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題名 股市價量關係的分量迴歸分析
A Quantile Regression Analysis of Return-Volume Relations in the Stock Markets
作者 莊家彰
Chuang, Chia-Chang
貢獻者 管中閔<br>謝淑貞
Kuan, Chung-Ming<br>Shieh, Shwu-Jane
莊家彰
Chuang, Chia-Chang
關鍵詞 V字關係
分量迴歸
成交值
成交量
價量關係
亞洲金融風暴
均數上的 Granger 因果關係
分量上的 Granger 因果關係
V-shaped pattern
quantile regression
dollar volume
share volume
return-volume relation
Asia Financial Crisis
Granger causality in mean
Granger causality in quantiles
日期 2005
上傳時間 18-九月-2009 14:14:59 (UTC+8)
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。
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.
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
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。
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第二章 股市價量關係的分量迴歸分析 (二)
參考文獻
莊家彰與管中閔 (2005),“台灣與美國股市價量關係的分量迴歸分析,”經濟論文，33，379-404.
Reference
Blume, L., D. Easley, and M. O’Hara (1994).“Market Statistics and Technical Analysis: The Role of Volume,” Journal of Finance, 49, 153-182.
Campbell, J. Y., and S. J. Grossman, and J. Wang (1993). “Trading Volume And Serial-Correlation in Stock Returns,” Quarterly Journal of Economics, 108 (4), 905-939.
Chordia, T. and B. Swaminathan (2000). “Trading Volume and Cross-Autocorrelations in Stock Returns,” Journal of Finance, 55, 913-935.
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Epps, T.W. (1975). “Security Price Changes and Transaction Volumes: Theory and Evidence,” The American Economic Review, 65, 586-597.
Gallant, A. R., P. E. Rossi, and G. Tauchen (1992).“Stock Prices and Volume,” Review of Financial Studies, 5, 199-242.
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第三章 股市價量因果關係的分量迴歸分析
參考文獻
莊家彰與管中閔 (2005), “台灣與美國股市價量關係的分量迴歸分析,”經濟論文，33，379-404.
Reference
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.
Assogbavi, T., N. Khoury and P. Yourougou (1995). “Short Interest and the Asymmetry of the Price-Volume Relationship in the Canadian Stock-Market,” Journal of Banking & Finance, 19, 1341-1358.
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Hiemstra, C., and J. D. Jones (1994). “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation,” Journal of Finance, 49, 1639-1664.
Jennings, R. H., L. T. Starks, and J. C. Fellingham (1981). “An Equilibrium Model of Asset Trading with Sequential Information Arrival,” Journal of Finance, 36, 143-161.
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描述 博士
國立政治大學
國際經營與貿易研究所
87351503
94
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0873515031
資料類型 thesis
dc.contributor.advisor 管中閔<br>謝淑貞zh_TW
dc.contributor.advisor Kuan, Chung-Ming<br>Shieh, Shwu-Janeen_US
dc.contributor.author (作者) 莊家彰zh_TW
dc.contributor.author (作者) Chuang, Chia-Changen_US
dc.creator (作者) 莊家彰zh_TW
dc.creator (作者) Chuang, Chia-Changen_US
dc.date (日期) 2005en_US
dc.date.accessioned 18-九月-2009 14:14:59 (UTC+8)-
dc.date.available 18-九月-2009 14:14:59 (UTC+8)-
dc.date.issued (上傳時間) 18-九月-2009 14:14:59 (UTC+8)-
dc.identifier (其他 識別碼) G0873515031en_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) 87351503zh_TW
dc.description (描述) 94zh_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………………………………………………………………………………………..32
1. 前言…………………………………………………………………………………….33
2. 實證模型、實證方法與資料描述…………………………………………………….35
3. 實證結果……………………………………………………………………………….36
4. 結論…………………………………………………………………………………….39
參考文獻…………………………………………………………………………………..39
Reference…………………………………………………………………………………..39
第三章 股市價量因果關係的分量迴歸分析…………...……………………………………65
摘要………………………………………………………………………………………..65
1. 前言…………………………………………………………………………………….66
2. 研究方法……………………………………………………………………………….69
2.1 Granger因果關係的定義與檢定方法………………………………………….69
2.2 以分量迴歸檢驗 Granger 因果關係……………………………………….71
3. 實證資料與基本統計量………………………………………………………………72
4. 實證分析……………………………………………………………………………….73
5. 結論…………………………………………………………………………………….76
參考文獻…………………………………………………………………………………..77
Reference…………………………………………………………………………………..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/#G0873515031en_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 patternen_US
dc.subject (關鍵詞) quantile regressionen_US
dc.subject (關鍵詞) dollar volumeen_US
dc.subject (關鍵詞) share volumeen_US
dc.subject (關鍵詞) return-volume relationen_US
dc.subject (關鍵詞) Asia Financial Crisisen_US
dc.subject (關鍵詞) Granger causality in meanen_US
dc.subject (關鍵詞) Granger causality in quantilesen_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 Marketsen_US
dc.type (資料類型) thesisen
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
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