簡易檢索 / 詳目顯示
| 研究生： |
李兆元 Chao-Yen Lee |
|---|---|
| 論文名稱： |
香港股市量價關係之研究 |
| 指導教授： |
徐之強
Chih-Chiang Hsu |
| 口試委員: | |
| 學位類別： |
碩士 Master |
| 系所名稱： |
管理學院 - 經濟學系 Department of Economics |
| 論文出版年： | 2020 |
| 畢業學年度： | 108 |
| 語文別： | 中文 |
| 論文頁數： | 38 |
| 中文關鍵詞： | 錯誤定價 、成交量與報酬率 、混合迴歸模型 |
| 外文關鍵詞： | Mispricing, Volume and return, Pooled regression model |
| 相關次數： | 點閱：15 下載：0 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
根據Han et al.（2018）論文中錯誤定價會使股票成交量與報酬率在低估時為正相關，而高估實為負相關，本文探討自1996年1月至2017年12月香港股票，利用了錯誤定價模型以及將高估和低估設為虛擬變數下使用混合迴歸模型時高估與低估時成交量與報酬率之間的關係，並考慮了金融海嘯是否會影響成交量與報酬率之間的關係。實證結果發現，香港股票僅有在低估股票價格時有著錯誤定價效果，而在高估時則沒有，並且發現香港股票成交量與報酬率之間呈現負相關，隨著成交量的增加報酬率會逐漸下降，造成負相關可能為香港股票存在著動能生命週期或者是流動性風險的原因。
According to Han et al. (2018), mispricing will make stock trading volume and return positively correlated for underpriced stocks and negatively correlated for overpriced stocks. This article explores Hong Kong stocks from January 1996 to December 2017. We use the mispricing model and the pooled regression to analyze the relationship between volume and return for overpriced and underpriced stocks, and to discuss whether the financial tsunami will affect the relationship of volume and return. The empirical results show that Hong Kong stocks have a mispricing effect only for underpriced stocks, but not for overpriced stocks. In addition, there is a negative correlation between the trading volume and the rate of return. The possible reasons for the negative correlation between volume and return of Hong Kong stocks are: momentum life cycle or liquidity risk.
Amihud, Y. （2002）. Illiquidity and stocks: cross-section and time-series effects. Journal of Financial Markets 5, 31-56.
Atmaz, A., Basak, S.（2018）. Belief dispersion in the stock market. Journal of Finance 73, 1225-1279.
Banerjee, S.（2011）. Learning from prices and the dispersion in beliefs. Review of Financial Studies 24, 3025-3068.
Barberis, N., Greenwood, R., Jin, L., Shleifer, A.（2018）. Extrapolation and bubbles. Journal of Financial Economics 129, 203-207.
Blume, L., Easley, D., O’Hara, M.（1994）. Market statistics and technical analysis: The role of volume. Journal of Finance 49, 153-181.
Campbell, J. Y., Grossman, S. J., Wang, J.（1993）. Trading volume and serial correlation in. stocks. Quarterly Journal of Economics 108, 905-939.
Chordia, T., Subrahmanyam, A., Anshuman, V.（2001）. Trading activity and expected stocks. Journal of Financial Economics 59, 3-32.
Gervais, S., Kaniel, R., Mingelgrin, D. H.（2001）. The high-volume premium. Journal of Finance 56, 877-919.
Han, Yufeng and Huang, Dashan and Huang, Dayong and Zhou, Guofu.（2018）. Volume and Return: Fuel of Mispricing. Working paper.
He, H., Wang, J.（1995）. Differential information and dynamic behavior of stock trading volume. Review of Financial Studies 8, 919-972.
Hou, K., Xue, C., Zhang, L.（2019）. Replicating anomalies. Review of Financial Studies, forthcoming.
Kyle, A. S.（1985）. Continuous auctions and insider trading. Econometrica 53, 1315-1335.
Lee, C. M., Swaminathan, B.（2000）. Price momentum and trading volume. Journal of Finance 55, 2017- 2069.
Miller, E. M.（1977）. Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151-1168.
Scheinkman, J., Xiong, W.（2003）. Overconfidence and speculative bubbles. Journal of Political Economy 111, 1183-1220.
Stambaugh, R. F., Yu, J., Yuan, Y.（2015）. Arbitrage asymmetry and the idiosyncratic volatility puzzle. Journal of Finance 70, 1903-1948.
Wang, J.（1994）. A model of competitive stock trading volume. Journal of Political Economy 102, 127-168.
劉亞秋（1996）。台灣與香港股市成交量對股票報酬及其波動性關係之研究。管理學報（Journal of Management），第13卷第1期，91 -106。
莊家彰、管中閔（2005）。台灣與美國股市價量關係的分量迴歸分析。經濟論文（Academia Economic Papers），第33卷第4期，379 - 404。
