本文經由模擬比較Chernozhukov and Hansen (2005)所提出的工具
變數分量迴歸方法與傳統分量迴歸方法在不同的內生性情況下, 其估
計偏誤的特性。另一方面,也藉由工具變數分量迴歸方法分析台灣、新
加坡、南韓與香港股市報酬率與成交量間的關係。以工具變數分量迴
歸方法分析價量關係不僅能完整描繪條件於成交量下報酬率的分配,
亦能修正以傳統分量迴歸方法估計同期價量關係所造成估計結果不具
一致性的問題。本文實証結果顯示台灣、新加坡、南韓與香港的正報
酬率與成交量有正向關係; 負報酬率與成交量多有負向關係。且正報
酬率與成交量的相依程度隨著分量的增加而逐漸增加, 而負報酬率與
成交量的相依程度則隨著分量的減少而逐漸增加。

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