週轉率、成交量波動率和股價波動率之關聯性分析

The Relationship among Turnover Ratio, Trading Volume Volatility and Stock Price Volatility

劉程睿(Cheng-Rui Liu)

指導教授 ： 倪衍森

共同指導教授 ： 婁國仁

淡江大學/管理學院/管理科學研究所碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00942

摘要

國內外文獻，多著墨於量與價格波動之兩者關係，本研究擬將成交量波動率代替成交量作一探討，是以進而探討成交量波動率與股價波動率的關係，來開拓此領域研究的視野。另外，高週轉率一直是台股的特色，而週轉率大小除代表股票之流動性高低之外，高週轉率也可反映出投資人不想長期持有，想玩短線的心態，這樣會不會影響股價的波動。本研究主要是採用向量自我迴歸模型來探討成交量波動率、股價波動率和週轉率兩兩間的關係為何。
研究期間為2006年9月29日至2007年9月29日，研究對象為富邦台灣科技ETFs成份股。研究後發現，當週轉率領先股價波動率時，兩者呈現正相關，即週轉率愈高股價波動率愈大，週轉率高代表有人不斷地買進和賣出，這樣不斷易手的情況下，很可能使股價的波動變大。另外，當成交量波動率領先股價波動率，兩者呈現正相關，即成交量波動愈高，會使股價波動愈劇烈，成交量波動率高代表成交量突然爆出大量，成交量急遽上升，此表示可能有大戶或法人介入，這種介入有兩種可能性︰一是內線消息，另一則是人為炒作，因而影響股價的波動，投資人需要多加注意，免得成為被倒貨的苦主。

關鍵字

向量自我迴歸模型 ； 成交量波動率 ； 週轉率

並列摘要

Most domestic and foreign literatures involve the behavior between quantity and price volatilities. This research investigates the relationships between price volatilities trading volume volatilities instead of quantity in order to expand the scope of this research. In addition, high turnover ratio is the characteristic of Taiwan stock market, and it means that investors prefer short term investment instead of holding stocks in the long run. Thus, whether the high turnover ratio will cause stock price volatilities is another issue we concern.
By employing Fubon ETF underlying stocks from the data period form 2006/09/29 to 7007/09/29, the following empirical results are found as follow:

1.The turnover ratio Granger-cause stock price volatilities positively. It means that high turnover ratio means investors change stocks very often, and then it might lift up the volatilities of share price.

2.Trading volume volatilities will Granger-cause stock price volatilities positively. It means that while trading volume is going up, the stock price volatilities will rise up later. Investors might be careful to trade stocks with higher turnover ratio, since higher trading volume might be involved by huge trading of investment institution, and investors with lots of money. The possible reasons of this kind involving are inside information, and speculation trading, investors should careful in trading higher turnover stocks in order to prevent loss by asymmetric information be.

並列關鍵字

VAR Model ； Turnover Ratio ； Trading Volume Volatility

參考文獻

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