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題名 價格或流動性：道瓊工業平均指數成分股的選擇
Price versus Liquidity: The Selection of DJIA Stocks作者 劉逸涵
Liu, Yi-Han貢獻者 黃嘉威
Huang, Chia-Wei
劉逸涵
Liu, Yi-Han關鍵詞 道瓊工業平均指數
選股標準
股價
股票流動性
Dow Jones Industrial Average
Stock selection criteria
Stock price
Stock liquidity日期 2023 上傳時間 6-七月-2023 17:00:49 (UTC+8) 摘要 本研究以股價及六種流動性代理變數進行羅吉斯迴歸分析，探討1927年至2020年，股價、股票流動性與道瓊工業平均指數選股標準之間的關係，並比較兩項因素對公司是否被選入道瓊工業平均指數的影響力。實證結果顯示，股價對於公司是否被選入指數的解釋力較不一致，僅在部分流動性衡量方式下具有顯著正向影響，流動性代理變數則具有高度解釋力及顯著正向影響。總體而言，股價愈高或流動性愈高的公司，進入指數的機率愈高，這可能與指數計算方式、市場對於股價的重視程度以及道瓊工業平均指數期望維持準確性和代表性的目標有關。儘管兩項因素對於公司是否進入指數具有一定的正向影響，但相較於股價，股票流動性對於公司是否被選入指數的影響更大。此外，本研究也發現股價和股票流動性的影響力並無明顯的時間趨勢。
In this study, logistic regression analysis was conducted using stock prices and six liquidity proxy variables to explore the relationship between stock price, stock liquidity and the stock selection criteria of the Dow Jones Industrial Average from 1927 to 2020, and to compare the influence of these two factors on whether a company is selected for inclusion in the Dow Jones Industrial Average. The empirical results show that the explanatory power of stock prices for the inclusion of companies in the index is inconsistent, with only significant positive effects observed in certain measures of liquidity. On the other hand, the liquidity proxy variables exhibit a high explanatory power and significant positive impact on the inclusion of companies in the index. Overall, companies with higher stock prices or greater liquidity have a higher probability of being included in the index. This relationship may be related to the index calculation methodology, the market`s emphasis on stock prices, and the goal of maintaining accuracy and representativeness of the Dow Jones Industrial Average. Although the two factors have a certain positive impact on whether a company is included in the index, stock liquidity plays a more significant role than stock price. In addition, this study also finds that the influence of stock price and stock liquidity has no obvious time trend.參考文獻 中文部分張柏鴻（2017）。企業社會責任與股票流動性―以美國市場為例〔未出版之碩士論文〕。國立臺北大學金融與合作經營學系。鄭舜仁（2004）。探討影響股票流動性的因素-以時間數列橫斷面探討公司規模、股權結構與資訊不對稱。管理科學與統計決策，1(1)，85-97。英文部分Aitken, M., & Comerton-Forde, C. (2003). How should liquidity be measured?. Pacific-Basin Finance Journal, 11(1), 45-59.Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.Amihud, Y., Mendelson, H., & Pedersen, L. H. (2006). Liquidity and asset prices. Foundations and Trends in Finance, 1(4), 269-364.Arora, A., Capp, L., & Smith, G. (2008). The real dogs of the Dow. Journal of Wealth Management, 10(4), 64-72.Biktimirov, E. N., & Xu, Y. (2019). Market reactions to changes in the Dow Jones industrial average index. International Journal of Managerial Finance.Brown, J. H., Crocker, D. K., & Foerster, S. R. (2009). Trading volume and stock investments. Financial Analysts Journal, 65(2), 67-84.Dalvi, M. R., & Baghi, E. (2014). Evaluate the relationship between company performance and stock market liquidity. International Journal of Academic Research in Accounting, Finance and Management Sciences, 4(1), 136-144.Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.Elyasiani, E., Hauser, S., & Lauterbach, B. (2000). Market response to liquidity improvements: Evidence from exchange listings. Financial Review, 35(1), 1-14.Gregoriou, A., & Nguyen, N. D. (2010). Stock liquidity and investment opportunities: New evidence from FTSE 100 index deletions. Journal of International Financial Markets, Institutions and Money, 20(3), 267-274.Grossman, S. J., & Miller, M. H. (1988). Liquidity and market structure. Journal of Finance, 43(3), 617-633.Harris, L. (1990). Liquidity, trading rules and electronic trading systems (No. 91-8).Lesmond, D. A., Ogden, J. P., & Trzcinka, C. A. (1999). A new estimate of transaction costs. Review of Financial Studies, 12(5), 1113-1141.Polonchek, J., & Krehbiel, T. (1994). Price and volume effects associated with changes in the Dow Jones averages. Quarterly Review of Economics and Finance, 34(4), 305-316.Roll, R. (1984). A simple implicit measure of the effective bid‐ask spread in an efficient market. Journal of Finance, 39(4), 1127-1139.Rudd, A. T. (1979). The revised Dow Jones industrial average: new wine in old bottles?. Financial Analysts Journal, 35(6), 57-63.Ryan, P. A., & Villupuram, S. V. (2023). Changes in the DJIA: market reactions and economic cycles. Review of Accounting and Finance, 22(2), 177-193.Varela, O., & Chandy, P. R. (1989). Market reaction to listings and delistings in the Dow Jones portfolios. International Journal of Finance, 2(1), 67-78. 描述 碩士
國立政治大學
財務管理學系
110357019資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357019 資料類型 thesis dc.contributor.advisor 黃嘉威 zh_TW dc.contributor.advisor Huang, Chia-Wei en_US dc.contributor.author (作者) 劉逸涵 zh_TW dc.contributor.author (作者) Liu, Yi-Han en_US dc.creator (作者) 劉逸涵 zh_TW dc.creator (作者) Liu, Yi-Han en_US dc.date (日期) 2023 en_US dc.date.accessioned 6-七月-2023 17:00:49 (UTC+8) - dc.date.available 6-七月-2023 17:00:49 (UTC+8) - dc.date.issued (上傳時間) 6-七月-2023 17:00:49 (UTC+8) - dc.identifier (其他 識別碼) G0110357019 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145923 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 110357019 zh_TW dc.description.abstract (摘要) 本研究以股價及六種流動性代理變數進行羅吉斯迴歸分析，探討1927年至2020年，股價、股票流動性與道瓊工業平均指數選股標準之間的關係，並比較兩項因素對公司是否被選入道瓊工業平均指數的影響力。實證結果顯示，股價對於公司是否被選入指數的解釋力較不一致，僅在部分流動性衡量方式下具有顯著正向影響，流動性代理變數則具有高度解釋力及顯著正向影響。總體而言，股價愈高或流動性愈高的公司，進入指數的機率愈高，這可能與指數計算方式、市場對於股價的重視程度以及道瓊工業平均指數期望維持準確性和代表性的目標有關。儘管兩項因素對於公司是否進入指數具有一定的正向影響，但相較於股價，股票流動性對於公司是否被選入指數的影響更大。此外，本研究也發現股價和股票流動性的影響力並無明顯的時間趨勢。 zh_TW dc.description.abstract (摘要) In this study, logistic regression analysis was conducted using stock prices and six liquidity proxy variables to explore the relationship between stock price, stock liquidity and the stock selection criteria of the Dow Jones Industrial Average from 1927 to 2020, and to compare the influence of these two factors on whether a company is selected for inclusion in the Dow Jones Industrial Average. The empirical results show that the explanatory power of stock prices for the inclusion of companies in the index is inconsistent, with only significant positive effects observed in certain measures of liquidity. On the other hand, the liquidity proxy variables exhibit a high explanatory power and significant positive impact on the inclusion of companies in the index. Overall, companies with higher stock prices or greater liquidity have a higher probability of being included in the index. This relationship may be related to the index calculation methodology, the market`s emphasis on stock prices, and the goal of maintaining accuracy and representativeness of the Dow Jones Industrial Average. Although the two factors have a certain positive impact on whether a company is included in the index, stock liquidity plays a more significant role than stock price. In addition, this study also finds that the influence of stock price and stock liquidity has no obvious time trend. