| dc.contributor.advisor | 管中閔<br>謝淑貞 | zh_TW |
| dc.contributor.advisor | Kuan, Chung-Ming<br>Shieh, Shwu-Jane | en_US |
| dc.contributor.author (Authors) | 莊家彰 | zh_TW |
| dc.contributor.author (Authors) | Chuang, Chia-Chang | en_US |
| dc.creator (作者) | 莊家彰 | zh_TW |
| dc.creator (作者) | Chuang, Chia-Chang | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 18-Sep-2009 14:14:59 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 14:14:59 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 14:14:59 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0873515031 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35136 | - |
| dc.description (描述) | 博士 | 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) | 87351503 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 第一章 台灣與美國股市價量關係的分量迴歸分析摘要本文利用分量迴歸來觀察台灣和美國股市報酬率和成交量的價量關係。實證結果發現兩地股市的價量關係截然不同。台灣股市的報酬率與成交量之間具有正向關係，呈現「價量齊揚」和「價跌量縮」的現象，而前者效果通常較顯著；但報酬率接近最大漲幅限制時，報酬率與成交量之間並無顯著關係，報酬率接近最大跌幅限制時，「價跌量縮」的現象甚至更強。相對於台灣，美國股市的報酬率與成交量則出現「價量齊揚」與「價量背離」互相對稱的 “V” 字關係。就實證方法而言，傳統以 OLS 方法估計的迴歸模型並無法得到上述的實證結果。進一步的分析顯示，融券成數的高低以及平盤以下不得放空等規定都是造成台灣股市出現「價跌量縮」的可能原因。第二章 股市價量關係的分量迴歸分析 (二)摘要本章利用分量迴歸觀察包括台灣在內的亞洲新興工業國家與成熟股市的價量關係。實證結果顯示，亞洲新興工業國家和日本股市「價量齊揚」的效果較強，其中香港、南韓和新加坡呈現較弱的「價量背離」現象，因此價量之間有不對稱的 “V” 字關係；而日本股市則呈現「價跌量縮」，與第一章分析的台灣股市價量關係相似。在成熟股市的價量關係中，英國金融時報指數、美國道瓊工業指數和德國股價指數皆呈現對稱的 “V” 字關係，與美國US指數的價量關係相似。亞洲地區的國家在1997下半年到1998上半年普遍經歷了一場金融風暴，本文進一步的分析發現在這場風暴期間，亞洲地區除了台灣以外，日本、香港、南韓與新加坡都出現較強的「價量齊揚」與「價量背離」，這種現象可能肇因於投資人認為風暴期間的股價報酬率風險較高，遂使得股價報酬率對成交量的反應較為敏銳。相對而言，歐美地區的國家，受到亞洲金融風暴的影響較小，所以整體的價量關係在亞洲金融風暴期間並無重大改變。本章的結果都是透過分量迴歸所獲得。第三章 股市價量因果關係的分量迴歸分析摘要本文依據分量迴歸設計 Granger 因果關係的新檢驗方法，並依此方法來檢驗幾個股市價量之間的因果關係。本文分析的股市包括日本、英國與美國等世界前三大股市，以及合稱亞洲四小龍的台灣、香港、南韓與新加坡等新興工業國家或地區的股市。實證結果顯示：除了台灣股市以外，其他的股市皆呈現 “V” 字的跨期價量關係。其中英國、美國、香港和新加坡股市的跨期價量關係大體呈現正向「價量齊揚」與負向「價量背離」互相對稱的 “V” 字關係，而日本和南韓股市則是「價量齊揚」較強的不對稱 “V” 字關係。此一結果表示這些股市的價量之間都存在分配上的 Granger (1969) 因果關係。但若以均數迴歸來衡量跨期價量關係，則所有股市都呈現不顯著的跨期價量關係，也就是傳統文獻上所謂價量之間沒有 Granger 因果關係。本文所提出的 Granger 因果關係之分量迴歸分析，可以觀察到整個條件分配中各分量的因果關係，為分配上的 Granger 因果關係提供一個較完整的檢驗方法。 | zh_TW |
| dc.description.abstract (摘要) | We examine the relationship between the stock return and trading volume in the Taiwan and U.S. Stock Exchanges using quantile regression. The empirical results show that the return-volume relations in these two exchanges are quite different. For Taiwan data, there are significant positive return-volume relations across quantiles, showing that a large positive return is usually accompanied with a large trading volume and a large negative return with a small trading volume, yet the effect of former is stronger. However, such relations change when returns