| 摘要: | 根據Gervais et al. (2001)研究認為，成交量確實隱含一些訊息可供投資人參考，本研究以2005~2007年之台灣五十成分股為研究對象，在控制相關變數下，來分析這些成分股之成交量是否會受到財報變數、公司治理變數、市場機制變數所影響，並有以下重要發現：
本益比、資產週轉率與這些成分股之成交量、開收盤成交量呈正相關；顯示投資人仍偏好高本益比、資產管理能力較佳。亦為經營能力與市場價值投資人重要考量之依據。
在考量類股成交週轉率時，發現短期償債能力較差與信用交易頻繁之公司，投資人不偏好長期持有此類標的，偏好短期操作下，因而造成此類股票有較高的週轉率。
此外融劵使用率會對開收盤成交量影響並不相同，由於台灣股市屬於淺碟型市場，常有融券放空被軋空而無法回補，致使與收盤的成交量呈反向關係，然而開盤時，由於融券戶昨日承受無法的壓力，致使隔日開盤量成正向關的特殊現象。
According to Gervais et al.(2001), this research suggests that trading volumes imply some information, this research employ the data of underlying stocks of Taiwan 50 from 2005~2007. By concerning controlling variables, this study investigates whether financial statement variables, cooperation governance variables, and market mechanism parameter, will affect trading volume of underlying stocks of Taiwan, and several important findings are disclosed as follows:
P/E ratio and assets turnover rate are positive related to trading volume and opening and closing trading volumen of these underlying stocks of Taiwan 50. It reveals that investors prefer high P/E ratio and good asset management stocks, and it means that management ability and market value for these stocks are imporant concerns for investing stocks.
While considering turnover ratio of these stocks, we find that investors don’t prefer holding the stocks with low iquitidy ratio and high margin trading. Since the above concerns, investors trading these stocks quite frequintly, and no wonder have these stocks high turnover ratio.
In addition, the behavior of short-selling is different between opening trading volume and closing trading volume. Since the Taiwan stock markets are not big enough to be affected by financial institution. Therefore, financial institutions with market power might lift up the share price to 7%, the authority permit rising percent per day in Taiwan, so short-selling investors might not buy back their short-selling stocks before the markets is closed. Thus, the trading volume might not be difficult to expand under the above situation. However, the investors with short-selling suffer pressure yesterday might buy back their short-selling stocks, and then cause increasing opening trading volume, which might be a special phenomenon exists in Taiwan. |
