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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/73939

    Title: 不同成交量下股票報酬之非線性探討
    Other Titles: Stock return in nonlinear model with variation of volume
    Authors: 賴慧真;Lai, Huei-Jen
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 股票報酬;成交量;縱橫平滑移轉迴歸模型;非線性;stock return;volume;Panel Smoothing Transition Regression Model;Nonlinear
    Date: 2011
    Issue Date: 2011-12-28 17:35:28 (UTC+8)
    Abstract: 本研究選取能夠研判投資人心目中的熱門股與冷門股與代表流動性的「成交量」做為移轉變數,並透過Gonza''lez, Teräsvirta, and Van Dijk (2005)所提出的縱橫平滑移轉模型,探討在不同成交量下,各影響因子對股票報酬的非線性影響力。
    According to liquidity premium theory, high volume presents low liquidity risk so investors will expect less return. Nevertheless a part of investors think high volume stocks would bring high return, hence they pursue glamour stocks. Under heterogeneous believe of investors, this study takes volume as transition variable and puts it into panel smoothing transition regression model which is built up by Gonza''lez, Teräsvirta, and Van Dijk (2005) to figure out stock return in nonlinear model with variation of volume.
    The result shows that the stock return of financial market in Taiwan exists nonlinear phenomenon. Baseing on the result, we can obtain two thresholds (0.01108 billion and 1.604 billon) which can divide the data into low, middle and high volume sectors and the transition speed of each sectors are 2.5774 and 0.0002. In middle volume sector, volatility index (VIX), book to market ratio (B/M) and growth rate of revenue (G(S)) exists positive and significant effect to stock return. This result reveals that investors can observe VIX and buy high B/M and G(S) stocks to gain return. In low volume sector, VIX still exists positive and significant effect so investors can also observe VIX as an investment indictor. Besides, less attention on cabinet stocks might make stock price undervalue, hence past 12-month return (PR12) reveals positive effect to currency stock return. Thus investors can use momentum strategy in this sector. In high volume sector, too much attention might make stock price overvalue and lead G(S) and PR12 to negative and significant effect to stock return. Therefore, when people are crazy about buying glamour stocks, investors should regard G(S) and PR12 as inverse indictors.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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