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標題: | 流動性共性、報酬率共性、周轉率共性之時間趨勢與交互關係 The time trend and interaction of liquidity commonality, return commonality and turnover commonality |
作者: | Hung-Yi Wang 王弘易 |
指導教授: | 莊文議(Wen-I Chuang) |
關鍵字: | 周轉率,流動性,報酬,貝塔,共性,機構投資人持有比例,同步交易, turnover,liquidity,return,beta,commonality,holding ratio of institutional investor,Synchronous transactions, |
出版年 : | 2020 |
學位: | 碩士 |
摘要: | 本論文主要之貢獻是延續Kamara, Lou, and Sadka (2008) 之論文研究,並將研究時間從只有到2005年底拉長至2018年底,觀察過去流動性beta和報酬性beta這兩個變數是否有延續過去的趨勢。此外,在本論文中加入周轉率這一新的變數來觀察其時間趨勢、與其他變數之交互關係、與機構投資人持股比例之關係。最後,本論文除了將市場上的公司以規模區分外,更利用了股票報酬波動性來分組探討,為後續研究者開啟”公司的股票波動性是否影響投資人交易趨勢、習慣”等議題。
實證研究結果發現,在2006年至2018年間,流動性beta和報酬性beta這兩個變數仍延續過去的趨勢,意即規模大與小公司之間的beta持續背離。另外,不管是(規模、波動性)大還是(規模、波動性)小的公司之周轉率beta皆逐年上升,代表大小公司周轉率變化都趨近市場交易量變化。本論文推估周轉率beta與流動性beta和報酬性beta小公司的趨勢不同可能原因之一:逐年而言,即使機構投資人不偏好小公司,只要非機構投資人市場資金逐年提高,也可能會導致小公司間的交易量也有同步行為,但非機構投資人資金逐年提高,不會影響小公司報酬率變化和市場同步(Kamara, Lou, and Sadka (2008) 之論文研究中,其衡量流動性指標的分母為報酬變化,而因為非機構投資人的交易行為對報酬率影響甚微,也反映出交易量或周轉率這個指標沒有考慮價格的變化) The main contribution of this paper is to continue the research of Kamara, Lou, and Sadka (2008), and extend the research time from the end of 2005 to the end of 2018, to observe whether the two variables of liquidity beta and return beta continue the trend of the past. In addition, a new variable, turnover rate, is added to observe its time trend, its interaction with other variables, and its relationship with the shareholding ratio of institutional investors. Finally, in addition to separating the companies in the market by size, this paper also USES the volatility of stock returns to discuss in groups, so as to open the topic of 'whether the volatility of a company's stock affects the trading trend and habits of investors' for subsequent researchers. The empirical results show that between 2006 and 2018, liquidity beta and return beta continue the trend of the past, meaning that the beta between large and small companies continues to diverging. In addition, the turnover rate beta of both large and small companies is increasing year by year, which means that the turnover rate changes of both large and small companies tend to change in market trading volume. One of the possible reasons for the difference between turnover beta and liquidity beta and return beta in the trend of small companies: Year after year, even institutional investors have no preference for small companies, as long as the non-institutional investors market capital increased year by year, may also lead to transactions between small companies have synchronous behavior. However, even non-institutional investors capital increase year by year, return rate changes of small companies are hard to synchronize with market (In the paper study of Kamara, Lou, and Sadka (2008), the denominator of liquidity indicator is the change in return. The trading behavior of non-institutional investors has little impact on the return rate, which also reflects that the indicator of trading volume or turnover does not take into account the change in price) |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/8386 |
DOI: | 10.6342/NTU202001898 |
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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U0001-2707202011120700.pdf | 2.18 MB | Adobe PDF | 檢視/開啟 |
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