融資使用對股票報酬之影響研究─縱橫平滑移轉門檻模型之運用

The Relationship Between Taiwan Stock Return and Margin Balance Ratio----Using Panel Smooth Transition Model

王嘉祥(Chia-Hsiang Wang)

指導教授 ： 聶建中

共同指導教授 ： 陳達新

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00205

摘要

本研究以2003年3月5日至2006年3月10日之ETF50成份股日資料組成一個縱橫資料，先檢定資料是否為定態，再探討報酬率是否會受週轉率及三大法人持股率之影響，並以融資使用率作為平滑移轉變數，利用縱橫平滑移轉模型來檢定融資使用率高低對週轉率及三大法人持股率兩者影響報酬率之變化情形；實證結果發現四個變數均拒絕其為非定態，其次週轉率及三大法人持股率個別兩者對報酬率間之關係因融資使用率不同也有變化；週轉率在門檻之前呈正相關，門檻後正向關係更為增加，而三大法人持股率在門檻前與報酬率呈負相關，門檻後負向關係也更為擴大，在門檻處，其改變因轉換速度較小呈現平滑移轉之過程

關鍵字

縱橫平滑移轉模型 ； 週轉率 ； 三大法人持股率 ； 報酬率 ； 縱橫單根檢定

並列摘要

In this study, turnover ratio and three major institutional investors ratio are chosen to be the main factors in which we examine how they influence the stock return ratio. We also utilize the Panel Smooth Transition Regression Model(PSTR) to find the linear relationship between them. By using margin balance ratios as a transition variable, we detect whether it might change the influence between two major factors and stock return ratio or not. Sampled from ETF50 composition stocks, our empirical results show if we use margin balance ratio as the transition variable, both the turnover ratio and three major institutional investors’ ratio influence on stock return have examined separated in two parts, between these two parts, there exists a smooth transition phenomenon.

並列關鍵字

Panel Unit Root Test ； Panel Smooth Transition Model ； Stock Return ； Turnover Ratio ； Margin Balance Ratio

參考文獻

高美秀﹙2007﹚，「獲利對公司股價報酬率之關聯研究─縱橫平滑移轉門檻模型之應用」，淡江大學財務金融研究所碩士論文。

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