| dc.contributor.advisor | 謝淑貞 | zh_TW |
| dc.contributor.author (作者) | 李苓碩 | zh_TW |
| dc.creator (作者) | 李苓碩 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 11-九月-2009 17:07:46 (UTC+8) | - |
| dc.date.available | 11-九月-2009 17:07:46 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-九月-2009 17:07:46 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0094351025 | en_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) | 94351025 | zh_TW |
| dc.description (描述) | 95 | zh_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/#G0094351025 | en_US |
| dc.subject (關鍵詞) | 價量關係 | zh_TW |
| dc.subject (關鍵詞) | Volume-Return | en_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) | thesis | en |
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