| dc.contributor.advisor | 林建秀 | zh_TW |
| dc.contributor.author (Authors) | 林大偉 | zh_TW |
| dc.creator (作者) | 林大偉 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 11-Oct-2011 16:50:45 (UTC+8) | - |
| dc.date.available | 11-Oct-2011 16:50:45 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Oct-2011 16:50:45 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097352021 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/51561 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 97352021 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 量價關係，一直以來皆為技術分析學派所廣泛運用，其主張運用過去的股價以及成交量來推測股票未來的走勢，而也有許多的研究以及投資策略皆是從量價關係所出。在國內，小型股也由於其股本小的特性，往往成為有心人士炒作之標的。此外，小型股亦較大型股具有不對稱資訊的性質，而由於成交量背後往往隱藏著許多的資訊，因此投資人利用量與價之間的關係，得到能夠有效預測小型股股價的方法以利其投資。而本文之研究，將量價關係運用在小型股上，想檢視彼此間有無任何關係存在。本文中我們使用了因果關係檢定，三因子模型，以及縱橫迴歸模型，用來分別檢視小型股與大型股的量價關係。驗證結果發現，在不同的檢驗方式下，都會得到小型股較大型股，有顯著量價影響的關係存在。 | zh_TW |
| dc.description.abstract (摘要) | The relation between volume and price is widely used in technical analysis. It predicts future stock price by using past stock price and volume. There are lots of investigations and investment strategies are stemmed from it. In Taiwan, small caps are preferred to be held by the people who would like to manipulate the price because of their small number of capitalization. In addition, compared with large caps, small caps are of asymmetric information to the investors. As there is lot of information hidden behind volume, investors are likely to use the relation between volume and price to get a useful way to predict small caps’ stock price. In this paper, I use granger causality test, three-factor model, and panel data model to test the relation between price/return and volume of small caps and big caps separately. The experiment shows that use different ways, we can verify there exist more obvious relations between volume and price in small caps than in large caps. | en_US |
| dc.description.tableofcontents | 誌謝 2摘要 5第一章 緒論第一節 研究背景與動機 7第二節 研究目的與研究對象 10第三節 論文架構與研究流程 11第二章 文獻回顧第一節 量價關係之介紹與相關文獻 13第二節 公司規模之介紹與相關文獻 22第三節 小結 30第三章 研究方法第一節 敘述統計及使用資料說明 31第二節 單根檢定 32第三節 Granger因果關係檢定 33第四節 三因子模型 36第五節 縱橫資料迴歸 ( panel data ) 39第四章 實證分析第一節 敘述統計 42第二節 單根檢定 44第三節 Granger因果關係檢定 45第四節 三因子模型 46第五節 縱橫資料迴歸( panel data ) 51第六節 小結 57第五章 結論與建議第一節 結論 59第二節 建議 61附錄一 大型股公司代號、資本額及產業別 62附錄二 小型股公司代號、資本額及產業別 67參考文獻 72圖表次表2-1. 量價關係國外文獻相關整理 18表2-2. 量價關係國內文獻相關整理 20表2-3. 不同成交量下所對應不同價格之情形 21表2-4. 文獻所對應之量價關係 21表2-5. 國內中小型概念基金 24表2-6. 規模效果國外文獻相關整理 28表2-7. 規模效果國內文獻相關整理 29表2-8. 文獻結果有無規模效果 29表4-1. 大型股與小型股指數比較 42表4-2. 大型股與小型股成交值比較 42表4-3. 大型股與小型股報酬率是否有顯著差異之檢定 42表4-4. 大型股與小型股周轉37率比較 43表4-5. 大小型股指數的ADF檢定之結果 44表4-6. Granger因果關係檢定結果 45表4-7. 模型一檢測結果 46表4-8. 模型二檢測結果 47表4-9. 模型三檢測結果 49表4-10. 大型股在panel data下驗證結果 52表4-11. 小型股在panel data下驗證結果 53表4-12. 大型股在panel data下周轉率驗證結果係數相加結果 54表4-13. 小型股在panel data下周轉率驗證結果係數相加結果 54 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097352021 | en_US |
| dc.subject (關鍵詞) | 量價關係 | zh_TW |
| dc.subject (關鍵詞) | 技術分析 | zh_TW |
| dc.subject (關鍵詞) | 小型股 | zh_TW |
| dc.subject (關鍵詞) | 因果關係 | zh_TW |
| dc.subject (關鍵詞) | 三因子模型 | zh_TW |
| dc.subject (關鍵詞) | 縱橫迴歸模型 | zh_TW |
| dc.subject (關鍵詞) | relation between volume and price | en_US |
| dc.subject (關鍵詞) | technical analysis | en_US |
| dc.subject (關鍵詞) | small caps | en_US |
| dc.subject (關鍵詞) | granger causlity test | en_US |
| dc.subject (關鍵詞) | three-factor model | en_US |
| dc.subject (關鍵詞) | panel data model | en_US |
| dc.title (題名) | 台灣市場小型股與成交量之實證關係 | zh_TW |
| dc.title (題名) | An empirical study of relations between small cap stock and volume in taiwanese stock market | en_US |
| dc.type (資料類型) | thesis | en |
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