量價關係，一直以來皆為技術分析學派所廣泛運用，其主張運用過去的股價以及成交量來推測股票未來的走勢，而也有許多的研究以及投資策略皆是從量價關係所出。在國內，小型股也由於其股本小的特性，往往成為有心人士炒作之標的。此外，小型股亦較大型股具有不對稱資訊的性質，而由於成交量背後往往隱藏著許多的資訊，因此投資人利用量與價之間的關係，得到能夠有效預測小型股股價的方法以利其投資。

而本文之研究，將量價關係運用在小型股上，想檢視彼此間有無任何關係存在。本文中我們使用了因果關係檢定，三因子模型，以及縱橫迴歸模型，用來分別檢視小型股與大型股的量價關係。驗證結果發現，在不同的檢驗方式下，都會得到小型股較大型股，有顯著量價影響的關係存在。

The relation between volume and price is widely used in technical analysis. It predicts future stock price by using past stock price and volume. There are lots of investigations and investment strategies are stemmed from it. In Taiwan, small caps are preferred to be held by the people who would like to manipulate the price because of their small number of capitalization. In addition, compared with large caps, small caps are of asymmetric information to the investors. As there is lot of information hidden behind volume, investors are likely to use the relation between volume and price to get a useful way to predict small caps’ stock price.

In this paper, I use granger causality test, three-factor model, and panel data model to test the relation between price/return and volume of small caps and big caps separately. The experiment shows that use different ways, we can verify there exist more obvious relations between volume and price in small caps than in large caps.

1.英文參考資料

Andy C. W. Chuia and K. C. John Weib (1998) , "Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets," Pacific-Basin Finance Journal 6(1998), 275-293 .

Arshanapalli, B. , T. D. Coggin, and J. Doukas (1998) , "Multifactor asset pricing analysis of international investment strategies," Journal of Portfolio Management, Summer, 10-23.

Banz , R.W. (1981) , "The Relationship between Return and Market Value of Common Stocks," Jowunal of Fiuancial Economics, pp.99.3-18.

Blume, L., Easley, D., & O’Hara, M. (1994) ,"Market Statistics and Technical Analysis: The Role of Volume, " Journal of Finance, 49, 153-182.

Brown Philip, Donald B. Keim, Allan W. Kleidom, and Terry A. Marsh (1983) , "Stock Retum Seasonalities and the Tax-Loss Selling Hypothesis : Analysis of Argument and
Australian Evidence," Joumal of Financial Economics 12, pp.105-127.

Campbell, John Y., Sanford J. Grossman, and Jiang Wang (1993) , "Trading Volume and Serial Correlation in Stock Returns," Quarterly Journal of Economics 108, 905-939.

Cetin Ciner (2002) , "The Stock Price-Volume Linkage on the Toronto Stock Exchange: Before and After Automation,"Review of Quantitative Finance and Accounting, Vol.19, No.4, 335–349.

Chan K. C. & Nai-Fu Chen (1991) , "Structural and Retum Characteristics of Small and Large Firm,s" Joumal of Finance, (September) , pp.1467-1484.

Chen, Hong, Huang, and Kubik (2004) , "Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization ,"American Economic Review, Vol. 94, No. 5, 2004 .

Conrad, J. S., A. Hameed, and C. Niden (1994) , "Volume and Autocovariances in Short-Horizon Individual Security Returns,"Journal of Finance, 49, 1305-1329.

D. Michael Long (2007) , "An Examination of the Price-Volume Relationship in the Option Markets ," International Research Journal of Finance and Economics , Issue 10 , 47-56.

Datar, V., Naik, N., & Radcliffe, R. (1998) , "Liquidity and asset returns: An alternative test, " Journal of Financial Markets, 1, 203-219.

Dickey, D.A. and W.A. Fuller (1979) , "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association, 74, p. 427–431.

Epps, T.W., & Epps, M.L. (1976) , "The Stochastic Dependence of Security Price Changes and Transaction Volumes : Implications for the Mixture-of-Distribution Hypothesis," Econometrica, 44, 379-396.

Fama, E. F. and French, K. R. (1993) , "Common risk factors in the returns on stocks and bonds," Journal of Finance, 33, 3-56.

Fama, E. F. and K. R. French (1995) , "Size and book-to-market factors in earnings and returns," Journal of Finance 50, 131-155.

Fama, E. F., and K. R. French (1992) , " The Cross- Section of Expected Stock Returns," Journal of Finance, 427- 465.

Gervais Simon, Ron Kaniel, and Dan H. Mingelgrin (2001) , "The High—Volume Return Premium," Journal of Finance 56, 877-919.

Granger, C. W. J. (1969) , "Investigating causal relations by econometric models and cross-Spectral methods.," Econometrica, 37, 424-438.

