台灣股票籌碼集中度指標與股價之間的動態關係研究-以週轉率和公司特徵觀點探討

Abstract

本論文在探討台灣股票市場操作在投資界普遍所參考的指標之一為籌碼集中度分析，藉由數量累積散佈擺盪 (volume accumulation�distribution oscillator, VADO) 指標來衡量股票籌碼集中度，同時以市場上的高/週轉率、大/小公司規模和高/低股價淨值比 (成長型/價值型) 公司之特徵的投資組合來進行探討股票籌碼集中度指標與股價及交易活動之間的互動關係的研究。本文將蒐集2003年初到2013年底之股票的每日交易資料來進行分析，同時並以單根檢定、Granger因果關係分析、向量自我迴歸模型 (VAR)和衝擊反應分析等計量方法進行驗證。最後，再經由實證後獲得主要知結論： 首先，平均報酬率由高至低依序為成長型、低週轉率、大公司、高週轉率、加權指數、小公司及價值型的投資組合。這個結果大致於上與市場法人或投資人所偏好投資標的之股票的公司特徵是一致的，市場上投資人喜愛高成長型的股票，而法人則偏愛ETF 50成份股等大公司股票。其次，也發現在低週轉率、大公司規模和價值型等特徵的公司，則股票籌碼集中度指標對於股價報酬率是具有參考價值和意義的，所以認為投資人可藉由觀察籌碼面的變化，在這些特徵的類股中來研判股價的變化是可行的。另外，除了大公司以外，其他特徵公司之投資組合的籌碼集中度指標對於股票的交易活動也是具有參考價值。 最後，由於並非所有的特徵公司之股票籌碼集中度指標與股價報酬率或週轉率是不具有解釋關係，所以認為籌碼集中度指標並不完全可適用於股票市場所有的股票，本研究的結果可供台灣股市投資人參考。

This paper discusses one of the commonly used investment indicator in the stock market of Taiwan–chip concentration analysis. It uses volume accumulation/distribution oscillator (VADO) to measure the stock chip concentration. Meanwhile the investment combinations of different company characteristics, such as turnover rate, firm size, and price-book ratio, are used to discuss the interaction among the chip concentration index, stock price, and trading activities. This paper collects the daily trading information of stock from early 2003 to the end of 2013. The data are verified using unit root test, Granger causality test, Vector Autoregression (VAR), and impulse response analysis. The conclusions are reached based on the validation. First, the average rate of return, in the descending order is: growth type, low turnover rate, large firm, high turnover rate, weighted index, small firm, and value type. This finding is consistent with the preferred company characteristics of institutional and individual investors. Individual investors prefer high growth stocks, while institutional investors prefer ETF 50 stocks. Moreover, for companies with characteristics of low turnover rate, large firm size, and value type, the chip concentration indicator has reference value and significance to rate of return. Hence, it is feasible that investors can observe the changes of chip value values to determine the changes of stock prices. Moreover, besides large companies, the chip concentration indicator of investment combinations of other company characteristics has reference value to stock trading activities. Lastly, not all chip concentration indicators have no explanatory relationship with the stock returns of turnover ratio, it is inferred that the chip concentration indicator cannot be applied to all stocks in the stock market. Hence, the findings of this paper can provide references to stock investors in Taiwan.