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    Title: 與成交量有關之市場微結構變數對股價報酬的分析與探討
    Other Titles: Investigate and analyze the effect of the microstructure variables related to trading volume for stock returns
    Authors: 陳柏文;Chen, Po-Wen
    Contributors: 淡江大學管理科學研究所碩士班
    倪衍森;Ni, Yen-sen
    Keywords: 市場微結構;成份股;日內資料;Microstruture;Constituent stock;Intraday data
    Date: 2011
    Issue Date: 2011-12-28 18:17:29 (UTC+8)
    Abstract: 本研究以市場微結構的觀點來探討台灣50成份股的價量關係。在採用計量模型對2005年至2009的日內資料進行分析後,獲致一些相當令人印象深刻的研究發現。在本研究實證結果中,發現開盤量與股價報酬呈負向關係,此表示開盤暴量並不有利於股價的推升,然而若當日股價漲幅達半個漲停板以上時,則開盤量增,反而與上述實證結果有所不同,亦為反而有利於股價的推升。而外資買超對台股有推升之效,此並不出人意表,但若採用外資介入比率為研究變數,且此變數在相關研究上幾乎付之闕如,本研究卻發現若外資當日買入加賣出的金額占成交量的比重越高時,則不論當日外資是否為買超,其對股價亦有顯著且正向的影響。
    This study investigates the microstructure relationship related to price and volume for constituent stocks of Taiwan 50. By employing econometric approaches for intraday data from 2005 to 2009, this study explores several impressive findings. The studied result discloses that opening trading volume would negatively affect stock returns. It means that burst trading volume happened in the opening trading period is not a good signal for buying stocks. However, if the stock price rises up over 3.5%, the result, on the country, show a good signal for buying shares. The higher net buy from foreign institution would lift up share prices well-known by previous studies. Nevertheless, higher participation of foreign investment institution, namely, the higher the percentage of trading volume including total buying and selling volume without taking net buy or net sell into account, would positively affect stock returns, which is seldom employed and disclosed by relevant studies.
    Appears in Collections:[管理科學學系暨研究所] 學位論文

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