Granger, C. W. J. and P, Newbold (1974) ,"Spurious regressions in econometrics, " Journal of Econometrics, 2, 111-120.

Jain, prem C. & Gun-Ho Jon (1988) , "The dependence between hourly prices and trading volume, " Journal of Financial and Quantitative Analysis, 23(3), 269-283.

Kenny, Peppi M., and John J. Neumann (2007) , "Does Mad Money Make the Market Go Mad? "Quarterly Review of Economics & Finance 47, (5): 602-15.

Llorente, G., Michaely, R., Sarr, G. and J. Wang (2002) , "Dynamic Volume- Return Relation of Individual Stocks, " Review of Financial Studies, 15, 1005-1047.

Osborne, M. F. M. (1959) ,"Brownian motion in the stock market, "Operation Research, 7, 145-173.

Pollet and Wilson (2008) ,"Average Correlation and Stock Market Returns," November 1, 2008.

Reinganum M.R. (1981) , "Misspecification of CAPM : Empirical Anowalies Rased on Earnings yield and Market Value," Jowunal of Financial Economics, pp.19-45.

Robert A. Klein, Jess Lederman (1993) ,"Small cap stocks : investment and portfolio strategies for the institutional investor," Chicago, Ill. : Probus Pub. Co., c1993.

Satya Dev Pradhuman (2000) ,"Small-cap dynamics : insights, analysis, and models," Princeton, N.J. : Bloomberg Press, 2000 .

Sharpe,W.F. (1964) , "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk," Journal of Finance, Vol.19, pp.425-442.

Teh, L. L. and DeBondt, W. F. M. (1996) , "Hedging behavior and stock returns: An exploratory investigation," Working Paper, UCLA .

Ying, C. C. (1966) , "Stock Market Prices and Volume of Sales, "Econometrica, 34, 676-686.

2.中文參考資料

任青松 (2001) , "台灣股價指數與期貨指數之價量關聯性研究" , 國立高雄第一科技大學財務管理所碩士論文

何怡滿 (1991) , "臺灣股票上市公司資訊特性之實證研究" , 國立中正大學財務金融研究所碩士論文

吳志文 (1989) , "公司股本與股價變動關係之研究" , 國立台灣大學商學研究所碩士論文

吳東安 (2000) , "股價波動與交易量之關係" , 暨南國際大學經濟學系 , 未出版碩士論文

杜幸樺 (1999) , "影響臺灣股票報酬之共同因素與企業特性之研究--Fama-French三因子模式.動能策略與交易量因素" , 國立中山大學企業管理學系碩士論文

李俊德 (2002) , "股票報酬與成交量：流動性溢酬、價格交易策略" , 中國文化大學會計研究所碩士論文

李春旺 (1987) , "股價行為與規模效應：台灣股票市場實證研究" , 國立政治大學企業管理研究所博士論文

洪倩華 (1997) , "股票報酬率與週轉率變動關係之探討-以電子股為例 " , 國立中興大學企業管理研究所碩士論文

張升寶 (1989) , "股價震盪幅度的衡量與分析" , 國立中山大學企業管理學系碩士論文

張秀華 (2000) , "股價指數與交易量動態關係之實證研究" , 東海大學企業管理學系碩士論文

陳立國（1992) , "台灣股市價量關係之研究" , 台灣大學財務金融所 , 未出版碩士論文

陳東明 (1990) , "台灣股票市場價量關係之實證研究" , 台灣大學商學研究所 , 未出版碩士論文

陳滿紅 (2005) , "匯率、公司規模與股票報酬相關性之研究-以台灣股票市場為例" , 大葉大學國際企業管理學系碩士在職專班碩士論文

游英裕 (2003) , "股價與成交量因果關係之研究－台灣股市的實証" , 義守大學管理科學研究所碩士論文

黃文芳 (1995) , "台灣股市價量線性與非線性關係之研究" , 國立成功大學企業管理學系碩士論文

黃偉雄 (2002) , "台灣上市電子類股價量因果關係之研究-VEC-GJR-GARCH模型與非線性因果模型之應用" , 台北大學合作經濟學系 , 未出版碩士論文

楊奕農 (2005) ,"時間序列分析-經濟與財務上之應用"，雙葉書廊有限公司出版

蔡垂君 (2002) , "台灣股價指數期貨與現貨之實證研究" , 台北大學企業管理學系 , 未出版博士論文

盧麗安 (1995) , "財務基本分析與台灣股價表現" , 國立中山大學財務管理學系碩士論文

鍾淳豐 (2000) , "配合價量關係技術型態在台灣股票市場的應用" , 國立政治大學財務管理學系碩士論文

鍾惠民 , 周賓凰 , 孫而音 (2009)，"財務計量"，新陸書局出版