approach the price limits. We also find that for U.S. data, return-volume relations exhibit symmetric V-shapes across quantiles, showing that a large return (in either sign) is usually accompanied with a large trading volume. On the other hand, linear regressions estimated by the ordinary least square method are unable to reveal such patterns. Further investigation shows that various restrictions on short sales in the Taiwan Stock Exchange may explain the difference between the return-volume relations in Taiwan and U.S. data. | en_US |
| dc.description.tableofcontents | 第一章 台灣與美國股市價量關係的分量迴歸分析…………………………………………..1 摘要………………………………………….………………………………………………1 1. 前言………………………………………………………………………………………2 2. 分量迴歸…………………………………………………………………………………5 3. 實證資料與基本統計量…………………………………………………………………7 4. 實證分析………………………………………………………………………………..8 5. 結論……………………………………………………………………………………..11 參考文獻…………………………………………………………………………………...12 References………………………………………………………………………………….12第二章 股市價量關係的分量迴歸分析 (二)…………………………………………………32摘要………………………………………………………………………………………..321. 前言…………………………………………………………………………………….332. 實證模型、實證方法與資料描述…………………………………………………….353. 實證結果……………………………………………………………………………….364. 結論…………………………………………………………………………………….39參考文獻…………………………………………………………………………………..39Reference…………………………………………………………………………………..39第三章 股市價量因果關係的分量迴歸分析…………...……………………………………65摘要………………………………………………………………………………………..651. 前言…………………………………………………………………………………….662. 研究方法……………………………………………………………………………….692.1 Granger因果關係的定義與檢定方法………………………………………….692.2 以分量迴歸檢驗 Granger 因果關係……………………………………….713. 實證資料與基本統計量………………………………………………………………724. 實證分析……………………………………………………………………………….735. 結論…………………………………………………………………………………….76參考文獻…………………………………………………………………………………..77Reference…………………………………………………………………………………..77第一章 表格目次表 1：各股市樣本基本統計量及Phillips-Perron單根檢定……….……….………………..15表 2.1：TW 指數報酬率和成交量關係的估計結果………….………….………………….16表 2.2：TW 指數報酬率和成交量關係的估計結果 (扣除3.5﹪跌幅限制)………….….17表 3.1：TW 指數報酬率和成交值關係的估計結果………….………….………………….18表 3.2：TW 指數報酬率和成交值關係的估計結果 (扣除3.5﹪跌幅限制)……….…….19表 4：US指數報酬率和成交量關係的估計結果……………….……….…………………..20表 5：US指數報酬率和成交值關係的估計結果……………….……….…………………..21表 6：TW 指數融券成數不同之下的分量迴歸估計結果………….…….…………………22表 7：TW 指數以平盤以下不得放空的實施日期為分界點將樣本分成兩段的估計結果..23第二章 表格目次表 1：各股市樣本基本統計量及Phillips-Perron單根檢定…………..…………………….41表 2：DAX報酬率和成交量關係的估計結果………………………..……………………..42表 3：DJ報酬率和成交量關係的估計結果…………………………..……………………..43表 4：FTSE報酬率和成交量關係的估計結果………………………..…………………….44表 5：TOPIX報酬率和成交量關係的估計結果………………………..…………………...45表 6：TW 指數報酬率和成交量關係的估計結果……………………..……………………46表 7：HK 指數報酬率和成交量關係的估計結果……………………..……………………47表 8：KO 指數報酬率和成交量關係的估計結果……………………..……………………48表 9：SG 指數報酬率和成交量關係的估計結果………………………..…………………49表 10：各股市在亞洲金融風暴時期的標準差…………………..………………………….50表 11：成熟股市的價量關係在亞洲金融風暴期間的差異……………..