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景 1第二節 研究目的 2第三節 研究架構 3第二章 文獻回顧 4第一節 道瓊工業平均指數介紹 4第二節 流動性定義、衡量指標及相關文獻 14第三節 道瓊工業平均指數相關研究與報導 18第四節 假說建立 21第三章 研究方法 24第一節 樣本蒐集與處理 24第二節 實證模型 27第四章 實證結果 34第一節 樣本分析 34第二節 迴歸結果 36第五章 結論與建議 42第一節 結論 42第二節 研究限制與後續建議 43參考文獻 44 zh_TW dc.format.extent 1906741 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357019 en_US dc.subject (關鍵詞) 道瓊工業平均指數 zh_TW dc.subject (關鍵詞) 選股標準 zh_TW dc.subject (關鍵詞) 股價 zh_TW dc.subject (關鍵詞) 股票流動性 zh_TW dc.subject (關鍵詞) Dow Jones Industrial Average en_US dc.subject (關鍵詞) Stock selection criteria en_US dc.subject (關鍵詞) Stock price en_US dc.subject (關鍵詞) Stock liquidity en_US dc.title (題名) 價格或流動性：道瓊工業平均指數成分股的選擇 zh_TW dc.title (題名) Price versus Liquidity: The Selection of DJIA Stocks en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分張柏鴻（2017）。企業社會責任與股票流動性―以美國市場為例〔未出版之碩士論文〕。國立臺北大學金融與合作經營學系。鄭舜仁（2004）。探討影響股票流動性的因素-以時間數列橫斷面探討公司規模、股權結構與資訊不對稱。管理科學與統計決策，1(1)，85-97。英文部分Aitken, M., & Comerton-Forde, C. (2003). How should liquidity be measured?. Pacific-Basin Finance Journal, 11(1), 45-59.Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.Amihud, Y., Mendelson, H., & Pedersen, L. H. (2006). Liquidity and asset prices. Foundations and Trends in Finance, 1(4), 269-364.Arora, A., Capp, L., & Smith, G. (2008). The real dogs of the Dow. Journal of Wealth Management, 10(4), 64-72.Biktimirov, E. N., & Xu, Y. (2019). Market reactions to changes in the Dow Jones industrial average index. International Journal of Managerial Finance.Brown, J. H., Crocker, D. K., & Foerster, S. R. (2009). Trading volume and stock investments. Financial Analysts Journal, 65(2), 67-84.Dalvi, M. R., & Baghi, E. (2014). Evaluate the relationship between company performance and stock market liquidity. International Journal of Academic Research in Accounting, Finance and Management Sciences, 4(1), 136-144.Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.Elyasiani, E., Hauser, S., & Lauterbach, B. (2000). Market response to liquidity improvements: Evidence from exchange listings. Financial Review, 35(1), 1-14.Gregoriou, A., & Nguyen, N. D. (2010). Stock liquidity and investment opportunities: New evidence from FTSE 100 index deletions. Journal of International Financial Markets, Institutions and Money, 20(3), 267-274.Grossman, S. J., & Miller, M. H. (1988). Liquidity and market structure. Journal of Finance, 43(3), 617-633.Harris, L. (1990). Liquidity, trading rules and electronic trading systems (No. 91-8).Lesmond, D. A., Ogden, J. P., & Trzcinka, C. A. (1999). A new estimate of transaction costs. Review of Financial Studies, 12(5), 1113-1141.Polonchek, J., & Krehbiel, T. (1994). Price and volume effects associated with changes in the Dow Jones averages. Quarterly Review of Economics and Finance, 34(4), 305-316.Roll, R. (1984). A simple implicit measure of the effective bid‐ask spread in an efficient market. Journal of Finance, 39(4), 1127-1139.Rudd, A. T. (1979). The revised Dow Jones industrial average: new wine in old bottles?. Financial Analysts Journal, 35(6), 57-63.Ryan, P. A., & Villupuram, S. V. (2023). Changes in the DJIA: market reactions and economic cycles. Review of Accounting and Finance, 22(2), 177-193.Varela, O., & Chandy, P. R. (1989). Market reaction to listings and delistings in the Dow Jones portfolios. International Journal of Finance, 2(1), 67-78. zh_TW
