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題名 過度反應或反應不足？台股之濾嘴法則實證研究
Overreaction or Underreaction? : Empirical Study on the Application of Filter Rule to Taiwan Stock Market
作者 嚴浩祖
貢獻者 郭炳伸
嚴浩祖
關鍵詞 成交量
價量關係
過度反應
volume
return
overreaction
日期 2012
上傳時間 10-Feb-2014 14:46:55 (UTC+8)
摘要 本論文以濾嘴法則應用在台灣股票市場，試圖揭露報酬率與成交量之間的關係。雖然在短期內可藉由過度反應獲取報酬，然而，報酬率與成交量的關係仍舊模糊不清，本篇引用的文獻並不足以解釋此研究的結果。另外，我們發現在近十年中，因流動性進行的交易，而非因資訊進行的交易，主導了台灣股票市場。
This thesis uses filter rule on Taiwan stock market to uncover the relationship between return and volume change. Although the profits for overreaction in a short time horizon exist, the pattern of the combination of return and volume change is unclear. No theory mentioned in the literature seems to be able to fully explain the results in this study. Yet, we find that the liquidity trading, rather than information trading, dominates Taiwan stock market in recent decade.
參考文獻 Blume, Lawrence; Easley, David; and O’Hara, Maureen, 1994, Market-Statistics and Technical Analysis: The Role of Volume, Journal of Finance, 49, 153-181.

Campbell, John Y.; Grossman, Sanford J.; and Wang, Jiang, 1993, Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics, 108, 905-939.

Chen, Yi-Yuan, 2006, A Study on Volume and Price Relationship in the Taiwan Stock Index- by the Method of Filter Rule, Unpublished Master Thesis, National Taipei University. (In Chinese)

Conrad, Jennifer S.; Hameed, Allaudeen; Niden, Cathy, 1994, Volume and Autocovariances in Short-Horizon Individual Security Returns, Journal of Finance, 49, 1305-1329

Cooper, Michael, 1999, Filter Rules Based on Price and Volume in Individual Security Overreaction, Review of Financial Studies, 12, 901-935.

Gervais, Simon; Kaniel, Ron; and Mingelgrin, Dan H., 2001, The High-Volume Return Premium, Journal of Finance, 56, 877-919.

Hsu, Shih-Shang, 2004, Market Efficiency of Taiwan Index Futures Market- Filter Rule Approach, Unpublished Master Thesis, National Chengchi University (In Chinese)

Kelley, Eric Kyle, 2004, Evidence to the Contrary: Extreme Weekly Returns are Underreactions, Unpublished Doctoral Dissertation, Texas A&M University

Lehmann, Bruce N., 1990, Fads, Martingales, and Market Efficiency, Quarterly Journal of Economics, 105, 1-28.

Mayshar, Joram, 1983, On Divergence of Opinion and Imperfections in Capital Markets, American Economic Review, 73, 114–128.

Miller, Edward M., 1977, Risk, Uncertainty, and Divergence of Opinion, Journal of Finance, 32, 1151–1168.

Wang, Jiang, 1994, A Model of Competitive Stock Trading Volume, Journal of Political Economy, 102, 127-168
描述 碩士
國立政治大學
國際經營與貿易研究所
100351028
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100351028
資料類型 thesis
dc.contributor.advisor 郭炳伸zh_TW
dc.contributor.author (Authors) 嚴浩祖zh_TW
dc.creator (作者) 嚴浩祖zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 10-Feb-2014 14:46:55 (UTC+8)-
dc.date.available 10-Feb-2014 14:46:55 (UTC+8)-
dc.date.issued (上傳時間) 10-Feb-2014 14:46:55 (UTC+8)-
dc.identifier (Other Identifiers) G0100351028en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/63640-
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) 100351028zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 本論文以濾嘴法則應用在台灣股票市場，試圖揭露報酬率與成交量之間的關係。雖然在短期內可藉由過度反應獲取報酬，然而，報酬率與成交量的關係仍舊模糊不清，本篇引用的文獻並不足以解釋此研究的結果。另外，我們發現在近十年中，因流動性進行的交易，而非因資訊進行的交易，主導了台灣股票市場。zh_TW
dc.description.abstract (摘要) This thesis uses filter rule on Taiwan stock market to uncover the relationship between return and volume change. Although the profits for overreaction in a short time horizon exist, the pattern of the combination of return and volume change is unclear. No theory mentioned in the literature seems to be able to fully explain the results in this study. Yet, we find that the liquidity trading, rather than information trading, dominates Taiwan stock market in recent decade.en_US
dc.description.tableofcontents CHAPTER I. INTRODUCTION 5
CHAPTER II. REVIEW OF RELATED THEORY 10
CHAPTER III. EMPIRICAL STRATEGY AND METHODOLOGY 13
CHAPTER IV. EMPIRICAL FINDINGS 17
IV.I　　DATA 17
IV.2　　ONE-WEEK FILTER 17
IV.3　　TWO-WEEK FILTER 20
IV.4　　TWO-DAY FILTER 24
IV.5　　TWO PERIODS OF TIME 28
IV.6　　DISCUSSION 29
CHAPTER V. CONCLUSIONS 32		zh_TW
dc.format.extent 8968403 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100351028en_US
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) 過度反應zh_TW
dc.subject (關鍵詞) volumeen_US
dc.subject (關鍵詞) returnen_US
dc.subject (關鍵詞) overreactionen_US
dc.title (題名) 過度反應或反應不足？台股之濾嘴法則實證研究zh_TW
dc.title (題名) Overreaction or Underreaction? : Empirical Study on the Application of Filter Rule to Taiwan Stock Marketen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Blume, Lawrence; Easley, David; and O’Hara, Maureen, 1994, Market-Statistics and Technical Analysis: The Role of Volume, Journal of Finance, 49, 153-181.

Campbell, John Y.; Grossman, Sanford J.; and Wang, Jiang, 1993, Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics, 108, 905-939.

Chen, Yi-Yuan, 2006, A Study on Volume and Price Relationship in the Taiwan Stock Index- by the Method of Filter Rule, Unpublished Master Thesis, National Taipei University. (In Chinese)

Conrad, Jennifer S.; Hameed, Allaudeen; Niden, Cathy, 1994, Volume and Autocovariances in Short-Horizon Individual Security Returns, Journal of Finance, 49, 1305-1329

Cooper, Michael, 1999, Filter Rules Based on Price and Volume in Individual Security Overreaction, Review of Financial Studies, 12, 901-935.

Gervais, Simon; Kaniel, Ron; and Mingelgrin, Dan H., 2001, The High-Volume Return Premium, Journal of Finance, 56, 877-919.

Hsu, Shih-Shang, 2004, Market Efficiency of Taiwan Index Futures Market- Filter Rule Approach, Unpublished Master Thesis, National Chengchi University (In Chinese)

Kelley, Eric Kyle, 2004, Evidence to the Contrary: Extreme Weekly Returns are Underreactions, Unpublished Doctoral Dissertation, Texas A&M University

Lehmann, Bruce N., 1990, Fads, Martingales, and Market Efficiency, Quarterly Journal of Economics, 105, 1-28.

Mayshar, Joram, 1983, On Divergence of Opinion and Imperfections in Capital Markets, American Economic Review, 73, 114–128.

Miller, Edward M., 1977, Risk, Uncertainty, and Divergence of Opinion, Journal of Finance, 32, 1151–1168.

Wang, Jiang, 1994, A Model of Competitive Stock Trading Volume, Journal of Political Economy, 102, 127-168		zh_TW