………………….51表 12：亞洲新興工業國家股市的價量關係在亞洲金融風暴期間的差異……..………….52第三章 表格目次表 1：各股市樣本基本統計量及 Phillips-Perron 單根檢定………………..………………80表 2：各股市價量關係的分量對稱性檢定………………………………………..…………81表 3：各股市價量關係的分量對稱性檢定…………………………………………………..82表 4：各指數的分配 Granger 因果關係的檢定結果……………………………………….83第一章 圖形目次圖 1：條件分配中不同分量的行為…………………………………………………………..24圖 2：TW 指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間…………………….25圖 3：TW 指數報酬率和成交值迴歸的斜率估計值95﹪的信賴區間…………………….25圖 4：US指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間………………………26圖 5：US指數報酬率和成交值迴歸的斜率估計值95﹪的信賴區間………………………26圖 6：S&P500指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間…………………27圖 7：NYSE指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間……………………27圖 8.1：TW 指數報酬率-成交量迴歸配適圖…………………………………………………28圖 8.2：TW 指數報酬率-成交量迴歸配適圖 (扣除3.5﹪跌幅限制)………..………………28圖 9.1：TW 指數報酬率-成交值迴歸配適圖…………………………………………………29圖 9.2：TW 指數報酬率和成交值關係的配適圖 (扣除3.5﹪跌幅限制)………………….…..29圖 10：US指數報酬率-成交量迴歸配適圖…………………………………………………...30圖 11：US指數報酬率-成交值迴歸配適圖……………………………………………………30圖 12：S&P500指數報酬率-成交量迴歸配適圖………………………………………………31圖 13：NYSE指數報酬率-成交量迴歸配適圖………………………………………………..31第二章 圖形目次圖 1：DAX指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間……………………53圖 2：DJ指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間………………………53圖 3：FTSE指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間……………………54圖 4：TOPIX指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間…………………..54圖 5：TW 指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間……………………..55圖 6：HK 指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間……………………..55圖 7：KO 指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間……………………..56圖 8：SG 指數報酬率和成交量迴歸的斜率估計值95﹪的信賴區間……………………..56圖 9：DAX指數報酬率-成交量迴歸配適圖…………………………………………………57圖 10：DJ指數報酬率-成交量迴歸配適圖………………………………………………….57圖 11：FTSE指數報酬率-成交量迴歸配適圖………………………………………………58圖 12：TOPIX指數報酬率-成交量迴歸配適圖……………………………………………..58圖 13：TW 指數報酬率-成交量迴歸配適圖………………………………………………..59圖 14：HK 指數報酬率-成交量迴歸配適圖………………………………………………..59圖 15：KO 指數報酬率-成交量迴歸配適圖………………………………………………..60圖 16：SG 指數報酬率-成交量迴歸配適圖………………………………………………..60圖 17：DJ指數在亞洲金融風暴時期的價量關係………………………………………….61圖 18：FTSE指數在亞洲金融風暴時期的價量關係………………………………………61圖 19：TOPIX指數在亞洲金融風暴時期的價量關係……………………………………..62圖 20：TW 指數在亞洲金融風暴時期的價量關係………………………………………..62圖 21：HK 指數在亞洲金融風暴時期的價量關係………………………………………...63圖 22：KO 指數在亞洲金融風暴時期的價量關係…………………………………………63圖 23：SG 指數在亞洲金融風暴時期的價量關係…………………………………………64第三章 圖形目次圖 1：顯著的分配Granger因果關係和不顯著的均數Granger因果關係………………...84圖 2：顯著的分配和均數Granger因果關係………………………………………………..84圖 3：不顯著的分配和均數Granger因果關係……………………………………………85圖 4：顯著的分配和均數Granger因果關係………………………………………………85圖 5：落後 1 和 6 期的 DJ 指數跨期價量關係………………………………………...86圖 6：落後 1 和 6 期的 NYSE 指數跨期價量關係…………………………………….86圖 7：落後 1 和 6 期的 S&P 指數跨期價量關係………………………………………87圖 8：落後 1 和 6 期的 FTSE 指數跨期價量關係……………………………………..87圖 