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| 研究生： |
嚴浩祖 |
|---|---|
| 論文名稱： |
過度反應或反應不足？台股之濾嘴法則實證研究 Overreaction or Underreaction? : Empirical Study on the Application of Filter Rule to Taiwan Stock Market |
| 指導教授： | 郭炳伸 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2014 |
| 畢業學年度： | 101 |
| 語文別： | 中文 |
| 論文頁數： | 49 |
| 中文關鍵詞： | 成交量 、價量關係 、過度反應 |
| 外文關鍵詞： | volume, return, overreaction |
| 相關次數： | 點閱：116 下載：8 |
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本論文以濾嘴法則應用在台灣股票市場，試圖揭露報酬率與成交量之間的關係。雖然在短期內可藉由過度反應獲取報酬，然而，報酬率與成交量的關係仍舊模糊不清，本篇引用的文獻並不足以解釋此研究的結果。另外，我們發現在近十年中，因流動性進行的交易，而非因資訊進行的交易，主導了台灣股票市場。
This thesis uses filter rule on Taiwan stock market to uncover the relationship between return and volume change. Although the profits for overreaction in a short time horizon exist, the pattern of the combination of return and volume change is unclear. No theory mentioned in the literature seems to be able to fully explain the results in this study. Yet, we find that the liquidity trading, rather than information trading, dominates Taiwan stock market in recent decade.
CHAPTER I. INTRODUCTION 5
CHAPTER II. REVIEW OF RELATED THEORY 10
CHAPTER III. EMPIRICAL STRATEGY AND METHODOLOGY 13
CHAPTER IV. EMPIRICAL FINDINGS 17
IV.I DATA 17
IV.2 ONE-WEEK FILTER 17
IV.3 TWO-WEEK FILTER 20
IV.4 TWO-DAY FILTER 24
IV.5 TWO PERIODS OF TIME 28
IV.6 DISCUSSION 29
CHAPTER V. CONCLUSIONS 32
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