價量關係技術分析之實證研究-以台指五十成分股為例

The empirical study for Technical Analysis related to Price and Quantity for Underlying Stocks of Taiwan 50 Index

李仁在(Jen-Tsai lee)

指導教授 ： 倪衍森

淡江大學/管理學院/管理科學研究所企業經營碩士在職專班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00806

摘要

本研究探討2003年至2005年間，台指五十成分股價量關係對股價異常報酬之影響，以日交易數據，採事件研究法，檢驗價量關係發生後是否具有資訊內涵。運用價量間關係的訊息，歸納分析其後續交易是否隱含異常報酬？希望可提供投資大眾一個選擇買賣策略的參考。同時探究價量關係發生時其背後隱藏的意義。冀望能經由本研究之深入探討，讓投資大眾能掌握市場股價變動之節奏，提高交易超額報酬及其獲利機率；另外探討跳空缺口發生後，影響異常報酬之因素為何？本研究之重要結論如下：

一、對台指五十成分股而言，以價格增加及成交量變化而言，當價格增加時，不論成交量是增加、減少、或極少，皆有資訊內涵的效果，亦為若不考慮交易成本且大盤走勢不是往下走的情況下，投資人有正的報酬的可能性。
二、對台指五十成分股而言，以價格減少幾成交量變化而言，當價格減少時，不論成交量是增加、減少或極少，亦有資訊內涵的效果，亦為若不考慮交易成本且市場趨勢不是往下情況時，投資人券空股票亦有有正的報酬的可能性。
三、對台指五十成分股而言，以向上跳空及成交量變化而言，不論是成交量增加或減少的情況下，若不考慮交易成本且大盤走勢不是往下情況下，投資人有正的報酬的可能性。
四、對台指五十成分股而言，以向下跳空與成交量變化而言，當成交量增加與成交量減少時的結果卻不相同，成交量增加時，則應持有股票，然而成交量減少時，則賣出持有或融券放空較為有利。

關鍵字

跳空缺口 ； 技術分析 ； 累計異常報酬 ； 事件研究法 ； 效率市場 ； 資訊內涵

並列摘要

This research employs event study approaches to investigate if abnormal returns existed in underlying stocks of Taiwan 50 index. In this research, the events are defined as follows: the price up (price jumping up) with quantity up / quantity down, and the price down (price jumping down) with quantity up / quantity down, and this research are investigated if there are information leakage or information contents within event study periods. As a result, there are several important empirical results are found as below, and we wish that these findings would provide valuable information for investors in trading stocks by using these findings of this research.

1. As for the cases of price up with quantity changed, these cases have information contents no matter what quantity up, down, or few, i.e. investors might have positive returns by holding these stocks if the stock index is not in the downward trend, and investors won’t concern trading costs.
2. As for the cases of price down with quantity changed, these cases still have information contents no matter what quantity up, down, or few, i.e. investors might have positive returns by using short-selling strategy if the stock index is not in the downward trend, and investors won’t concern trading costs.
3. As for the cases of price jumping up with quantity changed, these cases have information contents no matter what quantity up or quantity down, i.e. investors might have positive returns by holding these stocks if the stock index is not in the downward trend, and investors won’t concern trading costs.
4. As for the cases of price jumping down with quantity changed, these cases still have information contents no matter what quantity up or quantity down. However, the strategies are different between quantity up and quantity down. Investors could hold the stocks for the case of quantity up and short-sell stocks for the case of quantity down.

並列關鍵字

Technical Indicator ； Jump Behavior ； Abnormal Returns ； Event Study ； Information Contents

參考文獻

黃郁婷（2006），「台灣上市公司股價跳空行為之研究」，淡江大學管理科學研究所未出版碩士論文。

王武德（2006），「跳空缺口之實證研究－以台指五十成份股為例」，淡江大學管理科學研究所未出版碩士論文。

張均百（2006），「股價出現跳空現象之實證研究－以美股道瓊三十成分股為例」，淡江大學管理科學研究所未出版碩士論文。

廖怡晴（2006）「技術指標之實證研究－以台指五十成分股為例」，淡江大學國際貿易學系國際企業學研究所未出版碩士論文。

Bamber, Linda (1986) The Information Content of Annual Earnings Releases：A Trading Volume Approach, Journal of Accounting Research 24, pp. 40-56