9：落後 1 和 6 期的 TOPIX 指數跨期價量關係…………………………………....88圖 10：落後 1 和 6 期的 TW 指數跨期價量關係……………………………………...88圖 11：落後 1 和 6 期的 HK 指數跨期價量關係............................................................89圖 12：落後 1 和 6 期的 KO 指數跨期價量關係………………………………………89圖 13：落後 1 和 6 期的 SG 指數跨期價量關係……………………………………….90圖 14：DJ 指數的同期與跨期價量關係……………………………………………………90圖 15：NYSE 指數的同期與跨期價量關係………………………………………………..91圖 16：S&P 指數的同期與跨期價量關係 ………………………………………………….91圖 17：FTSE 指數的同期與跨期價量關係…………………………………………………92圖 18：TOPIX 指數的同期與跨期價量關係………………………………………………..92圖 19：TW 指數的同期與跨期價量關係…………………………………………………...93圖 20：HK 指數的同期與跨期價量關係……………………………………………………93圖 21：KO 指數的同期與跨期價量關係……………………………………………………94圖 22：SG 指數的同期與跨期價量關係…………………………………………………….94圖 23：以立體圖呈現 DJ 指數的跨期價量關係……………………………………………95圖 24：以立體圖呈現 KO 指數的跨期價量關係…………………………………………..95圖 25：以立體圖呈現 TW 指數的跨期價量關係…………………………………………..96 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0873515031 | en_US |
| dc.subject (關鍵詞) | V字關係 | zh_TW |
| dc.subject (關鍵詞) | 分量迴歸 | zh_TW |
| dc.subject (關鍵詞) | 成交值 | zh_TW |
| dc.subject (關鍵詞) | 成交量 | zh_TW |
| dc.subject (關鍵詞) | 價量關係 | zh_TW |
| dc.subject (關鍵詞) | 亞洲金融風暴 | zh_TW |
| dc.subject (關鍵詞) | 均數上的 Granger 因果關係 | zh_TW |
| dc.subject (關鍵詞) | 分量上的 Granger 因果關係 | zh_TW |
| dc.subject (關鍵詞) | V-shaped pattern | en_US |
| dc.subject (關鍵詞) | quantile regression | en_US |
| dc.subject (關鍵詞) | dollar volume | en_US |
| dc.subject (關鍵詞) | share volume | en_US |
| dc.subject (關鍵詞) | return-volume relation | en_US |
| dc.subject (關鍵詞) | Asia Financial Crisis | en_US |
| dc.subject (關鍵詞) | Granger causality in mean | en_US |
| dc.subject (關鍵詞) | Granger causality in quantiles | en_US |
| dc.title (題名) | 股市價量關係的分量迴歸分析 | zh_TW |
| dc.title (題名) | A Quantile Regression Analysis of Return-Volume Relations in the Stock Markets | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 第一章 台灣與美國股市價量關係的分量迴歸分析 | zh_TW |
| dc.relation.reference (參考文獻) | 參考文獻 | zh_TW |
| dc.relation.reference (參考文獻) | 郭迺峰、陳美琇 (2003)：“貨幣供給成長率、黃金交叉期間與股市報酬率之關係－分量迴歸法 (Quantile Regression) 之應用”貨幣觀測與信用評等，92.09。 | zh_TW |
| dc.relation.reference (參考文獻) | References | zh_TW |
| dc.relation.reference (參考文獻) | Ackert L.F., and G. Athanassakos (2005). “The Relationship between Short Interest and Stock Returns in the Canadian Market,” Journal of Banking & Finance, 29, 1729-1749. | zh_TW |
| dc.relation.reference (參考文獻) | Ahmed, Anwer S., R. A. Schneible JR, and D. E. Stevens (2003) “An Empirical Analysis of the Effects of Online Trading on Stock Price and Trading Volume Reaction to Earnings Announcements,” Contemporary Accounting Research 20, 413-439. | zh_TW |
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