股票成交量與報酬率關係之研究--從投資人情緒觀點探討

A Study Of Relationships Between Volume And Stock Returns —From The Aspect Of Investor Sentiment

羅玟甄(Wen-Chen Lo)

指導教授 ： 莊武仁 ； 歐陽良裕

淡江大學/管理學院/管理科學研究所博士班/博士(2011年)

https://doi.org/10.6846/TKU.2011.00861

摘要

在傳統財務理論中，投資人是被視為是理性的，依據股票價格之攸關資訊，作出投資決策；即使有不理性的行為出現，也是被其他不相關的非理性行為抵銷。近年來，愈來愈多的實務現象與學術上的研究，顯示投資人非理性的行為會影響資產的價格與投資人的報酬率，因此非理性行為對資產價格的影響，不再被視為是異常現象，值得實務專家與理論學者進一步探討。
成交量在實務市場中，除了是表示流動性高低之指標外，其資訊內容常是投資人用以預測未來股價走勢的工具。例如：量先價行，高量之後還有高價，低量之後還有低價；價量齊揚，股價仍有高點，價量背離，是價格反轉的訊號等。此外，許多學者的研究顯示，成交量的變化可以反應投資人的情緒，而投資人過度自信的非理性信念也會影響成交量，進而影響未來的報酬率。
故本論文探討成交量與非理性交易行為，以揭露成交量之資訊內容，進而瞭解投資人非理性交易行為，有助於投資決策之制定。主要的研究結論為：第一，成交量變化量作為投資人情緒代理變數時，對於台灣股市之超額報酬率具有正向且顯著之影響。再者，根據過度自信假說，異常成交量與報酬率形成的量價關係，對於未來報酬率具有解釋能力。最後，異常高成交量可以反應投機性的流動性交易，異常高的個人投資人淨交易可以反應避險性或是非理性動機的流動性交易，若結合異常報酬率的資訊後，可以作為雜訊交易的訊號。

關鍵字

投資人情緒 ； 成交量 ； 超額報酬率 ； 量價動態交互關係 ； 雜訊交易

並列摘要

Theoretically, investors are thought to be rational under the efficient market hypothesis (EMH). Under EMH, investors are assumed to be rational and therefore to value securities rationally. Even if some investors trade irrationally, they would trade in a random way, and their irrational trading can be cancelled out by other different and uncorrelated irrational trading. Many empirical studies show that the irrational investor behavior not only exists in the stock market but also has significant influences on the formation of prices. In addition, studies also argue the importance of investor sentiment in the stock market and contain interpretations of the influence of the sentiment beliefs on the formation of stocks price. Hence, such irrational behavior can be discussed further.
Trading volume is basic market statistics to signal stock prices and to help investors make decisions. Investors are used to predicting stock prices by analyzing trading volume. High stock prices frequently follow high level of trading volume and low prices appear after unusual low volume. Besides, investors observe trading volume and stock prices together to predict stock prices. For example, investors may keep on buying when both trading volume and stock prices increase steadily. However, investors tend to sell stocks when they observe an increased volume accompanied decreased prices. The importance of trading volume is not only noticed by market participants, but also acknowledged by theorists. Lee and Swaminathan (2000) as well as Shiller ( 2000) propose that trading volume can be used as a proxy for the measurement of the fluctuations in investor sentiment. Moreover, based upon the overconfidence proposition, the self-attribution biases drive investors’ trading a lot, and such behavior affects future returns.
Hence, this paper investigates the relation between trading volume and investor sentiment. We hope to uncover information content of trading volume furthermore and give investors more valuable information when making investing decisions. The main conclusions are summarized as followings: First, we find the change in trading volume can be used as a proxy for investor sentiment. Investor sentiment has a positive and significant influence on excess returns on Taiwan stock market. Second, based upon the overconfidence proposition, the dynamic relation between unusual volume and returns has significant predicting power to future returns. Finally, unusual high volume can signal the liquidity trading with speculative needs. Unusual high net individual trading can reflect the liquidity trading with risk-sharing needs or irrational behavior. The combination of unusual high trading activities and unusual returns can detect the presence of the noise trading.

並列關鍵字

investor sentiment ； trading volume ； excess returns ； dynamic volume-return relation ； noise trading ； liquidity trading

參考文獻

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