研究資本市場價格變動的特性，一直是財務學者實証研究的一□。以經濟學中需求

與供給的觀點來說，價格與數量是一體兩面，兩者相互依存的，但國內的研究對於

量的探討卻非常缺乏，因此就形成本論文的重要研究動機。

本研究以市場個體結構(Market Microstructure) 的層面來探討股價變動與成交量

之間的關係，並依據 Clark、Harris、Copeland、Jennings，Starks和Fellingham

(JSF) 、Epps及Kopoff等的理論模型，與其他實証文獻形成本研究假說。

本論文以民國77年81年，整體股票市場每日價量資料為研究樣本，共1427個觀察值

，採用「變異數分析－無母數 Krush Wallis 檢定」、「迴歸分析-GLM模型」、「

Box-Jenkins AL MA 分析之轉換函數模式」來驗証，經分析後，達成下列結論：

1.台灣股票市場一週內各日的平均報酬相等，符合交易時的假設。

2.股價報酬率的絕對值與成交量（週轉率）呈正相關（不含77年2 月底狂飆期），

証實台灣股市符合混合分配假說 (Mixt of distributions Hypothesis，MDH)，

且資訊傳遞的方式為連續到達模型 (Sequential Information Arrival Model，

SIA)。

3.符合Epps模型，價量呈現不對稱的關係，即在股價上漲時其成交量大於股價下跌

的成交量，Ｖ□╱△Ｐ□＞Ｖ﹣╱│△Ｐ﹣│。

4.股價變動與成交量關係不僅就全部樣本、多頭期或空頭期而言，均顯示價量間呈

正相關，且存在落後關係。

5.就全部研究期間與多頭期之樣本，研究顯示股票報酬率會引起成交量的變動。

6.就空頭期間之樣本，研究顯示股票報酬率與成交量間相互影響，互為回饋關係。

一、 中文部分
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2. 李春旺，「股價行為與規模效應－台灣股票市場實證研究」，台灣經建研究叢書之三十四，民國78年。
3. 李碧林，「重貼現率變動對週轉率及股價之影響－台灣證券市場之實證研究」，淡江管科所未出版碩士論文，民國80年。
4. 何培基，「商用統計學與SAS／PC應用」民國79年，長諾資訊圖書公司。
5. 林玩香編譯，「SAS使用手冊－高等統計篇」，民國76年，儒林圖書公司。
6. 林茂文編著，「時間數列分析與預測」，民國81年，華泰書局。
7. 周文賢，「計量經濟與時間數列分析－SAS ETS之運用」，作者自印。
8. 黃敏助，「八十年代證券投資策略」，民國80年。
9. 陳東明，「台灣股票市場價量關係之實證研究」，台大商學研究所未出版碩士論文，民國80年。
10. 曾祥琳，「每季盈餘公告對股票成交量影響之實證影響」，成大工管所未出版碩士論文，民國78年。
11. 趙美蘭，「融資融券比率調整對股價成交量影響之實證研究」，中興企研所未出版碩士論文，民國78年。
12. 魯憶萱，「現金增資股發放對成交量集股價影響之探討」，政大企研所未出版碩士論文，民國79年。
13. 鍾振明，「上市股票價格和交易量對營業公告之反應及其關係之實證研究」，交大管研所未出版碩士論文，民國74年。
14. 譚淑卿，「台灣股市價格變動與成交量的關係」，淡江金融所未出版碩士論文，民國81年。

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