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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/33161

    Title: 股市資訊連續傳遞之資訊內涵研究 : 以臺灣50成份股為例
    Other Titles: The information content of continuous transmisission information for the underlying stocks of Taiwan 50
    Authors: 洪茂安;Hung, Mao-an
    Contributors: 淡江大學管理科學研究所碩士班
    倪衍森;Ni, Yen-sen
    Keywords: 買賣超;成交量;融資劵;BlockTrading;Volumes;Margin buy and Short sell
    Date: 2007
    Issue Date: 2010-01-11 03:41:12 (UTC+8)
    Abstract: 在股票市場中,「價先行量」與「量先行價」的議題,一直廣為實務界與學術界探討。股票價格的上漲或下跌,會受到成交量增加或減少所影響,而成交量來自於機構投資人與散戶的買賣行為。機構投資人買超或賣超與融資或融劵可視為全體法人與散戶投資行為的指標。本研究針對上述資訊連續發生,採用事件研究法(event study)與台灣50成份股作樣本探討之。研究結果如下:
    This study uses a sample of underlying stocks of Taiwan 50 ETFs over the period 2003-2005. The main purposes are to explore the relationship between market variables (Include of Institutional trade, Volumes, Margin buy and Short selling. ) and stock price. The statistical method is used Event study. The following conclusions are obtained in this study:

    1.There are information spillover in all events in this study and someone buy and sell before all event.

    2. To influence of Institutional trade, Institutional investors continuously buy three days, stock price is up and sell three days, stock price is down.

    3. To influence of Volumes, Volumes is continuously increasing three days, stock price is up and decreasing three days, stock price is down.

    4. To influence of Credit trade, Margin buying is continuously increasing and Short selling decreasing three days, stock price is down, Margin buying is continuously decreasing and Short selling increasing three days, stock price is up.

    5. To influence of Investment value, there are only two events(Investment Trust institution sell three days and Short selling is decreasing three days) with profit.
    Appears in Collections:[管理科學學系暨研究所] 學位論文

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