混合分配假說、風險、交易量、股票報酬與波動不對稱之研究－以台灣股市爲例

A Study of Mixture of Distributions Hypothesis, Risk-Return-Volume Relationship, and Asymmetry of Conditional Volatility in the Taiwan Stock Market

劉映興(Ying-Sing Liu) ； 何亮君(Liang-Chun Ho) ； 陳家彬(Chia-Pin Chen)

《明道學術論壇》 3卷2期 (2007/12) Pp. 81-90

https://doi.org/10.6953/MJ.200712.0081

摘要

本文主要運用AR (p)-cum-volume & EGARCH (1,1)-M-cum-volume模型來探討股票市場價量關係與混合分配假說(mixture of distributions hypothesis; MDH) (Clark, 1973)。我們研究台灣股票集中交易市場的ETF50成份股中前25家權值較大的普通股（以2004.10.15爲統計基準）。這個模型的特色是可同時檢定五個基本假設，以及探討股票市場是否符合混合分配假說。其中五個基本假設分別爲：(H1)同期性的日交易量對股票日報酬是具有影響性；(H2)股票日報酬波動是具有波動群聚現象與持續性；(H3)股票報酬波動具有不對稱性，亦即具有槓桿效應(leverage effect)；(H4)同期性的日交易量對股票報酬條件波動是具有影響性；(H5)股票日報酬具有風險溢酬。根據實證結果發現：台灣股票市場個別股的日報酬波動具有持續性與群聚現象，同時波動存有異質條件不對稱性。其次，也發現大多數股票的同期性日交易量對日報酬或條件報酬波動均存在顯著的正向關係，支持風險溢酬的存在。最後，由本研究的實證結果傾向支持台灣股票市場符合混合分配假說。

關鍵字

混合分配假說 ； 價量關係 ； 條件異質不對稱性 ； EGARCH 1,1-M模型

並列摘要

In this study, we adopted the AR (p)-cum-volume & EGARCH (1,1)-M-cum- volume model to explore the mixture of distributions hypothesis (MDH), and risk-return-volume relationship in the Taiwan stock market. This model features simultaneously examining five hypotheses as well as the ability to probe into whether or not the stock markets conforms to the Clarks' (1973) MDH. These hypotheses: (H1) contemporaneous volume effects daily stock return; (H2) daily stock volatility appears the phenomena of clustering and persistence; (H3) stock return volatility appears an asymmetry effect, showing the leverage effect; (H4) contemporaneous volume effects to the conditional volatility of the daily stock return; (H5) daily stock return appears risk premium. The objects of this study were the top 25 listed stocks based on the ETF 50 value in the Taiwan stock market. According to the result of our research, we observed that, on the Taiwan stock market, the daily stock return volatility is with the phenomena of clustering and persistence, and the said conditional volatility appears asymmetric. We also found, for most of the stocks, the contemporaneous volume appears a significant direct proportion to the daily stock return and the conditional volatility. This finding supports the existing of the risk premium. The results of our study support that the Taiwan stock market can be predicated by Clarks' (1973) mixture of distributions hypothesis.

並列關鍵字

MDH ； volatility-volume relations ； asymmetric volatility ； EGARCH-M