| dc.contributor.advisor | 胡聯國 | zh_TW |
| dc.contributor.author (Authors) | 謝文凱 | zh_TW |
| dc.contributor.author (Authors) | Hsieh,Wen Kai | en_US |
| dc.creator (作者) | 謝文凱 | zh_TW |
| dc.creator (作者) | Hsieh,Wen Kai | en_US |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 18-Sep-2009 19:58:22 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 19:58:22 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 19:58:22 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094351015 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36861 | - |
| 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) | 94351015 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 市場上通常存在著跌幅大過漲幅的現象，更強烈的說法是，市場會在一夕之間崩盤，但卻不會在一夕之間漲上天，這造成了報酬負偏態的現象，而Horn and Stein的理論模型認為市場存在著兩群堅持己見、對股價有不同看法的投資人，再加上這群投資人面對放空的限制，是造成報酬負偏態的主要因素，若投資人之間看法差異愈大，則負偏態現象愈明顯。Chen, Horn and Stein根據他們的理論模型，他們將成交量定義週轉率，提出利用股票的週轉率來預測負偏態的概念，而本研究利用他們所提出的實證模型，應用在台灣股市上，並與美國實證結果相對照，實證結果顯示：1. 在台灣，6個月期間週轉率愈高於平均的個股或大盤，下6個月報酬負偏態的情況會愈顯著，但其影響力和美國實證結果相對照小很多。2. 市值愈大的股票，其報酬正偏態的情況愈顯著，這與美國的實證結果是相反的。3. 依隨機泡沫模型理論，過去報酬率愈大的資產，愈有可能產生報酬負偏態的情況，而台灣的實證顯示，過去的報酬率無法有效的預測報酬負偏態，但美國的實證結果是成功的 | zh_TW |
| dc.description.abstract (摘要) | In stock market history, the very large movement are always decrease rather than increase. In other words, stock market tends to melt down, not melt up. This kind of return asymmetry causes the negative skewness of the stock return (either market portfolio or single stock). There are mainly three schools to explain mechanism behind the negative skewness of the return. They are leverage effect, assymmetry volatility, and stochastic bubble model. Chen, Horn and Stein states that stocks come through high turnover will later on go through the negative skewness of return. We use the empirical model proposed by Horn and Stein to inpsect if turnover can predict negative skewness of return in Taiwan stock market. we have three conclusions：1. Negative skewness is greater in stocks and market portfolio that have experienced an increase in turnover rate relative to trend over the prior six month. This effect is smaller than that in America.2. Negative skewness is greater in stocks that are larger in terms of market capitalization. This empirical evidence is contrary to those in America.3. In view of stochastic bubble model, stocks that have high positive returns in the past are more likely to experience greater negative skewness in return. Empirical evidence in Taiwan shows that stochastic bubble does not apply to Taiwan stocks market, that is, past return in stocks can not predict the negative skewness in return. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究動機 1第二節 研究目的 2第三節 研究架構與流程 3第二章 文獻探討 5第三章 理論模型 8第一節 成交機制、交易架構與市場參與者的設定 8第二節 理論背景 10第三節 理論推導介紹 12第四章 實證模型設定 20第一節 研究期間與樣本選取 20第二節 變數定義與模型建立 21第五章 實證結果分析 24第一節 基本敘述統計分析 24第二節 實證結果 27第六章 結論與建議 31第一節 研究結論 31第二節 後續研究建議和限制 32參考文獻 34附錄一：理論模型中證明推導 36附錄二：樣本公司列表 40表圖目錄表3-1 在不同情境下之均衡價格 16表4-1 變數定義表 23表5-1. 80%市值公司之敘述性統計量 24表5-2. 台灣加權指數之敘述性統計量 25表5-3. 當期變數相關係數表 25表5-4. 跨期相關係數表 26表5-4. 跨期相關係數表 26表5-5 對 迴歸 27表5-6 . 對 迴歸 27表5-8. 市場層級迴歸結果 30 | 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/#G0094351015 | en_US |
| dc.subject (關鍵詞) | 成交量 | zh_TW |
| dc.subject (關鍵詞) | 週轉率 | zh_TW |
| dc.subject (關鍵詞) | 報酬不對稱 | zh_TW |
| dc.subject (關鍵詞) | 報酬負偏態 | zh_TW |
| dc.subject (關鍵詞) | 放空限制 | zh_TW |
| dc.subject (關鍵詞) | negative skewness | en_US |
| dc.subject (關鍵詞) | short sale constraint | en_US |
| dc.subject (關鍵詞) | turnover | en_US |
| dc.title (題名) | 成交量是否可以預測報酬負偏態?─以Horn and Stein模型對臺灣上市公司實證為例 | zh_TW |
| dc.type (資料類型) | thesis | en |
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