新冠肺炎期間應用分量廻歸模型
探討美股及台股之價量關係

本研究利用分量迴歸模型，探討新冠肺炎期間探討美股及台股之價量關係，研究期間自2019年01月01日至2022年02月8日，共749筆日資料，資料來源為R軟體及TEJ。實證指出本文利用迴歸模型及分量迴歸模型，OLS方程式估計結果看出，台股價格報酬受台股交易量為正向影響效果；QR方程式估計結果看出，當分量<0.2時台股呈現量升價跌；分量>0.7時台股呈現量升價升(價量齊揚)表示QR及OLS有顯著差異。由美國OLS估計結果看出，美國價格報酬受美國交易量為負向影響效果；由美國的QR方程式估計結果看出，分量(0.1-0.9)時美國呈現量升價升(價量齊揚)表示美國政府QE政策造成所致。因此，符合研究假說2。

關鍵字

迴歸模型；分量迴歸模型；新冠肺炎期間；價量關係

並列摘要

ABSTRACT We examine the relationship between the stock return and trading volume in the Taiwan and U.S. Stock Exchanges using quantile regression. The empirical results show that the return-volume relations in these two exchanges are quite different. For Taiwan data, there are significant positive return-volume relations across quantiles, showing that a large positive return is usually accompanied by a large trading volume and a large negative retur.n with a small trading volume, yet the effect of the former is stronger. However, such relations change when returns approach the price limits. We also find that for U.S. data, return-volume relations exhibit symmetric V-shaped across quantiles, showing that a large return (in either sign) is usually accompanied by a large trading volume. On the other hand, linear regressions estimated by the ordinary least square method are unable to reveal such patterns. Further investigation shows that various restrictions on short sales in the Taiwan Stock Exchange may explain the difference between the return-volume relations in the Taiwan and U.S. data.