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Title: | 台股報酬率與週轉率之探討 A study on the relationship between turnover rate and return in Taiwan stock market |
Authors: | Chun-Chieh Yang 楊鈞傑 |
Advisor: | 黃志典(Jyh-Dean Hwang) |
Keyword: | 價量關係,週轉率,報酬率,反轉,超額報酬,貝他係數, The relationship between turnover rate and return,turnover rate,return,reversal,premium,risk, |
Publication Year : | 2009 |
Degree: | 碩士 |
Abstract: | 本文主要探討台灣股市報酬率與週轉率的關係,本文首先用1987至2003年進行資料的相關性分析,接著再以2004至2008年的資料建構投資組合,並與市場投資組合比較績效,研究結果顯示週轉率與報酬率在同期具有正相關,但週轉率與未來的報酬率則具有負相關。因此,高週轉率現象為投資人投資股市的晚期指標,個股或大盤週轉率高時並不是適當的投資時點,相反的,個股或大盤出現高週轉率之後往往伴隨股票報酬反轉的特性。 This paper studies the relationship between turnover rate and return in Taiwan stock market. First, we analyze the relationship using data from 1987 to 2003. Second, we further establish a portfolio based on high turnover rate using data from 2004 to 2008 and use the Jensen`s α to measure the performance of the portfolio. We find when the turnover rate of market is high, the stock return usually reverse in the following periods. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25915 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 國際企業學系 |
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ntu-98-1.pdf Restricted Access | 573.74 kB | Adobe PDF |
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