淡江大學機構典藏:Item 987654321/51577
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    题名: 產業別股票價量關係
    其它题名: Testing price-volume relationship of industrial stock in Taiwan
    作者: 葉雅玲;Yeh, Ya-ling
    贡献者: 淡江大學財務金融學系碩士在職專班
    聶建中;Nieh, Chien-chung
    关键词: 價量關係;縱橫平滑移轉迴歸模型;縱橫平滑移轉效果;非線性;Price-volume Relationship;panel smooth transition effect;panel smooth transition regression model;Non-linear
    日期: 2010
    上传时间: 2010-09-23 15:26:01 (UTC+8)
    摘要: 在市場技術分析上，有『量是價之先行指標』的說法，從中觀察量能結構的變化，能幫助投資人解讀漲跌背後的原因。根據過去的實證研究指出，價量關係可分為：1.價量齊揚2.價跌量縮3.價量背離，但過去學者對於產業別價格波動鮮少探討。因此本文以台灣五十成分股中電子以及金融類股為例，在股價、成交量與成交量週轉率為變數，來探討不同屬性產業之價量關係，亦觀察成交量波動與價格波動的漸進變化，以提供理性投資人在歷史實證資料的價量關係中，抓住個股之未來走勢。而本文所得到之實證結論如下：

    1.金融類股股價與成交量於週轉率達2.5374時產生結構性變化，當金融類股之個股成交量週轉率低迷時，價量關係呈現負相關；而當個股週轉率活絡時，市場將轉為價量齊揚。
    2.電子類股股價報酬率與成交量於週轉率達0.9748時產生結構性變化，當電子類股之個股成交量週轉率低迷時，價量關係呈現負相關，而當個股週轉率活絡時，市場將轉為價量齊揚。
    3.電子與金融類股，週轉率與報酬率間存在著非線性關係。
    4.電子與金融類股，當週轉率偏低時，週轉率與報酬率是呈現負相關；而當週轉率提高後，週轉率與報酬率則轉為正相關。
    In the technical method, we can see that the volume often goes before the stock price, and investors may understand why the stock price goes up and down by observing the changes in volume. According to the relevant empirical studies, the relation between the volume and the price can be three types：1. the volume and the price go up at the same time 2. the price goes down while the volume decreases 3. the volume departures from the price, but there were not many studies about the price volatility among industries. So here we take the electronic and the financial stock from the Taiwan 50 Index as examples, and use the stock price, volume and volume turnover rate as variables to discuss the relation between the volume and the price in different industries, also to observe the incremental changes between the volume and the price volatility so that can provide investors to predict the stock price from the historical empirical studies of the relation between the volume and the price. The main empirical finding as below：

    1.The financial stock price and the volume have structural changes when the turnover rate is 2.5374. When the financial stock volume is staying low, there is a negative correlation between the volume and the price；and when the turnover rate become adjustable, the volume and the price will go up at the same time in the stock market.
    2.The electronic stock price and the volume have structural changes when the turnover rate is 0.9748. When the electronic stock volume is staying low, there is a negative correlation between the volume and the price；and when the turnover rate become adjustable, the volume and the price will go up at the same time in the stock market.
    3.There is a non-linear relationship between the turnover rate and the return among the financial and the electronic stock.
    4.Among the financial and the electronic stock, when the turnover rate is low, it is negatively related to the return；and when the turnover rate raises, it becomes positively related to the return.
    显示于类别:[財務金融學系暨研究所] 學位論文

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