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標題: | 台灣興櫃股票市場交易集中度與異常報酬率之關係 The Relation between Trading Concentration and Abnormal Return in Taiwan Emerging Stock Market |
作者: | Ming-Tai Chen 陳明汰 |
指導教授: | 邱顯比 |
關鍵字: | 買賣日報表,交易集中度,累計異常報酬率,主力,台灣興櫃股票市場, buy and sell trading record,trading concentration,CAR,major investor,Taiwan Emerging Stock Market, |
出版年 : | 2014 |
學位: | 碩士 |
摘要: | 台灣股票上市、上櫃及興櫃股票合計超過1700檔,對投資人來說,選股通常耗時且耗神,本研究欲藉由分析券商分點買賣資料建立一股票篩選機制,增加選股之效率。
本研究以台灣興櫃市場股票為研究主體,以2007年1月1日到2014年2月21日的證券商買賣日報表及每日股價檢驗交易集中度與異常報酬率的關聯性,以各種方法定義交易集中度,並探討藉由觀察每日交易集中度是否能獲得優於大盤之報酬率。而實證結果顯示藉由觀察賣超方相對於買超方的交易集中程度(淨賣方相對集中度)可獲得高額之異常報酬,在觀察到高淨賣方相對集中度後隔一交易日買進並持有5天平均約可獲得2.64%的超額報酬,推測其原因可能為主力交易者之流動性交易使股價大幅下跌,而此下跌並非反應股票之基本面因素,因此在事件日後股價逐漸反彈,形成正異常報酬率;反觀買超方相對於賣超方之交易集中度(淨買方相對集中度),在觀察到該集中度高後隔天買入並持有一天可獲得0.25%的異常報酬率,推測其原因可能為主力擁有偏多私有資訊,跟隨其買入可獲得正異常報酬率。 There are more than 1700 stocks in Taiwan stock market. Stock picking is usually time-consuming and exhausting. This paper aims to build a systematic screening method to make stock picking easier. This paper uses the data of Taiwan Emerging Stock Market from January 1, 2007 to February 21, 2014 to examine the relation between trading concentration and abnormal return. The empirical result shows that the concentration of net sellers relative to net buyers, which we called net seller relative trading concentration, could help investors gain excess return. When net seller relative trading concentration is higher than certain value, we could earn 2.64% excess return on average if we buy and hold the stock for 5 days. We infer that the reason behind might be liquidity shocks which happen to major investors. Liquidity trading makes stock price fall, but the stock’s fundamentals are unchanged. Therefore stock price start to rebound in the following trading days. Besides, when net buyer relative trading concentration is higher than certain value, we could earn 0.25% excess return on average if we buy and hold the stock for 1 day. This implies the major investor may have private information, and we could make profit by follow major investor’s buy-in. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16727 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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ntu-103-1.pdf 目前未授權公開取用 | 1.39 MB | Adobe PDF |
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