," New York , McGraw-Hill 1982,Chapter 24.
16.Glosten, Lawrence R. and Lawrence E. Haris, "Estimating the Components of the Bid-Ask Spread," Journal of Financial Economics 21, 1988, pp.123-142.
17.Hasbrouck, Joel and Robert A Schwartz, "Liquidity and Execution Cost in Equity Markets," Journal of Portfoilo Management,Spring 1988, PP. 10~18.
18.Hui, Baldwin and Barbara Heubel, " Comparative Liquidity Advantage Among Major US. Stock Markets," DRI Financial Information Group, Study Series 84081.
19.Kane, "Coin: Anatomy of a Fad Asset," Journal of Portfolio Management, Winter 1984, pp.44-51.
20.Lippman,Steven A. and John J. McCall, "An Operational Measure of Liquidity," American Economic Review, March 1986, pp.44.
21.Milne, Frank and Clifford W. Smith Jr. "Capital Asset Pricing with Proportional Transaction Costs", Journal of Financial and Quantitative Analysis, Volume XV, No. 2, June 1980.
22.Schwartz,Robert A., "Equity Markets: Structure, Trading and Performance,"Harper and Row, Publishers, New York, 1988, Chaper 3。
23.Tailor,W.M.," The Estimation of Quality Adjusted Rates of Return in Stamp Auction," Journal of Finance 38 (1983), pp.1095-1100.
24.Tinic,Seha M., "The Economics of Liquidity Services," Quarterly Journal of Economics 84, 1972, pp.79-93.
25 .Tinic,Seha M., Richard R . West, "Risk, Return, and Equilibrium:A Revisit," Journal of Political Economy 94 (1), Feb. 1986, pp. 126-147 .		zh_TW