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標題: | 股市成交量與報酬序列相關之研究-以46國股市為例 Volume and Serial Correlation in Stock Returns: Evidence from 46 Countries |
作者: | Hsun-Ho Chou 周訓禾 |
指導教授: | 莊文議(Wen-I Chuang) |
關鍵字: | 成交量,報酬序列相關,價格反轉,流動性不足,熊市,投資人情緒, Trading volume,Serial correlation,Price reversal,Bear market,Sentiment,Illiquidity, |
出版年 : | 2012 |
學位: | 碩士 |
摘要: | 本研究根據Campbell, Grossman and Wang (1993)的理論模型,預期股市報酬序列相關越隨著成交量上升而降低。以46個國家為樣本,實證發現大部分國家市場股價指數成交量越高,股市報酬序列相關越低,會產生價格反轉,日資料及週資料都有同樣的結果,但日資料較為顯著。在流動性不足或者是熊市市場時反轉程度較大。投資人情緒對價格反轉效果的影響,在高所得國家和發展中國家不一致,在投資人情緒低時,在成交量較高的情況下,高所得國家反轉效果越大,發展中國家則是反轉效果降低。橫斷面跨國研究發現在允許放空和市場不確定性較低的國家,價格反轉效果較顯著。 This study examines the theoretical model of Campbell, Grossman and Wang (1993) which predicts that the serial correlation of stock returns tends to decline with volume. This study investigates the relationship in 46 countries and confirms that in most of the stock indices, the higher the trading volume, the lower the serial correlation of stock returns. That is, there is a price reversal. The daily and the weekly data have the same results, but the daily data is more significant. The degree of price reversal is greater in illiquid or bearish market. The impact of investor sentiment is inconsistent between high-income and developing countries. High-income countries demonstrate greater price reversal while developing countries demonstrate opposite result in the circumstances of low investor sentiment and higher stock trading volume. Cross-sectional study shows that the price reversal is more significant in the countries with short-selling permission and low market uncertainty. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/6766 |
全文授權: | 同意授權(全球公開) |
顯示於系所單位: | 財務金融學系 |
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